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Author : Tong-hŏn Kim
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle written by Tong-hŏn Kim and published by . This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Magnus Dahlquist
Publisher :
ISBN 13 : 9789171534095
Total Pages : 158 pages
Book Rating : 4.5/5 (34 download)
Download or read book Essays on the Term Structure of Interest Rates and Monetary Policy written by Magnus Dahlquist and published by . This book was released on 1995 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nisha Aroskar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (565 download)
Download or read book Essays on the Term Structure of Interest Rates written by Nisha Aroskar and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
Author : Hyoung-Seok Lim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (65 download)
Download or read book Three Essays on the Term Structure of Interest Rates written by Hyoung-Seok Lim and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates play an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
Author : Mr.Jun Nagayasu
Publisher : International Monetary Fund
ISBN 13 : 1451874723
Total Pages : 32 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Author : Albert Lee Chun
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.F/5 ( download)
Download or read book Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates written by Albert Lee Chun and published by . This book was released on 2007 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniele Peter Bieber
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (955 download)
Download or read book Essays on Monetary Policy, Institutional Demand, and the Term Structure of Interest Rates and Credit written by Daniele Peter Bieber and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stan Maes
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838301181
Total Pages : 264 pages
Book Rating : 4.3/5 (11 download)
Download or read book Modeling the Term Structure of Interest Rates Across Countries written by Stan Maes and published by LAP Lambert Academic Publishing. This book was released on 2010-06 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of the stochastic behaviour of yields is important for the conduct of monetary policy, the financing of public debt, the expectations of real economic activity and inflation, the risk management of a portfolio of securities, and the valuation of interest rate derivatives. It is, therefore, not surprising that the study of yield curve dynamics is occupying such a prominent and unique place in theoretical and empirical macroeconomics and finance.
Author : Wei Shi
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (33 download)
Download or read book Essays on the Term Structure of Interest Rates written by Wei Shi and published by . This book was released on 1995 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J.M. Berk
Publisher : Springer Science & Business Media
ISBN 13 : 1475734050
Total Pages : 157 pages
Book Rating : 4.4/5 (757 download)
Download or read book The Preparation of Monetary Policy written by J.M. Berk and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Author : Robert Alan Jarrow
Publisher :
ISBN 13 :
Total Pages : 416 pages
Book Rating : 4.:/5 (652 download)
Download or read book Essays in Financial Economics written by Robert Alan Jarrow and published by . This book was released on 1979 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Todd Andrew Vermilyea
Publisher :
ISBN 13 :
Total Pages : 352 pages
Book Rating : 4.:/5 (47 download)
Download or read book Essays on the Term Structure of Interest Rates and Federal Reserve Decision Making written by Todd Andrew Vermilyea and published by . This book was released on 1998 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lance Alexander Fisher
Publisher :
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.:/5 (319 download)
Download or read book Essays on the Term Structure of Interest Rates written by Lance Alexander Fisher and published by . This book was released on 1988 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter R. MacMillan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays on the term structure of interest rates written by Peter R. MacMillan and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Henrik Hasseltoft
Publisher :
ISBN 13 : 9789172588059
Total Pages : 184 pages
Book Rating : 4.5/5 (88 download)
Download or read book Essays on the Term Structure of Interest Rates and Long-run Risks written by Henrik Hasseltoft and published by . This book was released on 2009 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Basma Z. Bekdache
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (131 download)
Download or read book Essays on the Term Structure of Interest Rates written by Basma Z. Bekdache and published by . This book was released on 1994 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harry Johnson
Publisher : Routledge
ISBN 13 : 1134623569
Total Pages : 341 pages
Book Rating : 4.1/5 (346 download)
Download or read book Essays in Monetary Economics (Collected Works of Harry Johnson) written by Harry Johnson and published by Routledge. This book was released on 2013-07-18 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reprinting the second edition (which included a new introduction explaining developments which had emerged since first publication) this book discusses explorations in the fundamental theory of a monetary economy, a theoretical critique of the ‘Phillips Curve’ approach to the theory of inflation and the theory of the term structure of interest rates in terms of the theory of forward markets pioneered by David Meiselman.
