Zero Lower Bound Term Structure Modeling, 2015 A Practitioner’s Guide Applied Quantitative Finance Series
Langue : Anglais
Auteur : Krippner L.
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Chapter 1: Introduction Chapter 2: A New Framework for a New Environment Chapter 3: Gaussian Affine Term Structure Models Chapter 4: Krippner Framework for ZLB Term Structure Modeling Chapter 5: Black Framework for ZLB Term Structure Modeling Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" Chapter 7: Monetary Policy Applications Chapter 8: Financial Market Applications Chapter 9: Conclusions and Future Research Directions Appendix A: Matrix Notation
Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.
Date de parution : 01-2015
Ouvrage de 409 p.
15.5x23.5 cm
Thèmes de Zero Lower Bound Term Structure Modeling :
Mots-clés :
economic growth; finance; financial markets; growth; Investment; modeling; monetary policy
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