• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

22-011/III - A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound


  • Authors
    Daan Opschoor, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam
  • Publication date
    February 3, 2022
  • Keywords
    yield curve, zero lower bound, shadow-rate model, Nelson–Siegel curve
  • JEL
    G12, E43, E47, C53, C58