Search Results

SORT BY: PREVIOUS / NEXT
Keywords:Structural Break 

Working Paper
Bond Risk Premiums at the Zero Lower Bound

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but extending the model with regime-switching in the (physical) dynamics of the factors at the lower bound resolves this shortcoming. The model is also consistent with the downwards trend in surveys on short rate expectations at long horizons, but requires a break in the level of its factors to closely fit the ...
Finance and Economics Discussion Series , Paper 2019-040

Working Paper
Shrinkage estimation of high-dimensional factor models with structural instabilities

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break factors, which liberates researchers from sequential testing and achieves uniform control of the family-wise model selection errors over an increasing number of variables. The shrinkage estimator only requires the calculation of principal components and the solution of a convex optimization problem, which ...
Working Papers , Paper 14-4

FILTER BY year

FILTER BY Content Type

FILTER BY Author

Andreasen, Martin M. 1 items

Cheng, Xu 1 items

Joergensen, Kasper 1 items

Liao, Zhipeng 1 items

Meldrum, Andrew C. 1 items

Schorfheide, Frank 1 items

show more (1)

FILTER BY Jel Classification

C13 1 items

C33 1 items

C52 1 items

E43 1 items

E44 1 items

G12 1 items

show more (1)

PREVIOUS / NEXT