Zero lower bound term structure modeling: a practitioner's guide
"This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of ma...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke
palgrave macmillan
2015
|
| Series: | Applied quantitative finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | "This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of macro-finance. Split into seven chapters with two appendices, the book first provides an introduction to the principles of term structure modeling, its application to macro-finance and monetary policy, and the complications introduced by the ZLB for nominal interest rates. The following chapters focus on developing unique frameworks to better evaluate ZLB interest rates and bond prices. Finally, the book looks at applications in the field, such as monitoring the stance of unconventional monetary policy and managing fixed income portfolio risk. This book will be an essential desk reference for central bankers, market practitioners, and researchers, and will be a must-read for anyone involved in bond portfolio pricing, risk management, and macroeconomic and monetary policy analysis".. |
| Item Description: | Includes bibliographical references (pages 397-402) and index |
| Physical Description: | XXVIII, 409 S. graph. Darst. 24 cm |
| ISBN: | 9781137408327 1137408324 |
Staff View
MARC
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| 490 | 0 | |a Applied quantitative finance | |
| 500 | |a Includes bibliographical references (pages 397-402) and index | ||
| 520 | |a "This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of macro-finance. Split into seven chapters with two appendices, the book first provides an introduction to the principles of term structure modeling, its application to macro-finance and monetary policy, and the complications introduced by the ZLB for nominal interest rates. The following chapters focus on developing unique frameworks to better evaluate ZLB interest rates and bond prices. Finally, the book looks at applications in the field, such as monitoring the stance of unconventional monetary policy and managing fixed income portfolio risk. This book will be an essential desk reference for central bankers, market practitioners, and researchers, and will be a must-read for anyone involved in bond portfolio pricing, risk management, and macroeconomic and monetary policy analysis".. | ||
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Record in the Search Index
| _version_ | 1804174795844091904 |
|---|---|
| adam_text | Contents
List of Figures ....................................................xiii
List of Tables......................................................xvii
Preface..............................................................xix
Acknowledgments......................................................xxi
Selected List of Notation..........................................xxiii
Classification and Abbreviations for Term Structure Models.........xxvii
1 introduction.......................................................... 1
1-1 Chapter overview................................................. 2
1.2 Suggested reading ............................................... 3
1.2.1 Group 1: General monetary policy readers.................. 4
1.2.2 Group 2: General financial market readers................. 4
1.2.3 Group 3: Term structure modelers ......................... 4
1.3 Data............................................................. 5
1.4 Availability of results and code................................. 6
1.5 References to the literature .................................... 6
1.6 Other preliminaries.............................................. 7
2 A New Framework for a New Environment................................. 9
2.1 Monetary policy.................................................. 9
2. El Fre-GFC................................................... 9
2.1.2 Post֊GFC .............................................. 14
2.2 Term structure modeling......................................... 18
2.2.1 Pre֊GFC.................................................. 19
2.2.2 Post-GFC ................................................ 23
23 Shadow/ZLB term structure models................................ 29
23.1 ZLB mechanism............................................ 29
2.3.2 Options to hold physical currency........................ 36
2.4 Monetary policy revisited....................................... 38
2.5 Alternative ZLB models ......................................... 40
2.5.1 Square֊root term structure models........................ 42
2.5.2 Log-normal term structure models......................... 43
2.53 Quadratic Gaussian term structure models.................. . 43
2 6 Summary......................................................... . 44
viii J Contents
3 Gaussian Affine Term Structure Models................................ 45
3.1 GATSMs............................................................46
3.1.1 GATSM specification....................................... 46
3.1.2 GATSM dynamics and related calculations...................48
3.1.3 GATSM termstructure....................................... 51
3.2 GATSM estimation.................................................. 51
3.2.1 Kalman filter equations and related parameters............ 53
3.2.2 Partial estimation........................................ 55
3.2.3 Full estimation........................................... 57
3.3 Worked example: ANSM(2) ..........................................60
3.3.1 ANSM(2) Specification..................................... 61
3.3.2 ANSM(2) Term structure.................................... 61
3.3.3 Partial ANSM(2) estimation with the Kalman filter......... 66
3.3.4 Full ANSM(2) estimation with the Kalman filter............ 70
3.4 Other GATSMs...................................................... 75
3.4.1 ANSM(3) .................................................. 76
3.4.2 Higher֊order ANSMs........................................ 81
3.4.3 Non-arbitrage-free ANSMs.................................. 84
3.4.4 Stationary GATSMs ........................................ 86
3.4.5 Stationary GATSMs with repeated eigenvalues............... 90
3.5 Empirical applications............................................ 91
3.5.1 Yield curve data set......................................91
3.5.2 ANSM(2) results........................................... 93
3.5.3 ANSM(3) results........................................... 97
3.6 Alternative estimation methods....................................100
3.6.1 Estimation using forward rates............................100
3.6.2 Estimation using bond prices..............................103
3.7 Summary...........................................................103
4 Krippner Framework for ZLB Term Structure Modeling...................105
4.1 K-AGM exposition................................................105
4.1.1 K-AGM Intuition.......................................... 106
4.1.2 K-AGM option effect ......................................107
4.1.3 K-AGM forward rates...................................... Ill
4.1.4 Observations on the K-AGM framework.......................112
4.1.5 Comparison with related results in the literature........114
4.1.6 K-AGM interest rates and bond prices......................115
4.2 K-AGM estimation..................................................117
4.2.1 K-AGMs and nonlinear Kalman filters.......................117
4.2.2 Partial estimation........................................118
4.2.3 Full estimation...........................................125
4.3 Worked example: K-ANSM(2).........................................126
4.3.1 K-ANSM(2) specification ..................................126
Contents | ix
4.3.2 K-ANSM(2) shadow term structure ........................128
4.3.3 K-ANSM(2) ZLB term structure............................129
4.3.4 K-ANSM(2) Estimation....................................130
4.4 Other K֊AGMs....................................................134
4.4.1 K-ANSM(3)...............................................135
4.4.2 Higher-order K-ANSMs ...................................136
4.4.3 Non-arbitrage-free K-ANSMs..............................136
4.4.4 Stationary K-AGMs ......................................139
4.5 Empirical applications..........................................141
4.5.1 K֊ANSM(2) results.......................................141
4.5.2 K-ANSM(3) results.......................................145
4.6 Alternative estimation methods..................................147
4.6.1 Estimation using forward rates..........................147
4.6.2 Estimation using bond prices............................152
4.6.3 Iterative estimation using GATSMs.......................155
4.7 Summary.........................................................157
5 Black Framework for ZLB Term Structure Modeling....................159
5.1 The B-AGM framework principles..................................160
5.1.1 Initial comparison of the B-AGM and K-AGM
frameworks..............................................164
5.2 B-AGM implementation............................................168
5.2.1 Customized calculation methods .........................168
5.2.2 Finite difference methods...............................169
5.2.3 Lattice methods.........................................170
5.2.4 Monte Carlo methods.....................................171
5.3 B-AGM Monte Carlo implementations...............................172
5.3.1 B -AGM Monte Carlo specification........................173
5.3.2 Computing time for B-AGM Monte Carlo simulations .... 178
5.3.3 Antithetic sampling.....................................180
5.3.4 Other potentially useful standard speed up methods......181
5.3.5 Worked example: B-ANSM(2)...............................181
5.3.6 Other B-AGMs............................................184
5.4 K-AGM as a control variate for B-AGM Monte Carlo simulations ... 185
5.4.1 Defining the control variate............................186
5.4.2 B-AGM(l) illustration...................................188
5.4.3 Extensions to more than one state variable..............192
5.5 B-AGM estimation................................................198
5.5.1 Partial estimation......................................199
5.5.2 Full estimation.........................................204
5.5.3 Alternative estimation methods .........................206
5.6 Approximations to B-AGMs........................................206
5.6.1 K-AGMs as approximations to B-AGMs......................206
x J Contents
5.6.2 B-AGM cumulant. approximations............................211
5.6.3 Non-arbitrage-free B-ANSMs................................215
5.6.4 Applying B-AGM approximations.............................216
5.7 Summary.........................................................212
6 K-ANSM Foundations and Effective Monetary Stimulus...................219
6.1 Overview of the economic model and its development..............220
6.1.1 Establishing the GCE......................................221
6.1.2 The nominal term structure in. the GCE....................222
6.1.3 A macroeconomic interpretation of the GCE.................224
6.1.4 GCE generalizations.......................................225
6.2 ANSMs as the reduced-form GCE term structure.....................226
6.2.1 ANSM specifications.......................................222
6.2.2 GCE short rate and ANSM short rate........................229
6.2.3 GCE and ANSM long-horizon short, rate expectations.......230
6.2.4 GCE and ANSM short rate expectations......................231
6.2.5 Long-run GCE volatility effect and the ANSM Level
volatility effect.........................................235
6.2.6 Other volatility effects..................................235
6.2.7 Parsimonious ANSM state equations.........................240
6.2.8 ANSM macroeconomic interpretation.........................245
6.3 Using ANSMs to represent the shadow term structure...............247
6.4 Theoretical case for the K-AGM framework.........................248
6.4.1 Pricing in the B-AGM and K-AGM frameworks.................249
6.4.2 The GCE market portfolio and discount rates without
physical currency.........................................252
6.4.3 The market portfolio and discount rates with physical
currency................................253
6.5 The EMS measure of monetary policy...............................254
6.5.1 EMS Principles...........................................255
6.5.2 K-ANSM EMS measure........................................258
6.5.3 Worked example; K֊ANSM(2) EMS ............................259
6.5.4 K֊ANSM(3) EMS.............................................263
6.6 Summary...................................................... 270
7 Monetary Policy Applications...........................................273
7.1 Overview of K֊ANSMs, estimation, and empirical results...........274
7.2 Measures of the stance of monetary policy........................278
7.2.1 Overview of three monetary policy measures................279
7.2.2 Monetary policy measures in the ZLB environment...........280
7.3 The Shadow Short Rate (SSR)......................................286
7.3.1 Theoretical overview......................................286
7.3.2 Empirical overview........................................288
7.3.3 Empirical evidence........................................289
Contents [ xi
7.3.4 SSR summary..............................................294
7.4 The Expected Time to Zero (ETZ).................................295
7.4.1 Theoretical overview.....................................296
7.4.2 Empirical overview and evidence .........................297
7.5 The Effective Monetary Stimulus (EMS)...........................297
7.5.1 Theoretical overview.....................................298
7.5.2 Empirical overview and evidence .........................300
7.5.3 Linking the SSR and the EMS..............................305
7.5.4 EMS summary..............................................305
7.6 K-ANSM macrofinance relationships...............................306
7.6.1 K-ANSM Level and long-horizon macroeconomic
surveys.................................................307
7.6.2 K-ANSM EMS and macroeconomic data........................309
7.6.3 K-ANSM(3) EMS and currencies ............................311
7.7 Summary.........................................................316
Financial Market Applications .....................................317
8.1 Fixed interest portfolio risk...................................318
8.1.1 Security and portfolio risk..............................318
8.1.2 Fixed interest security and portfolio risk in non-ZLB
environments............................................319
8.1.3 Fixed interest security and portfolio risk in ZLB
environments............................................322
8.2 A risk framework based on ANSMs ................................326
8.2.1 ANSM term structure shifts...............................327
8.2.2 ANSM factor durations....................................327
8.2.3 ANSM fixed interest portfolio risk.......................329
8.3 Worked example: ANSM(2) ........................................331
8.3.1 ANSM(2) yield curve shifts...............................331
8.3.2 ANSM(2) duration vector..................................334
8.3.3 Level duration approximation to Level shifts.............335
8.3.4 Slope duration approximation to Slope shifts.............336
8.3.5 ANSM(2) fixed interest portfolio risk....................338
8.3.6 Extension to ANSM(3) ....................................340
8.4 A risk framework based on K-ANSMs...............................340
8.4.1 K-ANSM yield curve shifts................................341
8.4.2 K-ANSM factor durations..................................342
8.4.3 K-ANSM fixed interest portfolio risk.....................344
8.5 Worked example: K-ANSM(2).......................................345
8.5.1 K֊ANSM(2) term structure specification...................345
8.5.2 K-ANSM(2) duration vector ...............................346
8.5.3 Non-ZLB environment......................................346
8.5.4 ZLB environment..........................................352
XI і J Contents
8.5.5 A perspective on the K-ANSM versus ANSM factor
duration results .........................................359
8.6 Bond option pricing..............................................360
8.6.1 ANSM option pricing.....................................361
8.6.2 K AGM option pricing......................................364
8.6.3 В-A.GM option pricing.....................................366
8.7 Summary..........................................................368
9 Conclusion and Future Research Directions.............................369
9.1 Summary..........................................................369
9.2 The case for K-ANSMs.............................................371
9.3 Future research directions.......................................374
Appendix A: Matrix Notation.............................................377
A.l Scalars, vectors, and .matrices..................................377
A.2 Matrix transpose.................................................378
A.3 Some special and useful matrices.................................378
A.4 Matrix addition and subtraction .................................380
A. 5 Matrix multiplication............................................380
A.5.1 Multiplying two vectors...................................380
A.5.2 Multiplying two matrices..................................381
A.5.3 Need for matrix notation in term structure modeling ......382
A.5.4 The identity matrix revisited ............................382
A.5.5 Powers of matrices........................................383
A.5.6 Multiplying partitioned matrices..........................383
A.5.7 Multiplying a matrix by a scalar...........................383
A.6 Matrix inverse...................................................384
A.7 Matrix decompositions............................................385
A.7.1 Cholesky decomposition....................................385
A. 7.2 Ei gensystem decomposition................................385
A.7.3 Jordan decomposition......................................386
A.7.4 Using eigensystem and Jordan decompositions...............388
A. 8 The matrix exponential...........................................389
A.9 Matrix calculus..................................................391
Notes..................................................................393
Bibliography...........................................................397
Index..................................................................403
|
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV042620818 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:06:05Z |
| institution | BVB |
| isbn | 9781137408327 1137408324 |
| language | English |
| lccn | 014027511 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028053529 |
| oclc_num | 913599647 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | XXVIII, 409 S. graph. Darst. 24 cm |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | palgrave macmillan |
| record_format | marc |
| series2 | Applied quantitative finance |
| spelling | Krippner, Leo Verfasser aut Zero lower bound term structure modeling a practitioner's guide Leo Krippner Basingstoke palgrave macmillan 2015 XXVIII, 409 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Applied quantitative finance Includes bibliographical references (pages 397-402) and index "This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations for ZLB models, and applications in the field of macro-finance. Split into seven chapters with two appendices, the book first provides an introduction to the principles of term structure modeling, its application to macro-finance and monetary policy, and the complications introduced by the ZLB for nominal interest rates. The following chapters focus on developing unique frameworks to better evaluate ZLB interest rates and bond prices. Finally, the book looks at applications in the field, such as monitoring the stance of unconventional monetary policy and managing fixed income portfolio risk. This book will be an essential desk reference for central bankers, market practitioners, and researchers, and will be a must-read for anyone involved in bond portfolio pricing, risk management, and macroeconomic and monetary policy analysis".. BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Public Finance bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Structural equation modeling Economics, Mathematical BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Public Finance BUSINESS & ECONOMICS / Statistics Modellierung (DE-588)4170297-9 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Makroökonomie (DE-588)4037174-8 gnd rswk-swf Zinsertragskurve (DE-588)4419655-6 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Reduktion (DE-588)4177306-8 gnd rswk-swf Zinsertragskurve (DE-588)4419655-6 s Zins (DE-588)4067845-3 s Reduktion (DE-588)4177306-8 s Modellierung (DE-588)4170297-9 s Geldpolitik (DE-588)4019902-2 s Makroökonomie (DE-588)4037174-8 s b DE-604 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028053529&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Krippner, Leo Zero lower bound term structure modeling a practitioner's guide BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Public Finance bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Structural equation modeling Economics, Mathematical BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Public Finance BUSINESS & ECONOMICS / Statistics Modellierung (DE-588)4170297-9 gnd Zins (DE-588)4067845-3 gnd Makroökonomie (DE-588)4037174-8 gnd Zinsertragskurve (DE-588)4419655-6 gnd Geldpolitik (DE-588)4019902-2 gnd Reduktion (DE-588)4177306-8 gnd |
| subject_GND | (DE-588)4170297-9 (DE-588)4067845-3 (DE-588)4037174-8 (DE-588)4419655-6 (DE-588)4019902-2 (DE-588)4177306-8 |
| title | Zero lower bound term structure modeling a practitioner's guide |
| title_auth | Zero lower bound term structure modeling a practitioner's guide |
| title_exact_search | Zero lower bound term structure modeling a practitioner's guide |
| title_full | Zero lower bound term structure modeling a practitioner's guide Leo Krippner |
| title_fullStr | Zero lower bound term structure modeling a practitioner's guide Leo Krippner |
| title_full_unstemmed | Zero lower bound term structure modeling a practitioner's guide Leo Krippner |
| title_short | Zero lower bound term structure modeling |
| title_sort | zero lower bound term structure modeling a practitioner s guide |
| title_sub | a practitioner's guide |
| topic | BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Public Finance bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Structural equation modeling Economics, Mathematical BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Public Finance BUSINESS & ECONOMICS / Statistics Modellierung (DE-588)4170297-9 gnd Zins (DE-588)4067845-3 gnd Makroökonomie (DE-588)4037174-8 gnd Zinsertragskurve (DE-588)4419655-6 gnd Geldpolitik (DE-588)4019902-2 gnd Reduktion (DE-588)4177306-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Public Finance BUSINESS & ECONOMICS / Statistics Mathematisches Modell Statistik Wirtschaft Finance Mathematical models Structural equation modeling Economics, Mathematical Modellierung Zins Makroökonomie Zinsertragskurve Geldpolitik Reduktion |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028053529&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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