Zero Lower Bound Term Structure Modeling

A Practitioner’s Guide

L. Krippner (Autor)

Buch | Hardcover

409 Seiten

2015
Palgrave Macmillan (Verlag)
978-1-137-40832-7 (ISBN)

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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.

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

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

Reihe/Serie	Applied Quantitative Finance
Zusatzinfo	XXVIII, 409 p.
Verlagsort	Basingstoke
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik
	Naturwissenschaften
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
ISBN-10	1-137-40832-4 / 1137408324
ISBN-13	978-1-137-40832-7 / 9781137408327
Zustand	Neuware