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Negative nominal interest rates: history and current proposals

✍ Scribed by Cordelius Ilgmann; Martin Menner

Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
278 KB
Volume
8
Category
Article
ISSN
1612-4804

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In this paper we develop a latent structure extension of a commonly used structural time series model and use the model as a basis for forecasting. Each unobserved regime has its own unique slope and variances to describe the process generating the data, and at any given time period the model predic