Threadneedle Street
London, EC2R 8AH
United Kingdom
Bank of England
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Quantitative Easing, Corporate Bond Purchase Scheme, Monetary Transmission Mechanism, Corporate Bonds
Monetary policy, quantitative easing, monetary transmission mechanism, high frequency data, dynamic term structure model, local projection model
quantitative easing, market liquidity, market-making, corporate bonds
Structural vector autoregression, interest rate risk, essentially affine term structure model
foreign reserves, term structure of interest rates, term premium, MCMC
Quantitative easing, quantitative tightening, central bank auctions, monetary policy, monetary transmission mechanism, preferred habitat, gilt market
High-frequency data, affine term structure models, yield curve decomposition, estimation bias, multidimensional policy shocks, monetary policy transmission mechanism
term structure of real rates; quantitative easing; global imbalances; Bayesian econometrics
QE, local supply, preferred habitat, yield curve, monetary policy.
Term structure models, exchange rates
Yield curve, term premia, conundrum
Affine term structure models, option implied volatility, realized volatility, risk aversion
Affine arbitrage-free dynamic term structure model, breakeven inflation, inflation expectations, risk premia, funding liquidity, survey expectations
Equity indices, monetary policy rate uncertainty, option implied volatility, realized volatility, risk-free interest rates, volatility forecasting
Joint term structure models, local projections, monetary policy, non-linear responses, shadow rate term structure models, yield curve, zero lower bound
term structure of real rates, quantitative easing, global imbalances, Bayesian econometrics
