Monetary policy and the yield curve at zero interest

@article{Ichiue2015MonetaryPA,
  title={Monetary policy and the yield curve at zero interest},
  author={Hibiki Ichiue and Yoichi Ueno},
  journal={Journal of The Japanese and International Economies},
  year={2015},
  volume={38},
  pages={1-12}
}
In contrast to affine term structure models, Black’s (1995) model of interest rates as options has properties suitable to examine the yield curve when the short-term interest rate is near zero. We estimate a Black’s model with Japan’s data to extract market expectations about duration of zero interest. We find that expectations about duration have substantially varied, which contradicts with the assumption utilized in the literature. We also find a tight link between expectations about duration… Expand

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