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Author : David G. Barr
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (119 download)
Download or read book Inflation, Real Interest Rates, and the Bond Market written by David G. Barr and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yukinobu Kitamura
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)
Download or read book Indexed Bonds and Monetary Policy written by Yukinobu Kitamura and published by . This book was released on 1996 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frederic S. Mishkin
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.3/5 (91 download)
Download or read book Money, Interest Rates, and Inflation written by Frederic S. Mishkin and published by Edward Elgar Publishing. This book was released on 1993 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frederick Mishkin's work has been dedicated to understanding the relationship between money, interest rates and inflation. The 15 essays in this collection - unabashedly empirical and rigorous - include much of Professor Mishkin's most highly regarded work. Money, Interst Rates and Inflation offers a coherent and informative assessment of how monetary policy affects the economy. In addition, the essays in this collection illustrate how rational expectations econometrics can be used to answer basic questions in the monetary-macroeconomics and finance areas.
Author : James A. Wilcox
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Short-term Movements of Long-term Real Interest Rates written by James A. Wilcox and published by . This book was released on 1985 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected, real yields are associated with forecasts of higher income, with tigher monetary policy, and with positive aggregate supply shocks. Changes in the short-termgrowth rate of the monbetary base, which presumably capture the so-called liquidity effect on the short-terminterst rates, do not perceptibly alterlong-term real rates. Long-term real rates also appear to be unaffected by the rate of expected inflation. Comparison with nominal interest rate equiation estimates reveals that conclusions about the effect of all variables are extremely sensitive to the choice of a proxy for expected long-term inflation.
Author : John Huizinga
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.3/5 ( download)
Download or read book Inflation and Real Interest Rates on Assets with Different Risk Characteristics written by John Huizinga and published by . This book was released on 1984 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent studies find that ex ante real returns for short-term U.S. Treasury securities are negatively correlated both with inflation and with nominal interest rates. This paper examines whether these findings extend to the short-term holding return on publicly and privately issued securities of longer maturity, are robust with respect to the choice of price index, and are stable over time. Our results show that before 1979 a negative relationship of ex ante real returns with inflation and nominal interest rates does appear for the longer maturity assets. In fact, the relationship grows stronger with increases in maturity length. This suggests that although short-term U.S. Treasury bills were, of all the assets we study, the best hedge against expected inflation, none of the assets were a perfect hedge. We find a statistically significant change in the stochastic process of bond returns in 1979, with nominal interest rates and ex ante real holding returns being positively correlated in this latter period. This is not true for stocks, however. While the above results are robust to the choice of price index, we show that estimating the level of ex ante real returns depends crucially on the price index chosen.
Author : Mr.Francisco Nadal De Simone
Publisher : International Monetary Fund
ISBN 13 : 1451856164
Total Pages : 42 pages
Book Rating : 4.4/5 (518 download)
Download or read book Nominal Exchange Rates and Nominal Interest Rate Differentials written by Mr.Francisco Nadal De Simone and published by International Monetary Fund. This book was released on 1999-10-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines some unsettled theoretical and empirical issues regarding the relationship between nominal exchange rates and interest rate differentials and provides a model for the behavior of exchange rates in the long run, where interest rates are determined in the bond market. The model predicts that an increase in the interest rate differential appreciates the home currency. We test the model for the U.S. dollar against the Deutsche mark, the British pound, the Japanese yen, and the Canadian dollar. The first two pairs of exchange rates—for which purchasing power parity seems to hold—display a strong relationship with interest rate differentials.
Author : Mark Deacon
Publisher : John Wiley & Sons
ISBN 13 : 0470868988
Total Pages : 360 pages
Book Rating : 4.4/5 (78 download)
Download or read book Inflation-indexed Securities written by Mark Deacon and published by John Wiley & Sons. This book was released on 2004-04-21 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time. The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments.
Author : Frederic S. Mishkin
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.3/5 (9 download)
Download or read book The Real Interest Rate written by Frederic S. Mishkin and published by . This book was released on 1981 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an empirical exploration of real interest rate movements in the United States over the last fifty years. It focuses on several questions which have repeatedly arisen in the literature. How valid is the hypothesis associated with Fama (1975) that the real rate of interest is constant? Does the real rate decline with increases in expected inflation? Are cyclical movements in real variables correlated with real rate movements? How reliable is the Fishei (1930) effect where nominal interest rates reflect changes in expected inflation? What kind of variation in real interest rates have we experienced in the last fifty years? Have real rates turned negative in the 1970s, as is commonly believed, and were they unusually high in the initial stages of the Great Depression? In pursuing these questions, this paper first outlines in section II the methodology and theory used in the empirical analysis. The empirical results then follow in section III, and a final section contains the concluding remarks.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Eric J. Levin
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (269 download)
Download or read book Reading the Message from the UK Indexed Bond Market written by Eric J. Levin and published by . This book was released on 1992 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Deacon
Publisher : Prentice Hall PTR
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.E/5 ( download)
Download or read book Inflation-indexed Securities written by Mark Deacon and published by Prentice Hall PTR. This book was released on 1998 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: The entry of the USA into the index-linked bond market has heightened the demand for more complex information about these instruments. This text aims to help the readers understand securities, the motivation of both issuers and of investors, and how their value compares to one another.
Author : Mr.Nuno Cassola
Publisher : International Monetary Fund
ISBN 13 : 1463904932
Total Pages : 44 pages
Book Rating : 4.4/5 (639 download)
Download or read book Understanding Chinese Bond Yields and their Role in Monetary Policy written by Mr.Nuno Cassola and published by International Monetary Fund. This book was released on 2011-09-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: China's financial prices are informative enough for the PBC to introduce a monetary policy framework centered around interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they contain considerable information about the state of the economy as well as evidence of an emerging transmission channel: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then associated with changes in growth and inflation. Coporate spreads are also a leading indicator of growth and inflation. While further liberalization will strengthen both efficiency and transmission, several necessary elements to move towards indirect monetary policy are already in place.
Author : Michael D. Bordo
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (486 download)
Download or read book Bond Market Inflation Expectations in Industrial Countries written by Michael D. Bordo and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define the Fisherian Golden Rule measure of bond market inflation expectations as the difference between bond rates and trend real GDP growth rates. The concept is based on the Fisherian theory that an increase in longer-term inflation expectations would be reflected in longer-term interest rates and the Golden Rule theory that in longer-term equilibrium the real rates of interest would equal the growth rate of real output. We compare the bond market inflation experiences of 13 advanced countries for the 1881-1913 gold standard era with the experience of the recent 1962 1995 period. The difference between average longer-term bond rates and average real GDP growth rates reflected the widespread expectation of low inflation during 1881-1913 in all of the industrial countries. Although real GDP growth was somewhat higher on average during 1962-65 than 1881-1913, bond rate averages were considerably higher, roughly comparable with the higher observed inflation rates. Long-term bond rates fell across the spectrum of the industrial countries in the 1980s and 1990s and bond market expectations for low inflation were substantially, but not fully regained for the industrial countries as a group
Author : James C. Van Horne
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.F/5 ( download)
Download or read book Financial Market Rates and Flows written by James C. Van Horne and published by . This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the behavior of interest rates as they relate to changing market conditions, and examines how risk can be managed. It successfully bridges the gap between interest-rate theory and its application to fixed-income security portfolio management.Coverage includes the function of financial markets, the flow-of-funds system, foundations for interest rates, inflation and returns, derivative securities, the influence of taxes, and the social l allocation of capital.For those in the financial community, in business, and in government, who are concerned with investing in or issuing fixed-income securities.
Author : Chen Qian
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Impact of Inflation and Interest Rate Cycle on the Bond Market written by Chen Qian and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the past year and a half, the issue of high inflation has garnered significant attention due to the lingering impact of the Covid-19 pandemic. Existing literature has predominantly explored the correlation between inflation and the stock market, but there is a dearth of studies investigating the impact of inflation on the bond market. This article examines the relationship between inflation variables and bond yields (specifically, 2-year and 10-year bond yields) as well as bond spreads. The study also incorporates interbank rates to account for the impact of rate hike cycles. In empirical study, the data consists of developed market and emerging market annual panel data during year 2002 to 2022. Using a panel data regression model, our study reveals that during rate hike cycles, both 2-year and 10-year bond yields tend to increase, after accounting for fixed effects. In contrast, rate hike cycles are associated with a contraction in bond spreads. Meanwhile, in an environment of high inflation, some excellent bond will be undervalued. Based on our findings, we suggest that investors should closely monitor changes in monetary policy, particularly rate hike cycles, and consider investing in bonds with longer maturities. Besides, we find that selected countries' monetary policy are consistent, affected by the spillover effect of Fed monetary policy. and then, we might also think about whether the steady shift in monetary policy in mainland China is having an impact on other emerging market countries.
Author : Yukinobu Kitamura
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book Information Contents of Inflation Indexed Bond Prices written by Yukinobu Kitamura and published by . This book was released on 2004 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In January 1997, the U.S. Treasury started issuing Treasury Inflation-Protection Securities (TIPS; hereafter TIPS and indexed bonds interchangeably) and, as of September 2002, a total of ten issues were being traded on the market, while one issue had already matured. The purpose of this paper is to attempt an evaluation of indexed bonds based on the record of five and a half years of market trading in TIPS, and to present the results as a reference for the issue of similar securities by the Japanese government in the future. The results of this paper are as follows: (1) Real interest rates are relatively stable and remain near the 4% mark. The 30 year bond is even more stable. (2) The expected inflation rate is more closely linked to realized CPI than to the real yield. However, the expected inflation rate is far more stable and its fluctuations smaller. In particular, the 30 year bond is steady, near the 2% mark. (3) While the economic information derived from the 10 year bond is strongly influenced by short-term economic fluctuations, the economic information derived from the 30 year bond is generally unresponsive to short-term economic fluctuations. (4) Examination of the derived information using econometric methods indicates that useful economic information was obtained from the following indexed bonds in the secondary markets: Series Three and Four 10 year bonds. Information included in the expected inflation rate was useful for the Series Three and Four 10 year bonds. Hence, while a total of eleven indexed bonds have been issued, very few of them have proven to be truly useful. These useful bonds turn out to have fair initial conditions, continuous arbitrages with the nominal bonds, and active trades in the secondary markets.
Author : Mark Deacon
Publisher :
ISBN 13 : 9781857300826
Total Pages : 71 pages
Book Rating : 4.3/5 (8 download)
Download or read book Estimating the Term Structure of Interest Rates written by Mark Deacon and published by . This book was released on 1994 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
