Macroeconomic Bond Risks in the Presence of the Zero Lower Bound

Project Start:01/2016
Researchers:Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song
Category: Financial Markets, Macro Finance
Funded by:LOEWE

Understand the impact of longer-duration regimes of near zero interest

rates on bond prices and their dynamics, especially their risk premia;

filter market expectations on growth and inflation from equilibrium bond