Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Macroeconomic Models And The Term Structure Of Interest Rates
Download Macroeconomic Models And The Term Structure Of Interest Rates full books in PDF, epub, and Kindle. Read online Macroeconomic Models And 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 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 Macroeconomic Models and the Term Structure of Interest Rates by : Steven Strongin
Download or read book Macroeconomic Models and the Term Structure of Interest Rates written by Steven Strongin and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Term Structure of Interest Rates by : Nisha Aroskar
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.
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 On the Estimation of Term Structure Models and An Application to the United States by : International Monetary Fund
Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Book Synopsis Developments in Macro-Finance Yield Curve Modelling by : Jagjit S. Chadha
Download or read book Developments in Macro-Finance Yield Curve Modelling written by Jagjit S. Chadha and published by Cambridge University Press. This book was released on 2014-02-06 with total page 571 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
Book Synopsis The Behavior of the Term Structure of Interest Rates in a Real Business Cycle Model (Classic Reprint) by : John B. Donaldson
Download or read book The Behavior of the Term Structure of Interest Rates in a Real Business Cycle Model (Classic Reprint) written by John B. Donaldson and published by Forgotten Books. This book was released on 2018-02-25 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from The Behavior of the Term Structure of Interest Rates in a Real Business Cycle Model This paper follows the tradition of real business cycle (rbc) theory as initiated by Kydland and Prescott A basic premise of this line of research is the view that aggregate macroeconomic models should be evaluated primarily with regard to their ability to replicate observed empirical regularities. Thus far, attention has focused principally on the ability of this class of models to approximate, satisfactorily, the matrix of variances and covariances of macroeconomic aggregates. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Book Synopsis Global Factors in the Term Structure of Interest Rates by : Mirko Abbritti
Download or read book Global Factors in the Term Structure of Interest Rates written by Mirko Abbritti and published by International Monetary Fund. This book was released on 2013-11-05 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Book Synopsis The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period by : Mr.Jun Nagayasu
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.
Book Synopsis Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates by : Ralf Fendel
Download or read book Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates written by Ralf Fendel and published by Peter Lang Publishing. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
Download or read book Interest Rates written by Yasuo Nishiyama and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rates are directly related to our lives. When interest rates are high, we hold less cash and more interest-bearing assets because we face a high opportunity cost of holding cash. Interest rates are directly related to the economy. When interest rates are high, there are not as many viable opportunities for firms to invest as when they are low, leading to a lower level of investment and a lower level of economic activities. Interest rates are directly related to the objectives of countries' monetary policy. This book, entitled "Interest Rates: Term Structure Models, Monetary Policy and Prediction" sheds light on selected aspects of this multifaceted role of interest rates. Topics discussed include term structure models; policy interest rates and the usefulness of interest rates as a predictor.
Download or read book Interest Rates written by Yasuo Nishiyama and published by . This book was released on 2012 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Changes in the Relationship Between the Long-Term Interest Rate and its Determinants by : Mr.William Lee
Download or read book Changes in the Relationship Between the Long-Term Interest Rate and its Determinants written by Mr.William Lee and published by International Monetary Fund. This book was released on 1994-10-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
Book Synopsis The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10 by : Mr.Carlos I. Medeiros
Download or read book The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007–10 written by Mr.Carlos I. Medeiros and published by International Monetary Fund. This book was released on 2011-04-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.
Book Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona
Download or read book Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer Science & Business Media. This book was released on 2007-05-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Book Synopsis Models of the Term Structure of Interest Rates by : John Y. Campbell
Download or read book Models of the Term Structure of Interest Rates written by John Y. Campbell and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling Bond Yields in Finance and Macroeconomics by : Francis X. Diebold
Download or read book Modeling Bond Yields in Finance and Macroeconomics written by Francis X. Diebold and published by . This book was released on 2005 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: "From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and affne no-arbitrage term structure models"--National Bureau of Economic Research web site.
