Rue de la Banque The recent financial crises observed in the United States, the United Kingdom and the euro area have led their respective central banks to bring policy rates down to unprecedented low levels, with an associated dramatic drop of their yield curves. Short-term rates have remained at their lower bound for extended periods of time while longer-term rates have fluctuated with relatively high volatilities. This paper describes a new class of non-negative affine term structure models introduced by Monfort et al. (2017) and used to replicate these features of the yield curve. The proposed empirical analysis also suggests that ignoring interest rate risk premia implies a substantial underestimation of the length of the zero lower bound regime. Staying at zero with affine processes: an application to term structure modelling This article presents the findings of research carried out at the Banque de France. The ideas presented in this document are those of the authors and do not necessarily reflect the position of the Banque de France.
Cet article propose un modèle quadratique de la structure par terme des écarts de taux EURIBOR-OIS. Contrairement aux taux OIS, les taux EURIBOR incluent des composantes liées aux risques de crédit et de liquidité. Ces composantes reflètent les compensations demandées par une banque prêteuse pour supporter, respectivement, (a) le risque de défaut de la banque emprunteuse et (b) l'éventualité d'avoir besoin, ultérieurement, des fonds prêtés. Nos résultats apportent un nouvel éclairage sur les politiques non-conventionnelles menées par l'Eurosystème au cours des dernières années. En particulier, ils suggèrent que la majeure partie de la diminution des écarts de taux EURIBOR-OIS observée sur l'année 2012 est liée à des motifs de liquidité.
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