Date

Friday, October 11, 2013

Location

Federal Reserve Bank of San Francisco

Morning Session

Dynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound (pdf, 1.10 mb)
Martin Andreasen, University of Aarhus
Andrew Meldrum, Bank of England

Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution? (pdf, 361 kb)
Jens Christensen, Federal Reserve Bank of San Francisco
Glenn Rudebusch, Federal Reserve Bank of San Francisco

Estimation of Multi-Factor Shadow-Rate Term Structure Models (pdf, 563 kb)
Don Kim, Federal Reserve Board of Governors
Marcel Priebsch, Federal Reserve Board of Governors

A Model of the Euro-Area Yield Curve with Discrete Policy Rates (pdf, 2.52 mb)
Jean-Paul Renne, Banque de France

Afternoon Session

Monetary Policy Expectations at the Zero Lower Bound (pdf, 392 kb)
Michael Bauer, Federal Reserve Bank of San Francisco
Glenn Rudebusch, Federal Reserve Bank of San Francisco

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (pdf, 680 kb)
Jing Cynthia Wu, Chicago Booth School of Business
Fan Dora Xia, University of California, San Diego

Linear-Rational Term Structure Models (pdf, 667 kb)
Damir Filipovic, EPFL and Swiss Finance Institute, Lausanne, Switzerland
Martin Larsson, EPFL and Swiss Finance Institute, Lausanne, Switzerland
Anders Trolle, EPFL and Swiss Finance Institute, Lausanne, Switzerland