Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
A Macro Finance Approach To The Term Structure Of Interest Rates
Download A Macro Finance Approach To The Term Structure Of Interest Rates full books in PDF, epub, and Kindle. Read online A Macro Finance Approach To The Term Structure Of Interest Rates ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis A Macro-finance Approach to the Term Structure of Interest Rates by : Marcelo Ferman
Download or read book A Macro-finance Approach to the Term Structure of Interest Rates written by Marcelo Ferman and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the literature that analyses the term structure of interest rates from a macroeconomic perspective. Chapter 1 studies the transmission of monetary policy shocks to the US macroeconomy and term structure. Based on estimates of a Macro-Affine model, it shows that monetary policy shocks trigger relevant movements in bond premia, which in turn feed back into the macroeconomy. This channel of monetary transmission shows up importantly in the pre-Volcker period, but becomes irrelevant later. This chapter concludes with an analysis of the macroeconomic implications of shocks to expectations about future monetary policy actions. Chapter 2 proposes a regime-switching approach to explain why the U.S. nominal yield curve on average has been steeper since the mid-1980s than during the Great Inflation of the 1970s. It shows that, once the possibility of regime switches in the short-rate process is incorporated into investors' beliefs, the average slope of the yield curve generally will contain a new component called 'level risk'. Level risk estimates were found to be large and negative during the Great Inflation, but became moderate and positive afterwards. These findings are replicated in a Markov-Switching DSGE model, where the monetary policy rule shifts between an active and a passive regime with respect to inflation fluctuations. Chapter 3 develops a DSGE model in which banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. The model shows that maturity transformation in the banking sector in general attenuates the output response to a technological shock. Implications of long-term nominal contracts are also examined in a New Keynesian version of the model. In this case, maturity transformation reduces the real effects of a monetary policy shock.
Book Synopsis Term Structure of Interest Rates by : Zbynek Stork
Download or read book Term Structure of Interest Rates written by Zbynek Stork and published by LAP Lambert Academic Publishing. This book was released on 2014-07-08 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants - pricing kernel, price of risk and affine term structure of interest rates - based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field.
Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Book Synopsis Macro-finance Essays on the Term Structure of Interest Rates by : Joseph Morell
Download or read book Macro-finance Essays on the Term Structure of Interest Rates written by Joseph Morell and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fiscal Policy and the Term Structure of Interest Rates by : Qiang Dai
Download or read book Fiscal Policy and the Term Structure of Interest Rates written by Qiang Dai and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for the factors that drive the dynamics of the yield curve. To shed light on both issues, we present an empirical macro-finance model that combines a no-arbitrage affine term structure model with a set of structural restrictions that allow us to identify fiscal policy shocks, and trace the effects of these shocks on the prices of bonds of different maturities. Compared to a standard VAR, this approach has the advantage of incorporating the information embedded in a large cross-section of bond prices. Moreover, the pricing equations provide new ways to assess the model's ability to capture risk preferences and expectations. Our results suggest that (i) government deficits affect long term interest rates: a one percentage point increase in the deficit to GDP ratio, lasting for 3 years, will eventually increase the 10-year rate by 40--50 basis points; (ii) this increase is partly due to higher expected spot rates, and partly due to higher risk premia on long term bonds; and (iii) the fiscal policy shocks account for up to 12% of the variance of forecast errors in bond yields.
Book Synopsis Term structure of interest rates and macroeconomic dynamics in brazil by :
Download or read book Term structure of interest rates and macroeconomic dynamics in brazil written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Existe uma relação muito próxima entre variáveis macroeconômicas e a estrutura a termo da taxa de juros no Brasil. Caracterizamos esta relação utilizando a recente abordagem de macro-finanças adaptada para o caso de uma economia emergente. Podemos concluir que (i) a curva de juros possui informações adicionais às de diversas variáveis com relação ao crescimento futuro da economia; (ii) o poder de previsão é crescente com a durabilidade dos bens e é decorrente essencialmente das expectativas de variações futuras na taxa de curto-prazo; (iii) as variáveis cíclicas da economia (hiato do produto, taxa de inflação e variação do câmbio nominal) explicam até 53% da variação das taxas; (iv) o restante das variações, representado por fatores não-observáveis, parece estar relacionado à variação da aversão ao risco internacional e das expectativas de inflação e (v) a noção de grande vulnerabilidade externa da economia brasileira no período estudado é corroborada pelo papel relevante da variação do câmbio nominal, que explica até 41% da variação das taxas.
Book Synopsis Macro Factors and the Term Structure of Interest Rates by : Hans Dewachter
Download or read book Macro Factors and the Term Structure of Interest Rates written by Hans Dewachter and published by . This book was released on 2012 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modeling consistently long-run inflation expectations simultaneously with the term structure. Application to the U.S. economy shows the importance of long-run inflation expectations in the modeling of long-term bond yields. The paper also provides a macroeconomic interpretation for the latent factors found in standard finance models of the yield curve: the quot;levelquot; factor represents the long-run inflation expectation of agents; the quot;slopequot; factor captures business cycle conditions; and the quot;curvaturequot; factor expresses a clear independent monetary policy factor.
Book Synopsis Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates by : Hans Dewachter
Download or read book Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates written by Hans Dewachter and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a macroeconomic model in which agents learn about the central bank's inflation target and the output-neutral real interest rate. We use this framework to explain the joint dynamics of the macroeconomy, and the term structures of interest rates and inflation expectations. Introducing learning in the macro model generates endogenous stochastic endpoints which act as level factors for the yield curve. These endpoints are suffciently volatile to account for most of the variation in long-term yields and inflation expectations. As such, this paper complements the current macro-finance literature in explaining long-term movements in the term structure without reference to additional latent factors.
Book Synopsis Interest Rate Term Structure Modeling and Forecasting with Macro-finance Models by : Linlin Niu
Download or read book Interest Rate Term Structure Modeling and Forecasting with Macro-finance Models written by Linlin Niu and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomics and the term structure by : Refet S. Gürkaynak
Download or read book Macroeconomics and the term structure written by Refet S. Gürkaynak and published by . This book was released on 2010 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Macroeconomic Approach to the Term Premium by : Emanuel Kopp
Download or read book A Macroeconomic Approach to the Term Premium written by Emanuel Kopp and published by International Monetary Fund. This book was released on 2018-06-15 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Book Synopsis Does Macroeconomics Help Us to Understand the Term Structure of Interest Rates? by : Carlo A. Favero
Download or read book Does Macroeconomics Help Us to Understand the Term Structure of Interest Rates? written by Carlo A. Favero and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy by : Glenn D. Rudebusch
Download or read book A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy written by Glenn D. Rudebusch and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this new empirical formulation, we obtain several important results: (1) the latent term structure factors from finance no-arbitrage models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of monetary policy inertia or a slow partial adjustment of the policy interest rate by the Federal Reserve, and (3) both forward-looking and backward-looking elements play important roles in macroeconomic dynamics.
Book Synopsis The Macroeconomy and the Yield Curve by : Zeno Rotondi
Download or read book The Macroeconomy and the Yield Curve written by Zeno Rotondi and published by . This book was released on 2015 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work focuses on the recent literature - started by the seminal article of Ang and Piazzesi (2003) - aimed at developing macro-finance models that combine finance specifications of the term structure of interest rates with standard macroeconomic aggregate relationships for output and inflation. We review the alternative models proposed in this new literature and discuss their main features. An alternative analysis based on the theory of cointegrated vector autoregressive models is developed and tested with the data available for the US.
Book Synopsis Essays on Macro-finance Relationships by : Azamat Abdymomunov
Download or read book Essays on Macro-finance Relationships written by Azamat Abdymomunov and published by . This book was released on 2010 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my dissertation, I study relationships between macroeconomics and financial markets. In particular, I empirically investigate the links between key macroeconomic indicators, such as output, inflation, and the business cycle, and the pricing of financial assets. The dissertation comprises three essays. The first essay investigates how the entire term structure of interest rates is influenced by regime-shifts in monetary policy. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results for U.S. data from 1985-2008 indicate that (i) the Fed's reaction to inflation has changed over time, switching between "more active" and "less active" monetary policy regimes, (ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and (iii) on average, the slope of the yield curve in the "more active" regime was steeper than in the "less active" regime. The steeper yield curve in the "more active" regime reflects higher term premia that result from the risk associated with a more volatile future short-term rate given a more sensitive response to inflation. The second essay examines the predictive power of the entire yield curve for aggregate output. Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction. The third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed to vary between "low" and "high" volatility regimes. Our empirical findings suggest strong time variation in betas across volatility regimes in most of the cases for which the unconditional CAPM can be rejected. Although the regime-switching conditional CAPM can still be rejected in many cases, the time-varying betas help explain portfolio returns much better than the unconditional CAPM, especially when market volatility is high.
Book Synopsis Macro Risks and the Term Structure of Interest Rates by : Geert Bekaert
Download or read book Macro Risks and the Term Structure of Interest Rates written by Geert Bekaert and published by . This book was released on 2018 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks; later recessions by demand shocks. We estimate macro risk factors that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and demand shocks. We document that macro risks significantly contribute to the variation of yields, risk premiums and return variances for nominal bonds. While overall bond risk premiums are counter-cyclical, an increase in aggregate demand variance significantly lowers risk premiums.
Book Synopsis Dynamic Stochastic General Equilibrium Models by : Massimiliano Marzo
Download or read book Dynamic Stochastic General Equilibrium Models written by Massimiliano Marzo and published by . This book was released on 2013 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book features tutorials about the role of money and bonds in Dynamic General Equilibrium models. It includes a step-by-step guide to the endogenous derivation of the price kernel employed for the term structure of interest rates and asset pricing.
