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英文文献：Dynamic term structure models: The best way to enforce the zero lower bound-动态期限结构模型:执行零下限的最佳方法
英文文献作者：Martin M. Andreasen,Andrew Meldrum
英文文献摘要：
This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models with at most four pricing factors using the sequential regression approach. Our findings suggest that the two models largely provide the same in-sample .t, but loadings from ordinary and risk-adjusted Campbell-Shiller regressions are generally best matched by the shadow rate models. We also find that the shadow rate models perform better than the QTSMs when forecasting bond yields out of sample.
摘要本文研究了美国名义债券收益率的动态期限结构模型是否应通过二次政策利率或影子利率规范来执行零下限。我们通过使用序列回归方法估计最多包含四个定价因素的二次期限结构模型(QTSMs)和影子利率模型来解决这个问题。我们的研究结果表明，这两个模型在很大程度上提供了相同的样本内。t，但一般情况下，影子利率模型最能匹配来自普通和风险调整后的坎贝尔-席勒回归的负荷。我们还发现，影子利率模型在预测样本外债券收益率时优于QTSMs模型。
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