Sökning: "Oliver Krek"

Hittade 1 uppsats innehållade orden Oliver Krek.

  1. 1. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Oliver Krek; [2018]
    Nyckelord :Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

    Sammanfattning : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. LÄS MER