Monetary Policy Expectations at the Zero Lower Bound
研究发现传统动态期限结构模型严重违反零利率下限且预测差，而影子利率模型能更好捕捉未来短期利率分布不对称性，准确预测政策路径和加息节奏，并建议在利率受约束时纳入宏观经济因素。
We show that conventional dynamic term structure models (DTSMs) estimated on recent U.S. data severely violate the zero lower bound (ZLB) on nominal interest rates and deliver poor forecasts of future short rates. In contrast, shadow‐rate DTSMs account for the ZLB by construction, capture the resulting distributional asymmetry of future short rates, and achieve good forecast performance. These models provide more accurate estimates of the most likely path for future monetary policy—including the timing of policy liftoff from the ZLB and the pace of subsequent policy tightening. We also demonstrate the benefits of including macroeconomic factors in a shadow‐rate DTSM when yields are constrained near the ZLB.