A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
提出一种光滑影子利率版本的动态Nelson-Siegel模型，用于分析零下限时期的收益率曲线，该模型易于处理且能拟合和预测美国国债数据，优于基准模型。
We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during a zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield curve expression. This permits the implementation of readily available DNS extensions such as allowing for time-varying parameters and the integration of macroeconomic variables. Using U.S. Treasury data, we provide clear evidence of a smooth transition of the yields entering and leaving the ZLB state. Moreover, we show that the smooth shadow-rate DNS model dominates the baseline DNS model and (shadow-rate) affine term structure models in terms of fitting and forecasting the yield curve, while it also produces plausible policy insights at the ZLB.