A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States
比较影子利率模型和二次期限结构模型在美国国债收益率零下限约束下的表现，发现两者样本内拟合和条件期望预测能力相近，但加入零下限时期后模型在远离零下限时的条件期望匹配能力下降，且均不能合理描述条件波动率。
We study whether it is better to enforce the zero lower bound (ZLB) in models of U.S. Treasury yields using a shadow rate model or a quadratic term structure model. We show that the models achieve a similar in-sample fit and perform comparably in matching conditional expectations of future yields. However, when the recent ZLB period is included in the sample, the models’ ability to match conditional expectations away from the ZLB deteriorates because the time-series dynamics of the pricing factors change. In addition, neither model provides a reasonable description of conditional volatilities when yields are away from the ZLB.