Unil Dorigny, Batiment Internef
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off Probabilities
Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off probabilities
Non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, Pseudo-maximum likelihood
non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, pseudo-maximum likelihood
affine term-structure models, zero lower bound, regime switching, forward policy guidance
overnight index swaps, affine term-structure models, regime switching, non-standard monetary-policy measures
Early Warning Indicators, Discrete-Choice Model, Asset Price Booms and Busts, Macro-prudential Regulation, Leaning Against the Wind Policies
Government debt, affine term structure models, default risk, yield spreads, fiscal projections
Kalman filter, Monetary policy, Taylor rule, Euro area
Government debt, affine term structure models, default risk, yield spreads, fiscal projection
Quadratic term-structure model, liquidity risk, credit risk, interbank market, unconventional monetary policy
credit risk, liquidity risk, term structure, affine model, regime switching, car process
default risk, liquidity risk, term structure of interest rates, regime-switching, euro-area spreads
Credit Derivative, Default Event, Default Intensity, Frailty, Contagion, Credit Spread Puzzle
term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy
yield curve, option pricing, regime switching, market expectations
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Dynamic Factor, Kalman Filter, business cycles synchronization
unconventional monetary policy, option pricing, TLTRO
Natural rate of interest, interest rate gap, monetary policy, Kalman filter, output gap
macro-finance model, spectral analysis, term-structure of interest rates, public debt management
Monetary policy rules, Natural rate of interest, Uncertainty
inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations
euro area countries, natural rate of interest, common monetary policy, fragmentation
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