Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Recursive Preference 

Working Paper
Equilibrium Yield Curves and the Interest Rate Lower Bound

We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting macroeconomic uncertainty and interest-rate sensitivity to economic activities. In a model calibrated to match key features of the aggregate economy and term structure dynamics in the U.S. above and at the ELB, we find that the ELB constraint typically lowers the absolute size of term premiums at the ELB and ...
Finance and Economics Discussion Series , Paper 2016-085

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E12 1 items

E32 1 items

E43 1 items

E44 1 items

E52 1 items

G12 1 items

show more (1)

FILTER BY Keywords

PREVIOUS / NEXT