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The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
The Effects Of Quantitative Easing In The United States: Implications For Future Central Bank Policy Makers, Matthew Q. Rubino
Senior Honors Projects, 2010-2019
The purpose of this thesis is to examine the effects of the Federal Reserve’s recent bond buying programs, specifically Quantitative Easing 1, Quantitative Easing 2, Operation Twist (or the Fed’s Maturity Extension Program), and Quantitative Easing 3. In this study, I provide a picture of the economic landscape leading up to the deployment of the programs, an overview of quantitative easing including each program’s respective objectives, and how and why the Fed decided to implement the programs. Using empirical analysis, I measure each program’s effectiveness by applying four models including a yield curve model, an inflation model, a money supply …
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …