Details about Leo Krippner

Access statistics for papers by Leo Krippner.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pkr73

Working Papers

2024

1. Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2023

2. Estimating and Applying Autoregression Models Via Their Eigensystem Representation
   Working Papers in Economics, University of Waikato
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2023)

2021

3. Investigating a measure of conventional and unconventional stimulus for the euro area
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2019

4. Will the real eigensystem VAR please stand up? A univariate primer
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2018

5. Real-time forecasting with macro-finance models in the presence of a zero lower bound
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (1)

2017

6. A comment on Wu and Xia (2016) from a macroeconomic perspective
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (6)

2016

7. Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound
   Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (21)
   See also Journal Article Monetary Policy Spillovers across the Pacific when Interest Rates Are at the Zero Lower Bound, Asian Economic Papers, MIT Press (2016) View citations (21) (2016)
8. Short-term risk premiums and policy rate expectations in the United States
   Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (2)
9. The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
   Discussion Papers, Deutsche Bundesbank View citations (13)

2015

10. A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (51)
11. The interest rate pass-through in the euro area during the sovereign debt crisis
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (14)
    Also in Discussion Papers, Deutsche Bundesbank (2015) View citations (18)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015) View citations (15)
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2015) View citations (18)
    See also Journal Article The interest rate pass-through in the euro area during the sovereign debt crisis, Journal of International Money and Finance, Elsevier (2016) View citations (56) (2016)

2014

12. Asset markets and monetary policy shocks at the zero lower bound
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (30)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2014) View citations (26)
13. Measuring the stance of monetary policy in conventional and unconventional environments
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (51)

2013

14. A tractable framework for zero lower bound Gaussian term structure models
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (106)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (99)
15. Efficient Jacobian evaluations for estimating zero lower bound term structure models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
16. Faster solutions for Black zero lower bound term structure models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)

2012

17. 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 View citations (5)
18. 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 View citations (5)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009)
19. Measuring the stance of monetary policy in zero lower bound environments
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (14)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (11)
    See also Journal Article Measuring the stance of monetary policy in zero lower bound environments, Economics Letters, Elsevier (2013) View citations (411) (2013)
20. 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 View citations (84)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) View citations (14)
21. 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 View citations (4)

2010

22. 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 View citations (5)

2009

23. 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

24. 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 (2)

2006

25. A Yield Curve Perspective on Uncovered Interest Parity
    Working Papers in Economics, University of Waikato View citations (8)

2005

26. A New Framework for Yield Curve, Output and Inflation Relationships
    Working Papers in Economics, University of Waikato View citations (1)
27. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    Working Papers in Economics, University of Waikato View citations (5)
28. 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
29. 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

2003

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

2002

32. 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 (2)

1998

33. 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

2024

1. Specifying and estimating vector autoregressions using their eigensystem representation
   Economics Letters, 2024, 241, (C)

2020

2. A Note of Caution on Shadow Rate Estimates
   Journal of Money, Credit and Banking, 2020, 52, (4), 951-962 View citations (54)

2018

3. Asset market responses to conventional and unconventional monetary policy shocks in the United States
   Journal of Banking & Finance, 2018, 97, (C), 270-282 View citations (12)
4. CONTEMPORARY TOPICS IN FINANCE: A COLLECTION OF LITERATURE SURVEYS
   Journal of Economic Surveys, 2018, 32, (5), 1221-1228

2016

5. Monetary Policy Spillovers across the Pacific when Interest Rates Are at the Zero Lower Bound
   Asian Economic Papers, 2016, 15, (3), 1-27 View citations (21)
   See also Working Paper Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound, Reserve Bank of New Zealand Discussion Paper Series (2016) View citations (21) (2016)
6. The interest rate pass-through in the euro area during the sovereign debt crisis
   Journal of International Money and Finance, 2016, 68, (C), 386-402 View citations (56)
   See also Working Paper The interest rate pass-through in the euro area during the sovereign debt crisis, VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy (2015) View citations (14) (2015)

2015

7. A Theoretical Foundation for the Nelson–Siegel Class of Yield Curve Models
   Journal of Applied Econometrics, 2015, 30, (1), 97-118 View citations (11)

2013

8. Measuring the stance of monetary policy in zero lower bound environments
   Economics Letters, 2013, 118, (1), 135-138 View citations (411)
   See also Working Paper Measuring the stance of monetary policy in zero lower bound environments, Reserve Bank of New Zealand Discussion Paper Series (2012) View citations (14) (2012)

2012

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

2010

10. Connecting the dots: a yield curve perspective on New Zealand’s interest rates
    Reserve Bank of New Zealand Bulletin, 2010, 73 View citations (2)

2006

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

2001

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