Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/336365 
Year of Publication: 
2023
Citation: 
[Journal:] Latin American Journal of Central Banking (LAJCB) [ISSN:] 2666-1438 [Volume:] 4 [Issue:] 1 [Article No.:] 100080 [Year:] 2023 [Pages:] 1-17
Publisher: 
Elsevier, Amsterdam
Abstract: 
This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the model's parameters. Based on that, we conclude that point estimates of SR should be taken with caution because they depend on the characteristics of the data set, including the sample size, maturities, and smoothness. The latter is even more crucial than other settings discussed previously in the literature, such as the number of factors.
Subjects: 
Extended Kalman filter
Forward rates
Gaussian factors
Shadow rate
JEL: 
C32
E43
E44
E50
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.