Details about Andrew Meldrum

Access statistics for papers by Andrew Meldrum.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pme699

Working Papers

2025

1. The Relationship between Market Depth and Liquidity Fragility in the Treasury Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2023

2. The Effects of Volatility on Liquidity in the Treasury Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2021

3. High-Frequency Estimates of the Natural Real Rate and Inflation Expectations
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
4. The Treasury Market Flash Event of February 25, 2021
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2020

5. New Financial Market Measures of the Neutral Real Rate and Inflation Expectations
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
6. What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (4)

2019

7. Bond Risk Premiums at the Zero Lower Bound
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
8. Expectations about the Federal Funds Rate in the Long Run
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2018

9. A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
10. Predicting Recession Probabilities Using the Slope of the Yield Curve
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2017

11. Robustness of Long-Maturity Term Premium Estimates
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (11)

2015

12. Dynamic term structure models: the best way to enforce the zero lower bound in the United States
    Bank of England working papers, Bank of England View citations (3)
13. Long-run priors for term structure models
    Bank of England working papers, Bank of England View citations (3)
14. Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach
    Bank of England working papers, Bank of England View citations (13)

2014

15. Dynamic term structure models: The best way to enforce the zero lower bound
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
16. Evaluating the robustness of UK term structure decompositions using linear regression methods
    Bank of England working papers, Bank of England View citations (10)
    See also Journal Article Evaluating the robustness of UK term structure decompositions using linear regression methods, Journal of Banking & Finance, Elsevier (2016) View citations (23) (2016)

2013

17. Likelihood inference in non-linear term structure models: the importance of the lower bound
    Bank of England working papers, Bank of England View citations (9)

2011

18. A global model of international yield curves: no-arbitrage term structure approach
    Bank of England working papers, Bank of England View citations (7)
    See also Journal Article A GLOBAL MODEL OF INTERNATIONAL YIELD CURVES: NO‐ARBITRAGE TERM STRUCTURE APPROACH, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2013) View citations (11) (2013)

2009

19. Financial Stability Paper No 6: A Risk-Based Methodology for Payment Systems Oversight
    Bank of England Financial Stability Papers, Bank of England View citations (3)

Journal Articles

2016

1. Evaluating the robustness of UK term structure decompositions using linear regression methods
   Journal of Banking & Finance, 2016, 67, (C), 85-102 View citations (23)
   See also Working Paper Evaluating the robustness of UK term structure decompositions using linear regression methods, Bank of England working papers (2014) View citations (10) (2014)

2013

2. A GLOBAL MODEL OF INTERNATIONAL YIELD CURVES: NO‐ARBITRAGE TERM STRUCTURE APPROACH
   International Journal of Finance & Economics, 2013, 18, (4), 352-374 View citations (11)
   See also Working Paper A global model of international yield curves: no-arbitrage term structure approach, Bank of England working papers (2011) View citations (7) (2011)