LEO KRIPPNER

SIM KEE BOON INSTITUTE FOR FINANCIAL ECONOMICS

 
Research Fellow  
Email: leokrippner [at] smu.edu.sg  
Curriculum Vitae  

 

EDUCATION

2006            

PhD in Finance and Economics

University of Waikato

1991

Master of Science (Theoretical Physics, First Class Honours)

University of Waikato

1989

Bachelor of Science (Majors in Physics, Mathematics and Chemistry)

University of Waikato

 

CURRENT POSITION(S) HELD

  • Research Fellow, Sim Kee Boon Institute for Financial Economics
  • Honorary Senior Research Fellow, University of Waikato

RESEARCH INTERESTS

  • Term Structure Modeling
  • Monetary Policy and Macro-finance
  • Time Series Econometrics

PUBLICATIONS

  • (2020), "A note of caution on Shadow Rate estimates", Journal of Money, Credit and Banking, 52(4), 951-962.
  • (2018, with E. Claus and I. Claus), "Asset market responses to conventional and unconventional monetary policy shocks in the United States", Journal of Banking and Finance, 97, 270-282.

  • (2018, with I. Claus), "Contemporary topics in finance: A collection of literature surveys", Journal of Economic Surveys, 32(5), 1221-28.

  • (2016, with E. Claus and I. Claus), "Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound", Asian Economic Papers, 15(3), 1-27.

  • (2016, with J. von Borstel and S. Eickmeier), "The interest rate pass-through in the euro area before and during the sovereign debt crisis", Journal of International Money and Finance, 68, 386-402.

  • (2015) "A theoretical foundation for the Nelson and Siegel class of yield curve models", Journal of Applied Econometrics, 30(1), 97-118. 

  • (2013) "Measuring the stance of monetary policy in zero lower bound environments", Economics Letters, 118(1), 135-138.

  • (2006) "A theoretically consistent version of the Nelson and Siegel class of yield curve models", Applied Mathematical Finance, 13(1), 39-59.

  • (1994, with W. Munro and M. Reid) "Transient macroscopic quantum superposition states in degenerate parametric oscillation: calculations in the large-quantum-noise limit using the positive P representation", Physical Review A, 50(5), 4330-4338.

  • (1993, with M. Reid) "Macroscopic quantum superposition states in nondegenerate parametric oscillation", Physical Review A, 47(1), 552-555.

BOOKS

  • (2015) "Zero Lower Bound Term Structure Modeling: A Practitioner's Guide", Palgrave Macmillan.

  • (2009) "Consistent Nelson and Siegel Yield Curve Models: Derivation and Applications", VDM Verlag.

EDITED BOOKS

  • (2019, with I. Claus) "Contemporary Topics in Finance: A Collection of Literature Surveys", Wiley-Blackwell

OTHER PUBLICATIONS

  • (2016, with M. Callaghan), "Short-term risk premiums and policy rate expectations in the United States", Analytical Note, Reserve Bank of New Zealand 2016/07.

  • (2012, with D. Thornton) "A proposal for improving forward guidance", Federal Reserve Bank of St. Louis Economic Synopses, 2012/28.

  • (2012), "A model for interest rates near the zero lower bound: An overview and discussion", Analytical Note, Reserve Bank of New Zealand 2012/05.

  • (2009) "Connecting the dots: a yield curve perspective on New Zealand's interest rates", Reserve Bank of New Zealand Bulletin, 73(3), 5-19.

  • (2001, with M. Gordon), "Market expectations of the Official Cash Rate", Reserve Bank of New Zealand Bulletin, 64(2), 25-39.

WORKING PAPERS

  • (2021, with A. Halberstadt) "Investigating a measure of conventional and unconventional stimulus for the euro area". Working Paper 27/2021, Centre for Applied Macroeconomic Analysis, Australian National University.

  • (2019) "Will the real eigensystem VAR please stand up? A univariate primer". Working Paper 1/2019, Centre for Applied Macroeconomic Analysis, Australian National University.

  • (2018, with M. Lewis), "Real-time forecasting with macro-finance models in the presence of a zero lower bound", Discussion Paper 2018/04, Reserve Bank of New Zealand.

  • (2016, with A. Halberstadt), "The effect of conventional and unconventional euro area monetary policy on macroeconomic variables". Discussion Paper, Deutsche Bundesbank, 49/2016.

  • (2009, with L. Thorsrud) "Forecasting New Zealand's economic growth using yield curve information", Discussion Paper 2009/18, Reserve Bank of New Zealand.

  • (2002) "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve", Discussion Paper 2002/01, Reserve Bank of New Zealand.

  • (1998) "The predictive power of New Zealand bank bill futures rates", Discussion Paper 1998/08, Reserve Bank of New Zealand.

 

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