Results 1 to 10 of about 1,468,710 (178)
Option Pricing, Zero Lower Bound, and COVID-19 [PDF]
Risks, 2021 This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds.
Giacomo Morelli, Lea Petrella
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Supply-side policies and the zero lower bound [PDF]
IMF Economic Review, 2011 This paper examines how supply-side policies may play a role in fighting a low aggregate demand that traps an economy at the zero lower bound (ZLB) of nominal interest rates.
Jesús Fernández-Villaverde +2 more
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How does the Vietnamese stock market react when the Fed gives an announcement in time at the zero lower bound? [PDF]
HeliyonThis study analyzes the impact of US’s UMP announcements on the Vietnamese stock market during the 2008 GFC and COVID-19 pandemic. Utilizing an event study methodology, it examines both market-wide and sectors-specific stock reactions.
Nam Ngo +3 more
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Identification at the Zero Lower Bound [PDF]
Econometrica, 2021 I show that the zero lower bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modeled via a “shadow rate.” I apply this method to U.S.
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Zero Lower Bound on Inflation Expectations [PDF]
SSRN Electronic Journal, 2021 We document a new fact: in U.S., European and Japanese surveys, households do not expect deflation, even in environments where persistent deflation is a strong possibil- ity. This fact stands in contrast to the standard macroeconomic models with rational expectations.
Gorodnichenko, Yuriy, Sergeyev, Dmitriy
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Exchange rate movements in the presence of the zero lower bound [PDF]
Banks and Bank Systems, 2017 Exchange rates are expected to adjust according to the stance of monetary policies, which are in normal times differences in interest rates set by the central banks.
Jens Klose
doaj +1 more source
Nonlinear adventures at the zero lower bound [PDF]
Journal of Economic Dynamics and Control, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jesús Fernández-Villaverde +3 more
openaire +6 more sources
A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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Inflation, Debt and the Zero Lower Bound [PDF]
SSRN Electronic Journal, 2014 This paper analyses the macroeconomic effects of a protracted period of low and falling inflation rates when monetary policy is constrained by the zero lower bound (ZLB) on nominal interest rates and the private sector is indebted in nominal terms (debt-deflation channel).
Stefano Neri, Alessandro Notarpietro
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On the zero forcing number of generalized Sierpinski graphs [PDF]
Transactions on Combinatorics, 2019 In this article we study the Zero forcing number of Generalized Sierpi\'{n}ski graphs $S(G,t)$. More precisely, we obtain a general lower bound on the Zero forcing number of $S(G,t)$ and we show that this bound is tight.
Ebrahim Vatandoost +2 more
doaj +1 more source