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1. 1. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Oliver Krek; [2018]
   Keywords : Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

   Abstract : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. READ MORE