{"id":"https://openalex.org/W2886739490","doi":"https://doi.org/10.1017/s0022109018001576","title":"A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States","display_name":"A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States","publication_year":2018,"publication_date":"2018-12-18","ids":{"openalex":"https://openalex.org/W2886739490","doi":"https://doi.org/10.1017/s0022109018001576","mag":"2886739490"},"language":"en","primary_location":{"id":"doi:10.1017/s0022109018001576","doi":"https://doi.org/10.1017/s0022109018001576","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0022109018001576","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/12E2504C284B54ED5023E8B2AEFC491F/S0022109018001576a.pdf/div-class-title-a-shadow-rate-or-a-quadratic-policy-rule-the-best-way-to-enforce-the-zero-lower-bound-in-the-united-states-div.pdf","source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/12E2504C284B54ED5023E8B2AEFC491F/S0022109018001576a.pdf/div-class-title-a-shadow-rate-or-a-quadratic-policy-rule-the-best-way-to-enforce-the-zero-lower-bound-in-the-united-states-div.pdf","any_repository_has_fulltext":null},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5070974538","display_name":"Martin M\u00f8ller Andreasen","orcid":"https://orcid.org/0000-0001-7361-7579","observed_orcids":["https://orcid.org/0000-0001-7361-7579"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Martin M. Andreasen","raw_affiliation_strings":["Aarhus University","Aarhus University, CREATES,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Aarhus University","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Aarhus University, CREATES,","institution_ids":["https://openalex.org/I204337017"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052788897","display_name":"Andrew Meldrum","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Andrew Meldrum","raw_affiliation_strings":["Aarhus University, CREATES,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Aarhus University, CREATES,","institution_ids":["https://openalex.org/I204337017"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5070974538"],"corresponding_institution_ids":["https://openalex.org/I204337017"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":3.8388,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.9387225,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"54","issue":"5","first_page":"2261","last_page":"2292"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.6352999806404114,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.6352999806404114,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.23440000414848328,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0502999983727932,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/zero-lower-bound","display_name":"zero lower bound","score":0.968999981880188},{"id":"https://openalex.org/keywords/shadow-rate","display_name":"shadow rate","score":0.7519999742507935},{"id":"https://openalex.org/keywords/quadratic-term-structure-models","display_name":"quadratic term structure models","score":0.9350000023841858},{"id":"https://openalex.org/keywords/treasury-yields","display_name":"Treasury yields","score":0.8209999799728394},{"id":"https://openalex.org/keywords/yield-curve-modeling","display_name":"yield curve modeling","score":0.6970000267028809},{"id":"https://openalex.org/keywords/yield-volatility","display_name":"yield volatility","score":0.6639999747276306},{"id":"https://openalex.org/keywords/monetary-policy","display_name":"monetary policy","score":0.628000020980835},{"id":"https://openalex.org/keywords/u-s-treasury-market","display_name":"U.S. Treasury market","score":0.5960000157356262}],"concepts":[{"id":"https://openalex.org/C2778078003","wikidata":"https://www.wikidata.org/wiki/Q8069596","display_name":"Zero lower bound","level":3,"score":0.7842901945114136},{"id":"https://openalex.org/C2780813799","wikidata":"https://www.wikidata.org/wiki/Q3274237","display_name":"Zero (linguistics)","level":2,"score":0.7728407382965088},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.6331003904342651},{"id":"https://openalex.org/C117797892","wikidata":"https://www.wikidata.org/wiki/Q286363","display_name":"Shadow (psychology)","level":2,"score":0.619587242603302},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.48210883140563965},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4520258605480194},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.43195223808288574},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3444886803627014},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.24516355991363525},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.18878522515296936},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.1735633909702301},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.1449524164199829},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.0863552987575531},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.08023473620414734},{"id":"https://openalex.org/C542102704","wikidata":"https://www.wikidata.org/wiki/Q183257","display_name":"Psychotherapist","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/s0022109018001576","doi":"https://doi.org/10.1017/s0022109018001576","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0022109018001576","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/12E2504C284B54ED5023E8B2AEFC491F/S0022109018001576a.pdf/div-class-title-a-shadow-rate-or-a-quadratic-policy-rule-the-best-way-to-enforce-the-zero-lower-bound-in-the-united-states-div.pdf","source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:openaire/fe3e2e19-32c1-46ae-a2dc-7546b2f3ed99","doi":null,"is_oa":true,"landing_page_url":"https://pure.au.dk/portal/en/publications/fe3e2e19-32c1-46ae-a2dc-7546b2f3ed99","pdf_url":null,"source":null,"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Andreasen, M M & Meldrum, A 2019, 'A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States', Journal of Financial and Quantitative Analysis, vol. 54, no. 5, pp. 2261-2292. https://doi.org/10.1017/S0022109018001576","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.1017/s0022109018001576","doi":"https://doi.org/10.1017/s0022109018001576","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s0022109018001576","pdf_url":"https://www.cambridge.org/core/services/aop-cambridge-core/content/view/12E2504C284B54ED5023E8B2AEFC491F/S0022109018001576a.pdf/div-class-title-a-shadow-rate-or-a-quadratic-policy-rule-the-best-way-to-enforce-the-zero-lower-bound-in-the-united-states-div.pdf","source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Peace, justice, and strong institutions","score":0.4699999988079071,"id":"https://metadata.un.org/sdg/16"}],"study_designs":[],"awards":[{"id":"https://openalex.org/G320081715","display_name":null,"funder_award_id":"DNRF78","funder_id":"https://openalex.org/F4320320671","funder_display_name":"National Research Foundation"},{"id":"https://openalex.org/G3578442052","display_name":"Center for Research in Econometric Analysis of Time Series (CREATES)","funder_award_id":"DNRF78","funder_id":"https://openalex.org/F4320320943","funder_display_name":"Danmarks Grundforskningsfond"}],"funders":[{"id":"https://openalex.org/F4320320671","display_name":"National Research Foundation","ror":"https://ror.org/05s0g1g46"},{"id":"https://openalex.org/F4320320943","display_name":"Danmarks Grundforskningsfond","ror":"https://ror.org/00znyv691"},{"id":"https://openalex.org/F4320322975","display_name":"Danish e-Infrastructure Cooperation","ror":"https://ror.org/03ge1nb22"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2886739490.pdf","grobid_xml":"https://content.openalex.org/works/W2886739490.grobid-xml"},"referenced_works_count":43,"referenced_works":["https://openalex.org/W27412800","https://openalex.org/W1487662461","https://openalex.org/W1509107490","https://openalex.org/W1552060925","https://openalex.org/W1556295710","https://openalex.org/W1561911245","https://openalex.org/W1600805236","https://openalex.org/W1926814904","https://openalex.org/W1992827070","https://openalex.org/W1999996900","https://openalex.org/W2090303048","https://openalex.org/W2104599547","https://openalex.org/W2118773244","https://openalex.org/W2125124025","https://openalex.org/W2126788221","https://openalex.org/W2144290449","https://openalex.org/W2146616067","https://openalex.org/W2151993164","https://openalex.org/W2159723913","https://openalex.org/W2320972700","https://openalex.org/W2402664684","https://openalex.org/W2564665093","https://openalex.org/W2891767402","https://openalex.org/W3021444882","https://openalex.org/W3121185764","https://openalex.org/W3121195771","https://openalex.org/W3121199830","https://openalex.org/W3121324134","https://openalex.org/W3121886650","https://openalex.org/W3123152602","https://openalex.org/W3123633604","https://openalex.org/W3124893256","https://openalex.org/W3125050320","https://openalex.org/W3125270793","https://openalex.org/W3125362734","https://openalex.org/W3125524825","https://openalex.org/W3125912523","https://openalex.org/W4241377330","https://openalex.org/W4386310255","https://openalex.org/W6601434271","https://openalex.org/W6637996470","https://openalex.org/W6661909279","https://openalex.org/W6927973568"],"related_works":["https://openalex.org/W2270837456","https://openalex.org/W310252140","https://openalex.org/W2228020732","https://openalex.org/W3121922620","https://openalex.org/W4226066342","https://openalex.org/W3121648335","https://openalex.org/W3121246796","https://openalex.org/W4406203772","https://openalex.org/W2529316507","https://openalex.org/W3124952241"],"abstract_inverted_index":{"We":[0,30],"study":[1],"whether":[2],"it":[3],"is":[4,56],"better":[5],"to":[6,64],"enforce":[7],"the":[8,33,52,59,61,70,74,78,98],"zero":[9],"lower":[10],"bound":[11],"(ZLB)":[12],"in":[13,43,58],"models":[14,34],"of":[15,47,77,90],"U.S.":[16],"Treasury":[17],"yields":[18,94],"using":[19],"a":[20,25,36,87],"shadow":[21],"rate":[22],"model":[23,85],"or":[24],"quadratic":[26],"term":[27],"structure":[28],"model.":[29],"show":[31],"that":[32],"achieve":[35],"similar":[37],"in-sample":[38],"fit":[39],"and":[40],"perform":[41],"comparably":[42],"matching":[44],"conditional":[45,66,91],"expectations":[46,67],"future":[48],"yields.":[49],"However,":[50],"when":[51,93],"recent":[53],"ZLB":[54,71],"period":[55],"included":[57],"sample,":[60],"models\u2019":[62],"ability":[63],"match":[65],"away":[68,96],"from":[69,97],"deteriorates":[72],"because":[73],"time-series":[75],"dynamics":[76],"pricing":[79],"factors":[80],"change.":[81],"In":[82],"addition,":[83],"neither":[84],"provides":[86],"reasonable":[88],"description":[89],"volatilities":[92],"are":[95],"ZLB.":[99]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2018-08-22T00:00:00"}