1854 - Codes & Slides

Slides for Day 1 (Term Structure Modeling in Normal Times)

Lecture I.1 “Affine Term Structure Models: An Introduction”

Lecture I.2: The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

Lecture I.3: An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

Lecture I.4: Can Spanned Term Structure Factors Drive Stochastic Volatility?

Lecture I.5: How Efficient is the Kalman Filter at Estimating Affine Term Structure Models?

Codes for Day 1

Sample of Christensen's R code for the “independent-factor AFNS” model that is analyzed in the Christensen, Diebold, and Rudebusch (JoE, 2011) paper. Link to code / Link to paper

Sample of unsmoothed Fama-Bliss Treasury yields at monthly frequency that is used in the above paper. Link to code

Slides for Day 2 (Term Structure Modeling and the Lower Bound Problem)

Lecture II.1:  Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

Lecture II.2 Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?

Lecture II.3 How Efficient is the Extended Kalman Filter at Estimating Shadow-Rate Models?

Lecture II.4 Staying at Zero with Affine Processes: An Application to Term Structure Modeling

Codes for Day 2

Sample of Christensen's R code for the B-CR model that is analyzed in the Christensen and Rudebusch (2015, forthcoming Advances of Econometrics) paper. Link to code / Link to paper

Sample of GSW Treasury yields at weekly frequency that is used in the above paper. Link to code

Slides for Day 3 (Term Structure Modeling and Applications to Policy Questions​)

Lecture III.1: The Response of Interest Rates to U.S. and U.K. Quantitative Easing

Lecture III.2: Transmission of Quantitative Easing: The Role of Central Bank Reserves

Lecture III.3: A Probability-Based Stress Test of Federal Reserve Assets and Income

Lecture III.4 (a): Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields