Leo Krippner

Reserve Bank of New Zealand

Senior Advisor: Research

2 The Terrace

PO Box 2498

Wellington, 6140

New Zealand

  • Reserve Bank of New Zealand

SCHOLARLY PAPERS

14

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2,917

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253

Scholarly Papers (14)

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1.

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Downloads 558 (107,315)
Citation 67

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Reserve Bank of New Zealand Discussion Paper No. 2012/02, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 51 Posted: 01 Sep 2012
Leo Krippner
Reserve Bank of New Zealand
Downloads 297 (219,552)
Citation 16

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zero lower bound, shadow short rate, term structure model

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Number of pages: 49 Posted: 15 Mar 2012
Leo Krippner
Reserve Bank of New Zealand
Downloads 109 (545,784)
Citation 24

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zero lower bound, term structure of interest rates, Gaussian affine term structure models, shadow short rate, shadow term structure

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

CAMA Working Paper No. 36/2011
Number of pages: 46 Posted: 28 Oct 2011
Leo Krippner
Reserve Bank of New Zealand
Downloads 92 (615,699)
Citation 2

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zero lower bound, term structure of interest rates, Gaussian affine term structure models

Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound

Number of pages: 48 Posted: 16 Feb 2012
Leo Krippner
Reserve Bank of New Zealand
Downloads 60 (789,507)
Citation 25

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zero lower bound, term structure of interest rates, Gaussian affine term structure models

2.

A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models

CAMA Working Paper No. 49/2013
Number of pages: 67 Posted: 17 Aug 2013 Last Revised: 20 Jan 2014
Leo Krippner
Reserve Bank of New Zealand
Downloads 437 (144,316)
Citation 75

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zero lower bound, term structure of interest rates, Gaussian affine term structure models, shadow short rate, shadow term structure

3.

Measuring the Stance of Monetary Policy in Conventional and Unconventional Environments

CAMA Working Paper No. 6/2014
Number of pages: 39 Posted: 21 Jan 2014 Last Revised: 22 Jan 2014
Leo Krippner
Reserve Bank of New Zealand
Downloads 330 (198,220)
Citation 23

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Unconventional monetary policy, zero lower bound, shadow short rate, term structure model

4.

A Comment on Wu and Xia (2015), and the Case for Two-Factor Shadow Short Rates

CAMA Working Paper No. 48/2015
Number of pages: 38 Posted: 19 Dec 2015 Last Revised: 30 Jan 2016
Leo Krippner
Reserve Bank of New Zealand
Downloads 284 (231,975)
Citation 12

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Shadow Short Rates, zero lower bound, unconventional monetary policy, term structure models

5.

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Downloads 264 (249,910)
Citation 5

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

CAMA Working Paper 11/2012
Number of pages: 41 Posted: 12 Mar 2012
Leo Krippner
Reserve Bank of New Zealand
Downloads 165 (388,944)
Citation 4

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E43, G12, C58

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Number of pages: 40 Posted: 03 Sep 2011
Leo Krippner
Reserve Bank of New Zealand
Downloads 99 (586,612)
Citation 1

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yield curve, term structure of interest rates, term structure models, Nelson and Siegel Model

6.

Measuring the Stance of Monetary Policy in Zero Lower Bound Environments

CAMA Working Paper No. 35/2012, 25th Australasian Finance and Banking Conference 2012
Number of pages: 13 Posted: 19 Jul 2012 Last Revised: 07 Aug 2012
Leo Krippner
Reserve Bank of New Zealand
Downloads 217 (303,112)
Citation 43

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zero lower bound, shadow short rate, term structure model

7.

Asset Markets and Monetary Policy Shocks at the Zero Lower Bound

CAMA Working Paper No. 42/2014
Number of pages: 30 Posted: 27 May 2014 Last Revised: 28 May 2014
Edda Claus, Iris Claus and Leo Krippner
University of Melbourne, Asian Development Bank and Reserve Bank of New Zealand
Downloads 204 (321,463)
Citation 18

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Monetary policy shocks, zero lower bound, shadow short rate, asset prices, latent factor model.

8.

The Effect of Conventional and Unconventional Euro Area Monetary Policy on Macroeconomic Variables

Bundesbank Discussion Paper No. 49/2016
Posted: 15 Jan 2017
Arne Halberstadt and Leo Krippner
Deutsche Bundesbank and Reserve Bank of New Zealand
Downloads 181 (358,745)

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Monetary Policy, Zero Lower Bound, Dynamic Term Structure Model

9.

A Comment on Wu and Xia (2016) from a Macroeconomic Perspective

CAMA Working Paper No. 41/2017
Number of pages: 13 Posted: 27 Jun 2017
Leo Krippner
Reserve Bank of New Zealand
Downloads 131 (470,755)
Citation 1

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shadow rates, lower bound, term structure models, unconventional monetary policy

10.

Faster Solutions for Black Zero Lower Bound Term Structure Models

CAMA Working Paper No. 66/2013
Number of pages: 9 Posted: 26 Sep 2013 Last Revised: 20 Jan 2014
Leo Krippner
Reserve Bank of New Zealand
Downloads 71 (708,830)
Citation 1

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Black framework, zero lower bound; shadow short rate, term structure model

11.

The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis

Bundesbank Discussion Paper No. 10/2015
Number of pages: 58 Posted: 21 Jun 2016
Julia von Borstel, Julia von Borstel, Sandra Eickmeier and Leo Krippner
Deutsche BundesbankUniversity of the German Federal Armed Forces - Helmut Schmidt Universität, Deutsche Bundesbank and Reserve Bank of New Zealand
Downloads 68 (725,834)
Citation 8

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interest rate pass-through, factor model, sovereign debt crisis, unconventional monetary policy

12.

Will the Real Eigensystem VAR Please Stand Up? A Univariate Primer

CAMA Working Paper No. 01/2019
Number of pages: 18 Posted: 16 Jan 2019
Leo Krippner
Reserve Bank of New Zealand
Downloads 63 (755,596)

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vector autoregression, moaving average, lag polynomial

13.

Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models

CAMA Working Paper No. 77/2013
Number of pages: 10 Posted: 14 Dec 2013
Leo Krippner
Reserve Bank of New Zealand
Downloads 59 (781,450)

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Black framework, zero lower bound, shadow short rate, term structure model

14.

Investigating a Measure of Conventional and Unconventional Stimulus for the Euro Area

CAMA Working Paper No. 27/2021
Number of pages: 54 Posted: 03 Mar 2021
Arne Halberstadt and Leo Krippner
Deutsche Bundesbank and Reserve Bank of New Zealand
Downloads 50 (847,045)

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Monetary Policy, Zero Lower Bound, Dynamic Term Structure Model