Corpus ID: 54995066

Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields

@inproceedings{Ichiue2013EstimatingTP,
  title={Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields},
  author={Hibiki Ichiue and Yoichi Ueno},
  year={2013}
}
This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK data until March 2013. These models produce very different results, which are attributable to the ATSM's neglect of the zero lower bound (ZLB). The 10-year term premium estimated by the ATSM occasionally deviates from that estimated by the SRM by around 2 percentage points, and the deviation has recently widened in the US and the UK. The ATSM consistently overestimates the long… Expand

Figures and Tables from this paper

Estimating the Monetary Policy Measures of Japan in Shadow/ZLB Term Structure Model
Monetary policy and the yield curve at zero interest
The (Ir)Relevance of the Nominal Lower Bound for Real Yield Curve Analysis
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 39 REFERENCES
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields
Monetary policy and the yield curve at zero interest
The Response of Interest Rates to US and UK Quantitative Easing
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
...
1
2
3
4
...