Browsing Centre for Applied Macro- and Petroleum economics (CAMP) by Author "Poon, Aubrey"

Now showing items 1-4 of 4

    • 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 ...

    • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 

      Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey (CAMP Working Paper Series Paper No. 12/2018;, Working paper, 2018-11)
      We estimate the effects of domestic and international sources of macroeconomic uncertainty in three small open economy (SOE) inflation targeting countries: Australia, Canada and New Zealand. To this end, we propose a structural ...

    • Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs 

      Cross, Jamie L.; Hou, Chenghan; Koop, Gary; Poon, Aubrey (CAMP Working Paper Series;04/2021, Working paper, 2021-06-15)
      Vector autoregressions with stochastic volatility in both the conditional mean and variance are commonly used to estimate the macroeconomic effects of uncertainty shocks. Despite their popularity, intensive computational ...

    • 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 ...