A Time Series Model of Interest Rates With the Effective Lower Bound

Benjamin K. Johannsen and Elmar Mertens
Additional contact information
Benjamin K. Johannsen: https://www.federalreserve.gov/econres/benjamin-k-johannsen.htm

No 2016-033, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Modeling interest rates over samples that include the Great Recession requires taking stock of the effective lower bound (ELB) on nominal interest rates. We propose a flexible time? series approach which includes a ?shadow rate??a notional rate that is less than the ELB during the period in which the bound is binding?without imposing no?arbitrage assumptions.{{p}}The approach allows us to estimate the behavior of trend real rates as well as expected future interest rates in recent years.

Keywords: Bayesian Econometrics; Effective Lower Bound; Shadow Rate; State-Space Model; Term Structure of Interest Rates (search for similar items in EconPapers)
JEL-codes: C32 C34 C53 E43 E47 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2016-04-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac, nep-mon and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.federalreserve.gov/econresdata/feds/2016/files/2016033pap.pdf (application/pdf)

Related works:
Journal Article: A Time‐Series Model of Interest Rates with the Effective Lower Bound (2021)
Working Paper: A time series model of interest rates with the effective lower bound (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2016-33

DOI: 10.17016/FEDS.2016.033

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().