Details about Leo Krippner

Access statistics for papers by Leo Krippner.

Last updated 2013-04-29. Update your information in the RePEc Author Service.

Short-id: pkr73

Working Papers

2012

1. A model for interest rates near the zero lower bound: An overview and discussion
   Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand
2. A theoretical foundation for the Nelson and Siegel class of yield curve models
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009)
3. Measuring the stance of monetary policy in zero lower bound environments
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2012) View citations (2)
   See also Journal Article in Economics Letters (2013)
4. Modifying Gaussian term structure models when interest rates are near the zero lower bound
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011)
5. Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2010

6. A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand

2009

7. Forecasting New Zealand's economic growth using yield curve information
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (3)

2008

8. A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)

2006

9. A Yield Curve Perspective on Uncovered Interest Parity
   Working Papers in Economics, University of Waikato, Department of Economics View citations (5)

2005

10. A New Framework for Yield Curve, Output and Inflation Relationships
    Working Papers in Economics, University of Waikato, Department of Economics View citations (1)
11. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    Working Papers in Economics, University of Waikato, Department of Economics View citations (4)
12. Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
    Working Papers in Economics, University of Waikato, Department of Economics
13. Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    Working Papers in Economics, University of Waikato, Department of Economics

2003

14. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
    Working Papers in Economics, University of Waikato, Department of Economics View citations (1)
15. Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach
    Working Papers in Economics, University of Waikato, Department of Economics View citations (2)

2002

16. Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (1)

1998

17. Testing the predictive power of New Zealand bank bill futures rates
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (3)

Journal Articles

2013

1. Measuring the stance of monetary policy in zero lower bound environments
   Economics Letters, 2013, 118, (1), 135-138
   See also Working Paper (2012)

2012

2. A proposal for improving forward guidance
   Economic Synopses, 2012 View citations (1)

2010

3. Connecting the dots: a yield curve perspective on New Zealand’s interest rates
   Reserve Bank of New Zealand Bulletin, 2010, 73 View citations (1)

2006

4. A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
   Applied Mathematical Finance, 2006, 13, (1), 39-59 View citations (9)

2001

5. Market expectations of the Official Cash Rate
   Reserve Bank of New Zealand Bulletin, 2001, 64 View citations (4)