Andrew Meldrum

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

15

DOWNLOADS

785

SSRN CITATIONS

18

CROSSREF CITATIONS

26

Scholarly Papers (15)

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
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 193 (171,688)
Citation 8

Abstract:

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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 98 (292,791)

Abstract:

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3.

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 76 (342,281)
Citation 3

Abstract:

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Term structure models, exchange rates

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 72 (352,883)
Citation 2

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5.

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
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 52 (415,057)
Citation 11

Abstract:

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

6.

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 48 (429,544)
Citation 10

Abstract:

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

7.

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
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 43 (449,024)
Citation 7

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

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 42 (453,058)
Citation 1

Abstract:

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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 40 (461,597)

Abstract:

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

10.

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 31 (502,942)

Abstract:

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return-forecasting regressions, dynamic term structure models

11.

Bond Risk Premiums at the Zero Lower Bound

FEDS Working Paper No. 2019-040
Number of pages: 43 Posted: 25 Jul 2019 Last Revised: 21 Oct 2019
Martin Andreasen, Kasper Jørgensen and Andrew Meldrum
University of Calgary, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 30 (508,227)

Abstract:

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Dynamic Term Structure Model, Bond Return Predictability, Regime-Switching, Shadow Rate Model, Structural Break

12.

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. 2018-056
Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 21 (560,977)
Citation 3

Abstract:

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

13.

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
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 21 (560,977)
Citation 2

Abstract:

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

14.

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 18 (580,307)
Citation 1

Abstract:

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

15.

Expectations About the Federal Funds Rate in the Long Run

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

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