Term Structure of Interest Rates and Monetary Policy.

摘要

My dissertation solves various difficulties of Affine-Term-Structure Models (ATSM) known or unknown in the literature, by providing an explicit mapping between the reduced-form and ATSM parameters for identification analysis, developing a more reliable, better-behaved and faster estimation procedure, and coming up with a framework to examine how well those models fit the data. I also apply ATSM to assess the effectiveness of unconventional monetary policy under the zero lower bound during the current financial crisis, and develop new measures for contribution of maturity structure of Treasury debt to the term structure of interest rates.