Interest Rates as Options: Assessing the Markets' View of the Liquidity TrapDivision of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2003 - Interest rates - 40 pages |
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2002 and early Ana Aizcorbe analysis Antulio artificial economy Athanasios Orphanides Banking Industry become nonpositive Berger Bomfim bound at zero Brian Sack central tendency close to zero computed liquidity-trap probabilities December Economics Discussion Series economy will slip effect equilibrium short rate estimated model estimated value evolve according expectations extreme-volatility scenario February federal funds rate Federal Reserve Board Figure Finance and Economics hit zero horizons implied Inflation Interest Rate Swaps January July Kalman filter LIBOR liquidity trap lower bound Mark Carlson market price market-implied probabilities maturities mean reversion model-generated model-implied Monetary Policy Rules nominal short rate observed yield curve option-like feature paper parameterizations partial differential equation price of risk probability measure Rates as Options risk parameters risk-neutral probabilities Section September 2002 short rate process short-term nominal rates short-term rates stylized model swap rates term premium term structure model two-factor model U.S. economy zero bound constraint zero-coupon bond zero-coupon yields ӘР