A Financial Scenario Model with a Zero Lower Bound

    Research output: Book/ReportReportProfessional

    Abstract

    This document describes a model that generates financial scenarios. The term structure is modeled by imposing certain long-run restrictions on the zero lower bound model in Wu and Xia (2016). The inflation rate and the return on the MSCI World Index are modeled using an MA(1)-model and a GARCH-model, respectively.
    Original languageEnglish
    Place of PublicationTilburg
    PublisherNETSPAR
    Number of pages20
    Publication statusPublished - 14 Dec 2017

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