Bound and spread

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Singleton, Stern School of Business. Discussion Papers. Eric T. Williams, Egorov, Bound and spread V. Vangelista, Jens H. Rudebusch, Krippner, Leo, Leo Krippner, Edwards, Sebastian, Hamilton, James D. James D. James B. Bullard, Marsh, Sargent, Tim W. Kim, Don H. Kortela, Tomi, Ruge-Murcia, Francisco J. White, Halbert, Michael D. Most related items These are the items that most often cite the same works as this one and are cited by the same works as this one. Roussellet, Benjamin K. Etienne Vaccaro-Grange, Marco J.

Martin M. Meldrum, Schupp, Fabian, Yoichi Ueno, Zhou, Siwen, More about this item Keywords Lower bound ; Sovereign risk ; Shadow rate term structure model ; All these keywords. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:vyi:c:s See general information about how to correct material in RePEc.

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Please note that corrections may take a couple of weeks to filter through the various RePEc services. Economic literature: papersarticlessoftwarechaptersbooks. FRED data. My bibliography Save this article. European spre at the interest rate lower bound.

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Registered: Laura Coroneo. This paper analyzes the effect of the interest rate lower bound on long-term sovereign bond spre in the euro area. We specify a t shadow rate term structure model for the risk-free, the German, and the Italian sovereign yield curves. In our model, the behavior of long-term spre becomes strongly nonlinear in the underlying factors when interest rates are close to the lower bound, which occurs in the data since the beginning of We fit the model via Quasi-Maximum Likelihood and show three consequences of the nonlinear behavior of sovereign spre: i they are asymmetrically distributed, ii they are affected by possibly exogenous changes in the lower bound, and iii they become less informative about sovereign risk than when interest rates are far from the lower bound.

Shadow spre, however, still provide reliable information.

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Bound and spread

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European spre at the interest rate lower bound