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 |
2 |
612 |

A New Framework for Yield Curve, Output and Inflation Relationships |
0 |
0 |
0 |
212 |
0 |
1 |
3 |
514 |

A Yield Curve Perspective on Uncovered Interest Parity |
0 |
1 |
1 |
279 |
0 |
2 |
4 |
1,257 |

A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates |
1 |
3 |
6 |
118 |
2 |
4 |
10 |
216 |

A comment on Wu and Xia (2016) from a macroeconomic perspective |
0 |
2 |
4 |
72 |
1 |
3 |
6 |
227 |

A model for interest rates near the zero lower bound: An overview and discussion |
1 |
1 |
1 |
174 |
1 |
1 |
3 |
255 |

A theoretical foundation for the Nelson and Siegel class of yield curve models |
0 |
0 |
0 |
106 |
0 |
0 |
2 |
237 |

A theoretical foundation for the Nelson and Siegel class of yield curve models |
0 |
0 |
0 |
111 |
0 |
0 |
2 |
318 |

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 |
1 |
72 |
0 |
0 |
2 |
143 |

A tractable framework for zero lower bound Gaussian term structure models |
2 |
2 |
5 |
166 |
3 |
4 |
20 |
415 |

A tractable framework for zero-lower-bound Gaussian term structure models |
0 |
0 |
1 |
85 |
3 |
4 |
18 |
260 |

An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models |
0 |
2 |
2 |
358 |
0 |
2 |
5 |
973 |

Asset markets and monetary policy shocks at the zero lower bound |
0 |
0 |
0 |
116 |
0 |
0 |
0 |
105 |

Asset markets and monetary policy shocks at the zero lower bound |
0 |
0 |
0 |
144 |
0 |
1 |
3 |
265 |

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 |
0 |
0 |
366 |

Efficient Jacobian evaluations for estimating zero lower bound term structure models |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
95 |

Estimating and Applying Autoregression Models Via Their Eigensystem Representation |
0 |
0 |
3 |
3 |
0 |
0 |
4 |
4 |

Estimating and Applying Autoregression Models via Their Eigensystem Representation |
0 |
1 |
26 |
26 |
1 |
2 |
29 |
29 |

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 |
1 |
86 |
0 |
0 |
1 |
97 |

Forecasting New Zealand's economic growth using yield curve information |
0 |
0 |
0 |
94 |
0 |
0 |
0 |
236 |

Investigating a measure of conventional and unconventional stimulus for the euro area |
0 |
0 |
2 |
26 |
0 |
1 |
8 |
35 |

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 |
1 |
1 |
1,153 |

Measuring the stance of monetary policy in conventional and unconventional environments |
2 |
4 |
7 |
269 |
3 |
6 |
17 |
456 |

Measuring the stance of monetary policy in zero lower bound environments |
0 |
0 |
2 |
69 |
0 |
0 |
16 |
198 |

Measuring the stance of monetary policy in zero lower bound environments |
1 |
1 |
4 |
140 |
1 |
1 |
13 |
312 |

Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation |
0 |
0 |
2 |
549 |
0 |
0 |
5 |
1,580 |

Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach |
0 |
2 |
4 |
409 |
1 |
7 |
11 |
1,224 |

Modifying Gaussian term structure models when interest rates are near the zero lower bound |
1 |
1 |
1 |
61 |
1 |
1 |
2 |
191 |

Modifying Gaussian term structure models when interest rates are near the zero lower bound |
0 |
0 |
0 |
137 |
2 |
4 |
8 |
440 |

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) |
2 |
2 |
4 |
84 |
3 |
4 |
9 |
199 |

Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound |
0 |
1 |
2 |
121 |
1 |
5 |
7 |
164 |

Real-time forecasting with macro-finance models in the presence of a zero lower bound |
0 |
0 |
1 |
101 |
0 |
2 |
7 |
138 |

Short-term risk premiums and policy rate expectations in the United States |
0 |
0 |
1 |
41 |
0 |
1 |
8 |
77 |

Testing the predictive power of New Zealand bank bill futures rates |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
643 |

The effect of conventional and unconventional euro area monetary policy on macroeconomic variables |
1 |
2 |
2 |
128 |
1 |
3 |
6 |
212 |

The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
0 |
72 |
0 |
1 |
4 |
173 |

The interest rate pass-through in the euro area during the sovereign debt crisis |
1 |
1 |
1 |
51 |
1 |
1 |
15 |
144 |

The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
2 |
100 |
0 |
0 |
13 |
289 |

The interest rate pass-through in the euro area during the sovereign debt crisis |
0 |
0 |
0 |
69 |
0 |
0 |
14 |
216 |

Will the real eigensystem VAR please stand up? A univariate primer |
0 |
0 |
0 |
79 |
0 |
1 |
2 |
78 |

Total Working Papers |
12 |
26 |
86 |
5,811 |
25 |
63 |
280 |
15,342 |