Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?
Don H. Kim and Marcel A. Priebsch ♦ We examine the structural stability of Gaussian shadow rate term structure models in a sample of Treasury yields that includes the “effective lower bound” (ELB) period from 2008 to 2015. After highlighting…