非常规货币政策与收益率曲线:用因子提取法估计具有无跨越宏观风险的非仿射期限结构模型

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-06-20 DOI:10.1093/rapstu/raad011

A. Golinski, P. Spencer

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引用次数: 0

摘要

我们展示了如何修改用于估计高斯期限结构模型的Joslin, Singleton和Zhu(2011)的因子提取方法，以处理利率下界，而无需使用其他方法中使用的近似。这大大减少了计算时间，并产生了更可靠的下界参数和阴影率估计。Joslin、Priebsch和Singleton(2014)的研究使得广泛的规范搜索成为可能，以考虑未跨越的因素，从而允许使用期限结构模型来更好地评估政策对期限溢价和市场预期的影响。(JEL G12, C13, E43)收稿日期:2022年6月28日;编辑决定2023年5月12日陈慧编辑

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Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction

We show how the Joslin, Singleton, and Zhu (2011) factor extraction approach to estimating the Gaussian term structure model can be modified to handle the interest rate lower bound without the approximations used in other approaches. This drastically reduces the computation time and produces more robust estimates of the lower bound parameter and the shadow rate. It makes feasible the extensive specification search necessary to allow for unspanned factors as in Joslin, Priebsch, and Singleton (2014), allowing the term structure model to be used to better assess the effects of policy on the term premium and market expectations. (JEL G12, C13, E43) Received June 28, 2022; editorial decision May 12, 2023 by Editor Hui Chen

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.