Blar i BI Research Centre's Series på forfatter "Zhu, Dan"

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    • A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis 

      Cross, Jamie L.; Poon, Aubrey; Wenying, Yao; Zhu, Dan (CAMP Working Paper Series;06/2024, Working paper, 2024-07-15)
      The Dynamic Nelson-Siegel (DNS) model implies that the instantaneous bond yield is a linear combination of yield curve’s level and slope factors. However, this constraint is not used in practice because it induces a ...

    • Uncertainty and the Term Structure of Interest Rates 

      Cross, Jamie L.; Poon, Aubrey; Zhu, Dan (CAMP Working Paper Series;12/2023, Working paper, 2023-10-13)
      We present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established ...