Zero Lower Bound Term Structure Modeling

TRAMA

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.

SOMMARIO

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

AUTORE

Leo Krippner is Senior Advisor to the Research Section of the Economics Department at the Reserve Bank of New Zealand.

ALTRE INFORMAZIONI

• Condizione: Nuovo
• ISBN: 9781137408327
• Collana: Applied Quantitative Finance
• Dimensioni: 235 x 155 mm
• Formato: Copertina rigida
• Illustration Notes: XXVIII, 409 p.
• Pagine Arabe: 409
• Pagine Romane: xxviii