Andrew Meldrum

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

23

DOWNLOADS

1,554

SSRN CITATIONS

37

CROSSREF CITATIONS

27

Scholarly Papers (23)

1.

Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Zero Lower Bound

Number of pages: 42 Posted: 17 Jan 2011
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 227 (251,467)
Citation 9

Abstract:

Loading...

Adaptive particle filtering, Bayesian inference, Higher order moments, PMCMC, Quadratic term structure models

2.

Market Expectations of Future Bank Rate

Bank of England Quarterly Bulletin 2008 Q3
Number of pages: 9 Posted: 01 Oct 2008
Michael Joyce and Andrew Meldrum
Bank of England - Monetary Analysis and Board of Governors of the Federal Reserve System
Downloads 150 (361,561)

Abstract:

Loading...

High-Frequency Estimates of the Natural Real Rate and Inflation Expectations

Number of pages: 29 Posted: 30 Nov 2020
Alex Aronovich and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 85 (549,701)

Abstract:

Loading...

Natural real rate, nonlinear regression, term structure model

High-Frequency Estimates of the Natural Real Rate and Inflation Expectations

FEDS Working Paper No. 2021-34
Number of pages: 32 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Alex Aronovich and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 44 (773,612)

Abstract:

Loading...

Natural real rate, term structure models, Nonlinear regression

4.

A Risk-Based Methodology for Payment Systems Oversight

Bank of England Financial Stability Paper No. 6
Number of pages: 14 Posted: 28 Jan 2010
Bank of England - Monetary Analysis, Bank of England - Financial Stability Assessment Division, Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Downloads 121 (427,181)
Citation 2

Abstract:

Loading...

5.

A Global Model of International Yield Curves: No-Arbitrage Term Structure Approach

Bank of England Working Paper No. 419
Number of pages: 37 Posted: 13 Apr 2011 Last Revised: 22 Apr 2011
Iryna Kaminska, Andrew Meldrum and James Matthew Smith
Bank of England, Board of Governors of the Federal Reserve System and Bank of England
Downloads 115 (443,789)
Citation 3

Abstract:

Loading...

Term structure models, exchange rates

6.

Bond Risk Premiums at the Zero Lower Bound

Number of pages: 59 Posted: 29 Apr 2024
CREATES, Aarhus UniversityAarhus University, European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 89 (528,751)

Abstract:

Loading...

Bond return predictability, Dynamic term structure models, Unspanned stochastic volatility

7.

Bond Risk Premiums at the Zero Lower Bound

FEDS Working Paper No. 2019-40
Number of pages: 43 Posted: 25 Jul 2019 Last Revised: 21 Oct 2019
Martin Andreasen, Kasper Jørgensen and Andrew Meldrum
University of Calgary, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 88 (532,497)
Citation 1

Abstract:

Loading...

Dynamic Term Structure Model, Bond Return Predictability, Regime-Switching, shadow rate models, Structural Break

8.

Long-Run Priors for Term Structure Models

Bank of England Working Paper No. 575
Number of pages: 39 Posted: 22 Dec 2015
Andrew Meldrum and Matt Roberts-Sklar
Board of Governors of the Federal Reserve System and Bank of England
Downloads 86 (540,100)
Citation 2

Abstract:

Loading...

Affine term structure model, shadow rate term structure model, Gibbs sampler

9.

The Information in the Joint Term Structures of Bond Yields

Bank of England Working Paper No. 772
Number of pages: 42 Posted: 21 Dec 2018
Andrew Meldrum, Marek Raczko and Peter Spencer
Board of Governors of the Federal Reserve System, Bank of England and University of York
Downloads 79 (568,226)
Citation 1

Abstract:

Loading...

Affine term structure model, international interest rate co-movement, real interest rates

10.

Dynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound in the United States

Bank of England Working Paper No. 550
Number of pages: 64 Posted: 02 Oct 2015 Last Revised: 09 Oct 2015
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 77 (576,712)
Citation 10

Abstract:

Loading...

Bias-adjustment, forecasting study, quadratic term styructure models, sequential regression approach, shadow rate models

11.

Market Beliefs About the UK Monetary Policy Lift-Off Horizon: A No-Arbitrage Shadow Rate Term Structure Model Approach

Bank of England Working Paper No. 541
Number of pages: 37 Posted: 16 Aug 2015
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 70 (608,053)
Citation 10

Abstract:

Loading...

Shadow rate models, sequential regression estimation, policy lift-off, zero lower bound.

12.

Evaluating the Robustness of UK Term Structure Decompositions Using Linear Regression Methods

Bank of England Working Paper No. 518
Number of pages: 37 Posted: 07 Dec 2014
Sheheryar Malik and Andrew Meldrum
International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Downloads 67 (622,220)
Citation 16

Abstract:

Loading...

Affine term structure model, term premia, bias correction, interest rate surveys, unspanned macro risks, shadow rate model

13.

No-Arbitrage Pricing of GDP-Linked Bonds

Bank of England Working Paper No. 849, January 2020
Number of pages: 36 Posted: 17 Jan 2020
Fernando Eguren Martin, Andrew Meldrum and Wen Yan
Bank of England, Board of Governors of the Federal Reserve System and Barclays Capital
Downloads 61 (652,764)
Citation 3

Abstract:

Loading...

affine term structure model (ATSM), bond yield, equity yield, risk premia, dividend swaps, GDP-linked bonds, spanned macroeconomic factors

14.

The Effects of Volatility on Liquidity in the Treasury Market

FEDS Working Paper No. 2023-28
Number of pages: 43 Posted: 11 May 2023
Andrew Meldrum and Oleg Sokolinskiy
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 56 (680,076)

Abstract:

Loading...

Liquidity, Treasury market, Market depth, Volatility, Order execution, Hidden Markov model

15.

Overseas Unspanned Factors and Domestic Bond Returns

Bank of England Working Paper No. 618
Number of pages: 57 Posted: 21 Feb 2017
Andrew Meldrum, Marek Raczko and Peter Spencer
Board of Governors of the Federal Reserve System, Bank of England and University of York
Downloads 55 (685,703)

Abstract:

Loading...

return-forecasting regressions, dynamic term structure models

16.

A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

FEDS Working Paper No. 2018-56
Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 43 (762,025)
Citation 3

Abstract:

Loading...

Quadratic term structure models, Sequential regression approach, shadow rate models, Zero lower bound

17.

Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Lower Bound

Bank of England Working Paper No. 481
Number of pages: 35 Posted: 22 Dec 2013
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 41 (776,323)
Citation 2

Abstract:

Loading...

Adaptive particle filtering, Bayesian inference, Higher-order moments, PMCMC, Quadratic term structure models

18.

The Treasury Market Flash Event of February 25, 2021

FEDS Notes No. 2021-05-14
https://doi.org/10.17016/2380-7172.2909
Posted: 25 May 2021 Last Revised: 17 Jun 2021
Alex Aronovich, Dobrislav Dobrev and Andrew Meldrum
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

19.

What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020

FEDS Notes No. 2020-09-25 https://doi.org/10.17016/2380-7172.2748
Posted: 25 Sep 2020
Dobrislav Dobrev and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

20.

New Financial Market Measures of the Neutral Real Rate and Inflation Expectations

FEDS Notes No. 2020-08-03 https://doi.org/10.17016/2380-7172.2621
Posted: 21 Aug 2020
Alex Aronovich and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

21.

Expectations About the Federal Funds Rate in the Long Run

FEDS Notes No. 2019-10-09
Posted: 22 Oct 2019
Kasper Jørgensen and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

22.

Predicting Recession Probabilities Using the Slope of the Yield Curve

FEDS Notes No. 2018-03-01-3 https://doi.org/10.17016/2380-7172.2146
Posted: 06 Jun 2018
Peter Johansson and Andrew Meldrum
Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System

Abstract:

Loading...

23.

Robustness of Long-Maturity Term Premium Estimates

FEDS Notes No. 2017-04-03 https://doi.org/10.17016/2380-7172.1927
Posted: 14 Oct 2017
Canlin Li, Andrew Meldrum and Marius Rodriguez
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...