Andrew Meldrum

Names

Identifer

Contact

Affiliations

• Federal Reserve Board (Board of Governors of the Federal Reserve System)
  • EDIRC entry
  • location:

Research profile

author of:

• Dynamic term structure models: The best way to enforce the zero lower bound
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
  by Martin M. Andreasen & Andrew Meldrum
  (ReDIF-paper, aah:create:2014-47)
• A global model of international yield curves: no-arbitrage term structure approach
  Bank of England working papers, Bank of England (2011)
  by Kaminska, Iryna & Meldrum, Andrew & Smith, James
  (ReDIF-paper, boe:boeewp:0419)
• Likelihood inference in non-linear term structure models: the importance of the lower bound
  Bank of England working papers, Bank of England (2013)
  by Andreasen, Martin & Meldrum, Andrew
  (ReDIF-paper, boe:boeewp:0481)
• Evaluating the robustness of UK term structure decompositions using linear regression methods
  Bank of England working papers, Bank of England (2014)
  by Malik, Sheheryar & Meldrum, Andrew
  (ReDIF-paper, boe:boeewp:0518)
• Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach
  Bank of England working papers, Bank of England (2015)
  by Andreasen, Martin M & Meldrum, Andrew
  (ReDIF-paper, boe:boeewp:0541)
• Dynamic term structure models: the best way to enforce the zero lower bound in the United States
  Bank of England working papers, Bank of England (2015)
  by Andreasen, Martin M & Meldrum, Andrew
  (ReDIF-paper, boe:boeewp:0550)
• Long-run priors for term structure models
  Bank of England working papers, Bank of England (2015)
  by Meldrum, Andrew & Roberts-Sklar, Matt
  (ReDIF-paper, boe:boeewp:0575)
• Financial Stability Paper No 6: A Risk-Based Methodology for Payment Systems Oversight
  Bank of England Financial Stability Papers, Bank of England (2009)
  by Norman, Ben & Brierley, Peter & Gibbard, Peter & Mason, Andrew & Meldrum, Andrew
  (ReDIF-paper, boe:finsta:0006)
• Evaluating the robustness of UK term structure decompositions using linear regression methods
  Journal of Banking & Finance, Elsevier (2016)
  by Malik, Sheheryar & Meldrum, Andrew
  (ReDIF-article, eee:jbfina:v:67:y:2016:i:c:p:85-102)
• A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018)
  by Martin M. Andreasen & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfe:2018-56)
• Bond Risk Premiums at the Zero Lower Bound
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2019)
  by Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfe:2019-40)
• High-Frequency Estimates of the Natural Real Rate and Inflation Expectations
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2021)
  by Alex Aronovich & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfe:2021-34)
• The Effects of Volatility on Liquidity in the Treasury Market
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2023)
  by Andrew C. Meldrum & Oleg Sokolinskiy
  (ReDIF-paper, fip:fedgfe:2023-28)
• The Relationship between Market Depth and Liquidity Fragility in the Treasury Market
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2025)
  by Andrew C. Meldrum & Oleg Sokolinskiy
  (ReDIF-paper, fip:fedgfe:2025-14)
• Robustness of Long-Maturity Term Premium Estimates
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2017)
  by Canlin Li & Andrew C. Meldrum & Marius del Giudice Rodriguez
  (ReDIF-paper, fip:fedgfn:2017-04-03)
• Predicting Recession Probabilities Using the Slope of the Yield Curve
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2018)
  by Peter Johansson & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfn:2018-03-01-3)
• Expectations about the Federal Funds Rate in the Long Run
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2019)
  by Kasper Joergensen & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfn:2019-10-09)
• New Financial Market Measures of the Neutral Real Rate and Inflation Expectations
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2020)
  by Alex Aronovich & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfn:2020-08-03)
• What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2020)
  by Dobrislav Dobrev & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfn:2020-09-25)
• The Treasury Market Flash Event of February 25, 2021
  FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2021)
  by Alex Aronovich & Dobrislav Dobrev & Andrew C. Meldrum
  (ReDIF-paper, fip:fedgfn:2021-05-14)
• A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach
  International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2013)
  by Iryna Kaminska & Andrew Meldrum & James Smith
  (ReDIF-article, wly:ijfiec:v:18:y:2013:i:4:p:352-374)