Zero Lower Bound Term Structure Modeling


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English Pages 436 Year 2015

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Table of contents :
Front Matter....Pages i-xxviii
Introduction....Pages 1-7
A New Framework for a New Environment....Pages 9-44
Gaussian Affine Term Structure Models....Pages 45-104
Krippner Framework for ZLB Term Structure Modeling....Pages 105-158
Black Framework for ZLB Term Structure Modeling....Pages 159-218
K-ANSM Foundations and Effective Monetary Stimulus....Pages 219-271
Monetary Policy Applications....Pages 273-316
Financial Market Applications....Pages 317-368
Conclusion and Future Research Directions....Pages 369-376
Back Matter....Pages 377-409

Zero Lower Bound Term Structure Modeling

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