Unconventional monetary policies and the yield curve:Estimating non-affine term structure models with unspanned macro risk by factor extraction

Golinski, Adam orcid.org/0000-0001-8603-1171 and Spencer, Peter orcid.org/0000-0002-5595-5360 (2024) Unconventional monetary policies and the yield curve:Estimating non-affine term structure models with unspanned macro risk by factor extraction. Review of Asset Pricing Studies. pp. 119-152. ISSN 2045-9920

Abstract

Metadata

Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information:

© The Author(s) 2023.

Keywords: Term structure,Shadow rate,No-arbitrage restrictions,Macro-finance model
Dates:
  • Published: 1 March 2024
  • Published (online): 20 June 2023
  • Accepted: 12 May 2023
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 17 May 2023 08:50
Last Modified: 16 Oct 2024 19:12
Published Version: https://doi.org/10.1093/rapstu/raad011
Status: Published
Refereed: Yes
Identification Number: 10.1093/rapstu/raad011
Open Archives Initiative ID (OAI ID):

Download

Filename: raad011.pdf

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

Licence: CC-BY 2.5

Export

Statistics