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