Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?
研究了高斯影子利率期限结构模型在包含2008-2015年有效下限时期的国债收益率样本中的结构稳定性，发现存在结构性断裂，且考虑断裂的模型预测的政策利率路径更平缓。
Abstract We examine the structural stability of Gaussian shadow rate term structure models in a sample of Treasury yields that includes the “effective lower bound” (ELB) period from 2008 to 2015. After highlighting the challenges of testing for structural breaks in a latent-factor model, we proceed to document various pieces of empirical evidence for a structural break. As one of several practical implications, the expected policy rate paths during ELB years are notably shallower in our model that accommodates a structural break compared with a model that imposes structurally stability.