| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models |
0 |
0 |
0 |
299 |
0 |
0 |
0 |
612 |
| A New Framework for Yield Curve, Output and Inflation Relationships |
0 |
0 |
0 |
212 |
0 |
0 |
1 |
515 |
| A Yield Curve Perspective on Uncovered Interest Parity |
0 |
0 |
0 |
279 |
0 |
0 |
1 |
1,258 |
| A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates |
0 |
0 |
1 |
119 |
1 |
1 |
4 |
220 |
| A comment on Wu and Xia (2016) from a macroeconomic perspective |
0 |
0 |
3 |
75 |
1 |
2 |
11 |
238 |
| A model for interest rates near the zero lower bound: An overview and discussion |
0 |
0 |
0 |
174 |
0 |
2 |
5 |
260 |
| A theoretical foundation for the Nelson and Siegel class of yield curve models |
0 |
0 |
0 |
106 |
0 |
0 |
0 |
237 |
| A theoretical foundation for the Nelson and Siegel class of yield curve models |
0 |
0 |
0 |
111 |
1 |
1 |
2 |
320 |
| A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics |
0 |
0 |
0 |
72 |
0 |
1 |
1 |
144 |
| A tractable framework for zero lower bound Gaussian term structure models |
0 |
1 |
1 |
167 |
0 |
3 |
6 |
421 |
| A tractable framework for zero-lower-bound Gaussian term structure models |
0 |
0 |
1 |
86 |
1 |
1 |
3 |
263 |
| An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models |
0 |
0 |
1 |
359 |
0 |
0 |
1 |
974 |
| Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form |
0 |
2 |
14 |
14 |
0 |
2 |
14 |
14 |
| Asset markets and monetary policy shocks at the zero lower bound |
0 |
0 |
0 |
116 |
0 |
0 |
1 |
106 |
| Asset markets and monetary policy shocks at the zero lower bound |
0 |
0 |
1 |
145 |
1 |
2 |
4 |
269 |
| Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve |
0 |
0 |
0 |
101 |
0 |
1 |
4 |
370 |
| Efficient Jacobian evaluations for estimating zero lower bound term structure models |
0 |
0 |
0 |
60 |
1 |
2 |
3 |
98 |
| Estimating and Applying Autoregression Models Via Their Eigensystem Representation |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
5 |
| Estimating and Applying Autoregression Models via Their Eigensystem Representation |
0 |
0 |
3 |
29 |
0 |
0 |
6 |
35 |
| Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve |
0 |
0 |
0 |
123 |
0 |
0 |
0 |
796 |
| Faster solutions for Black zero lower bound term structure models |
0 |
0 |
0 |
86 |
0 |
5 |
6 |
103 |
| Forecasting New Zealand's economic growth using yield curve information |
0 |
0 |
0 |
94 |
0 |
0 |
1 |
237 |
| Investigating a measure of conventional and unconventional stimulus for the euro area |
0 |
0 |
1 |
27 |
0 |
0 |
2 |
37 |
| Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models |
0 |
0 |
0 |
433 |
0 |
0 |
2 |
1,155 |
| Measuring the stance of monetary policy in conventional and unconventional environments |
1 |
1 |
2 |
271 |
3 |
3 |
12 |
468 |
| Measuring the stance of monetary policy in zero lower bound environments |
0 |
0 |
0 |
140 |
0 |
1 |
2 |
314 |
| Measuring the stance of monetary policy in zero lower bound environments |
0 |
0 |
1 |
70 |
0 |
1 |
3 |
201 |
| Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation |
0 |
0 |
0 |
549 |
2 |
5 |
10 |
1,590 |
| Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach |
0 |
0 |
1 |
410 |
0 |
1 |
3 |
1,227 |
| Modifying Gaussian term structure models when interest rates are near the zero lower bound |
0 |
0 |
0 |
137 |
0 |
0 |
4 |
444 |
| Modifying Gaussian term structure models when interest rates are near the zero lower bound |
0 |
0 |
2 |
63 |
1 |
2 |
7 |
198 |
| Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011) |
0 |
0 |
0 |
84 |
1 |
1 |
2 |
201 |
| Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound |
0 |
0 |
0 |
121 |
0 |
0 |
2 |
166 |
| Real-time forecasting with macro-finance models in the presence of a zero lower bound |
0 |
1 |
2 |
103 |
1 |
3 |
6 |
144 |
| Short-term risk premiums and policy rate expectations in the United States |
0 |
0 |
1 |
42 |
2 |
2 |
5 |
82 |
| Testing the predictive power of New Zealand bank bill futures rates |
0 |
0 |
0 |
67 |
0 |
0 |
2 |
645 |
| The effect of conventional and unconventional euro area monetary policy on macroeconomic variables |
0 |
0 |
1 |
129 |
0 |
2 |
4 |
216 |
| The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
0 |
72 |
0 |
0 |
0 |
173 |
| The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
1 |
2 |
71 |
0 |
3 |
5 |
221 |
| The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
0 |
100 |
0 |
1 |
1 |
290 |
| The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
0 |
51 |
0 |
2 |
4 |
148 |
| Will the real eigensystem VAR please stand up? A univariate primer |
0 |
0 |
1 |
80 |
1 |
1 |
2 |
80 |
| Total Working Papers |
1 |
6 |
40 |
5,851 |
17 |
51 |
153 |
15,495 |
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