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Dissertations / Theses on the topic 'Zero interest rate lower bound'

Author: Grafiati

Published: 10 March 2023

Last updated: 31 July 2025

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1

Roussellet, Guillaume. "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models." Thesis, Paris 9, 2015. http://www.theses.fr/2015PA090012/document.

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Cette thèse présente plusieurs extensions relatives aux modèles affines positifs de taux d'intérêt. Un premier chapitre introduit les concepts reliés aux modélisations employées dans les chapitres suivants. Il détaille la définition de processus dits affines, et la construction de modèles de prix d'actifs obtenus par non-arbitrage. Le chapitre 2 propose une nouvelle méthode d’estimation et de filtrage pour les modèles espace-état linéaire-quadratiques. Le chapitre suivant applique cette méthode d’estimation à la modélisation d’écarts de taux interbancaires de la zone Euro, afin d’en décomposer

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2

Zhang, Yifei. "Zero Lower Bound and Uncovered Interest Parity – A Forecasting Perspective." Miami University / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=miami1532698263083492.

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3

Huber, Florian, and Maria Teresa Punzi. "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4824/1/wp216.pdf.

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In this paper we propose a time-varying parameter VAR model for the housing market in the United States, the United Kingdom, Japan and the Euro Area. For these four economies, we answer the following research questions: (i) How can we evaluate the stance of monetary policy when the policy rate hits the zero lower bound? (ii) Can developments in the housing market still be explained by policy measures adopted by central banks? (iii) Did central banks succeed in mitigating the detrimental impact of the financial crisis on selected housing variables? We analyze the relationship between unconventi

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4

Di, Serio Mario. "Empirical applications of the interacted panel VAR model." Doctoral thesis, Universita degli studi di Salerno, 2018. http://hdl.handle.net/10556/3090.

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2016 - 2017<br>The Vector Autoregressive (VAR) Models can be considered as a dynamic multivariate extension of the univariate autoregressive models. This family of models has become very popular in macroeconomics analysis after the work of Sims(1980) and they are widely used in time series literature thanks to their flexibility. As a matter of fact, by setting appropriately a VAR model, we can describe efficiently the dynamics of the economy and provide quite accurate forecasts. During recent years, researchers developed different VAR models with the purpose to represent better the dat

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5

Cavaco, Francisco Ferreira. "Are negative interest rates on bank credit possible?" Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20570.

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Mestrado em Economia Monetária e Financeira<br>Na atual estrutura monetária, os bancos centrais estão limitados no seu objetivo de assegurar estabilidade de preços e pleno emprego devido ao limite inferior zero nas taxas de juro nominais. Isto acontece porque taxas de juro nominais negativas nos depósitos bancários - condição necessária para alcançar taxas de juro nominais negativas no crédito bancário - causariam uma fuga de depósitos para dinheiro físico, pois o dinheiro físico paga uma taxa de juro nominal igual a zero. Para contrariar esta restrição, propomos uma nova arquitetura monetária

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6

Oliveira, Mário André Santos de. "Should central banks increase the inflation target?" Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13101.

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Mestrado em Economia Monetária e Financeira<br>Tipicamente os Bancos Centrais usam as taxas de juro para inverter os efeitos das crises económicas. No entanto, temos observado que se as taxas de juro nominais já estiverem muito próximo de zero, então a capacidade que estes têm de usar este mecanismo para estimular a actividade económica é reduzida. O principal objectivo desta dissertação é estudar se aumentando o nível médio de inflação, aumenta a capacidade do bancos centrais em inverter crises económicas. Especificamente, iremos estudar se a taxa de juro real diminui mais para valores médios

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7

Celer, Martin. "Kvantitativní uvolňování – měnová politika při nulové nominální úrokové míře." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-201844.

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This diploma thesis describes the Quantitative easing as an unconvetional tool of the monetary policy. In the first chapter of this thesis there is theoretical analysis of the zero lower bound and also of specific phenomenon that might occur in this situation (the liquidity trap). The second chapter deals with the quantitative easing as a monetary policy with focus on the United States. It summarizes its development during three so called rounds, during which the quantitative easing has been used. This chapter also contains analysis of the entrance and exit strategy of the quantitative easing.

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8

Esmail, Shabbirhussein. "Estimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31152.

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Though it is customary to use standard Gaussian term structure models for term structure modelling, this becomes theoretically implausible in cases when nominal interest rates are near zero: Gaussian models can have arbitrarily large negative rates, whereas arbitrage considerations dictate that rates should remain positive (or very slightly negative at most). Black (1995) suggests that interest rates include an optionality which restricts them to non-negative values. This introduces a non-linearity at the zero-lower bound that makes these so-called shadow-rate models a computational challenge.

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9

Dragoun, Josef. "Nekonvenční monetární politika po krachu Lehman Brothers." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-202129.

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This diploma thesis is focused on unconventional monetary policy tools that individual central banks introduced into practise as a response to the global financial crisis. It is about quantitative easing policy, foreign exchange interventions with exchange rate commitment and negative interest rates. This thesis also deals with classical tools of monetary policy such as open market operations, discount tools, minimum requirement reserve or foreign exchange interventions. The aim of the thesis is to document the development of central banks policy and then to examine relationship of selected as

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10

Berglund, Pontus, and Daniel Kamangar. "An Empirical Study on the Reversal Interest Rate." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273549.

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Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. We find that banks with a greater reliance on deposit funding were adversely affected by the negative interest rate environment, relative to other banks. This is because deposit rates are constrained by a zero lower bound, since banks are

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11

Plachý, Matěj. "Cílování inflace v podmínkách hrozby deflačních tlaků na příkladu ČNB." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193989.

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This diploma thesis focuses on the use of inflation targeting as monetary policy regime in a situation of imminent deflation. The thesis is divided into three main parts. The first part introduces the basic mechanism of inflation targeting with its basic elements and describes its possible failure. The second part focuses mainly on the analysis of the economic factors which contributed to achieving the zero lower bound for the repo rate of CNB. The third part presents an alternative (unconventional) monetary policy instruments in case of achieving zero lower bound, in particular the use of the

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12

Sangare, Ibrahima. "Essays on exchange rate policies and monetary integration." Thesis, Bordeaux, 2015. http://www.theses.fr/2015BORD0381/document.

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Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionne

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13

Soares, Tiago Filipe Henriques. "Removing the Zero Lower Bound on Nominal Interest Rates in the Case of the European Central Bank." Master's thesis, 2020. https://hdl.handle.net/10216/129567.

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14

Soares, Tiago Filipe Henriques. "Removing the Zero Lower Bound on Nominal Interest Rates in the Case of the European Central Bank." Dissertação, 2020. https://hdl.handle.net/10216/129567.

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15

Bäumler, Daniel Maximilian Günter. "The Zero Lower Bound on nominal interest rates and its impact on monetary policy in the “New Normal”." Master's thesis, 2017. http://hdl.handle.net/10400.14/26312.

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This dissertation aims to illustrate the impact of the Zero Lower Bound (ZLB) on nominal interest rates, based on a deterministic simulation of Fernández-Villaverde and Rubio-Ramírez’ (2006) DSGE model of the U.S. economy. I calibrate the model for 2 different steady states, the first based on historical data (old steady state) and the second matching the most recent data, with lower inflation and lower real interest rates (new steady state). Within these calibrations I simulate the impact of a set of representative shocks. The ZLB appears to be of minor relevance in the old steady stat

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16

Ali, Bano. "Politika nízkých úrokových měr a změny v cenách aktiv: Empirická analýza." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-372970.

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The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lowe

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17

Barreiras, Joana Maria Raposo. "(Un)Conventional monetary policy : how do negative policy rates affect banks?" Master's thesis, 2021. http://hdl.handle.net/10400.14/35557.

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In June 2014, the ECB’s decision to cut its deposit facility rate (DFR) to -10 b.p. broke with the idea of an unsurpassable zero lower bound. At this level, people would convert deposits into cash to escape nominal devaluation. This new unconventional monetary policy’s impact on bank profitability is being extensively studied, without no full consensus being reached yet. We assess the Negative Interest Rate Policy (NIRP) effects on bank profitability, using a panel dataset of 143 Euro Area listed banks over the period from 2005 to 2019. This study employed a panel data linear regression analys

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18

Šestořád, Tomáš. "The Exchange Rate Pass-Through at the Zero Lower Bound: The Evidence from the Czech Republic." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-357775.

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The paper examines the hypothesis that the devaluation of the domestic currency leads to the higher exchange rate pass-through at the zero lower bound since the interest rate channel cannot offset effects of the depreciation in that situation. Time-varying vector autoregression with stochastic volatility is used to identify the development of the pass-through. The hypothesis is tested on the Czech dataset because the Czech Republic is considered as the prototypical small open economy with inflation targeting. The assumption of higher pass-through to consumer prices at the zero lower bound is r

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19

Brož, Václav. "Témata v oblasti centrálního bankovnictví." Doctoral thesis, 2020. http://www.nusl.cz/ntk/nusl-436254.

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This dissertation consists of three research papers dealing with selected issues relevant for central banks after the global financial crisis. The post-crisis world has seen a significant strengthening of the role of central banks with regard to the financial system as well as the real economy. Correspondingly, agendas of some central bankers have grown substantially, encompassing among others monetary policy, financial stability (macro- and microprudential policies) as well as resolution mechanisms. This dissertation thesis reflects the broad focus of some contemporary central banks in three

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