The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises

DOI10.1016/J.JEDC.2022.104355MaRDI QIDQ2136958zbMATH OpenOpenAlexFDO

Authors Fei Shang

Publication date 16 May 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104355

zbMATH Keywords

dynamic Nelson-Siegel model with regime shiftsmonetary policy surprisesuncertainty

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Monetary policy uncertainty and economic fluctuations
• Economic policy uncertainty and the yield curve
• Risk aversion, uncertainty, and monetary policy: structural vector autoregressions identified with high-frequency external instruments
• The effects of monetary policy regime shifts on the term structure of interest rates

Cites work

• Efficient simulation and integrated likelihood estimation in state space models
• Fast computation of the deviance information criterion for latent variable models
• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Forecasting the term structure of government bond yields
• Really uncertain business cycles
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• The Impact of Uncertainty Shocks
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation

Cited in

(6)

• The slope of the yield curve and real economic activity: tracing the transmission mechanism
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Risk aversion, uncertainty, and monetary policy: structural vector autoregressions identified with high-frequency external instruments
• Bond yields and debt supply: new evidence through the lens of a preferred-habitat model
• The yield curve and financial risk premia. Implications for monetary policy.
• The time-varying U.S. treasury bond demand elasticity

This page was built for publication: The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2136958)