Zero lower bound term structure modeling : a practitioner's guide
著者
書誌事項
Zero lower bound term structure modeling : a practitioner's guide
（Applied quantitative finance series）
Palgrave Macmillan, 2015
- : hardback
大学図書館所蔵 全4件
注記
Bibliography: p. [397]-402
Includes index
内容説明・目次
内容説明
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
目次
Chapter 1: Introduction Chapter 2: A New Framework for a New Environment Chapter 3: Gaussian Affine Term Structure Models Chapter 4: Krippner Framework for ZLB Term Structure Modeling Chapter 5: Black Framework for ZLB Term Structure Modeling Chapter 6: K-ANSM Foundations and "Effective Monetary Stimulus" Chapter 7: Monetary Policy Applications Chapter 8: Financial Market Applications Chapter 9: Conclusions and Future Research Directions Appendix A: Matrix Notation
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