Bundesbank paper looks at effective lower bound
Modellers can use survey information to reduce impact of ELB on yield decompositions, author says
A working paper published by the Deutsche Bundesbank looks at the effects that the effective lower bound, or ELB, has on dynamic term structure models.
In The (ir)relevance of the nominal lower bound for real yield curve analysis, Fabian Schupp presents a model for nominal rates and inflation-linked swap rates in the eurozone. The model “explicitly accounts for the ELB of nominal rates”, he says. It is also informed by additional survey-based information on interest rate and inflation
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@centralbanking.com
More on Economics
Savings, not debt, can finance EU growth – Villeroy de Galhau
Governments need “strategic pivot” to meet structural challenges, says BdF governor
Economic growth and inflation remain most forecast indicators
But year-on-year data show rising priority for exchange rates
As a population ages, impact of deflation worsens – BoJ study
Research says falling prices inflict greatest harm on young people
Policy analysis takes most of PhD economists’ time
Other tasks consume just a quarter of their official hours
Rate hikes affect manufacturing economies more – Fed study
Authors find similar effects across eurozone and in US at county level
Canada’s GDP revisions ‘raise questions over monetary policy’
However, experts disagree on whether central bank’s modelling was flawed and if it cut rates too quickly
Two-thirds of central banks forecast policy rate in main models
But relatively few make their rate forecasts public
Economists’ median salary falls below $30,000 a year
Annual budget of economics departments averages under $1 million