Description
Zero Lower Bound Term Structure Modeling, 2015
A Practitioner’s Guide
Applied Quantitative Finance Series
Author: Krippner L.
Language: EnglishSubjects for Zero Lower Bound Term Structure Modeling:
Keywords
economic growth; finance; financial markets; growth; Investment; modeling; monetary policy
Publication date: 01-2015
409 p. · 15.5x23.5 cm · Hardback
409 p. · 15.5x23.5 cm · Hardback
Description
/li>Contents
/li>Biography
/li>
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.
© 2024 LAVOISIER S.A.S.