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Monetary Policy Shifts And The Term Structure
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Book Synopsis Monetary policy shifts and the term structure by :
Download or read book Monetary policy shifts and the term structure written by and published by . This book was released on 2009 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0.4 and has not changed very much over time. The overall response of the yield curve to output gap components is relatively small. In contrast, the inflation loading has changed substantially over the last 50 years and ranges from close to zero in 2003 to a high of 2.4 in 1983. Long-term bonds are sensitive to inflation policy shifts with increases in inflation loadings leading to higher short rates and widening yield spreads.
Book Synopsis Monetary Policy Shifts and the Term Structure by : Jean Boivin
Download or read book Monetary Policy Shifts and the Term Structure written by Jean Boivin and published by . This book was released on 2011 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on inflation and output can vary over time. We find that monetary policy loadings on inflation, but not output, changed substantially over the last 50 years. Agents tend to assign a risk discount to monetary policy shifts and are willing to pay to be exposed to activist monetary policy. Over 1952-2006, if agents had assigned no value to active monetary policy, the slope of the yield curve would have been approximately 50 basis points higher, and up to twice as volatile, than what actually occurred in data.
Book Synopsis Monetary Policy Rules and the Term Structure of Interest Rates by : Shu Wu
Download or read book Monetary Policy Rules and the Term Structure of Interest Rates written by Shu Wu and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Long and the Short End of the Term Structure of Policy Rules by : Josephine M. Smith
Download or read book The Long and the Short End of the Term Structure of Policy Rules written by Josephine M. Smith and published by . This book was released on 2007 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We first document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States. The shift occurred in the early 1980s. We then derive an equation that links these responses to the coefficients of the central bank's monetary policy rule for the short-term interest rate. The equation reveals two countervailing forces that help explain and understand the nature of the link and how its sign is determined. Using this equation, we show that a shift in the policy rule in the early 1980s provides an explanation for the observed shift in the term structure. We also explore a shift in the policy rule in the 2002-2005 period and its possible effect on long-term rates.
Book Synopsis Endogenous Monetary Policy Shifts and the Term Structure by : Junko Koeda
Download or read book Endogenous Monetary Policy Shifts and the Term Structure written by Junko Koeda and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This application subjects the short-term interest rate to monetary regime shifts, such as a zero interest rate policy (ZIRP) and normal regimes, which depend on macroeconomic variables. The estimated results show that under a ZIRP, the deflationary effect on bond yields increases on the longer end of yield curves; on the other hand, the effect of output gaps on raising bond yields weakens for all maturities.
Book Synopsis Monetary Policy and the Term Structure of Nominal Interest Rates by : Charles Evans
Download or read book Monetary Policy and the Term Structure of Nominal Interest Rates written by Charles Evans and published by . This book was released on 1997 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates and the Effects of Macoeconomic Policy by : Stephen J. Turnovsky
Download or read book The Term Structure of Interest Rates and the Effects of Macoeconomic Policy written by Stephen J. Turnovsky and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates by : Carlo A. Favero
Download or read book Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates written by Carlo A. Favero and published by . This book was released on 2001 with total page 28 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 TERM STRUCTURE OF INTEREST RATE AND ECONOMIC ACTIVITIES: OECD CASE by : Assist. Prof. Dr. Erkan KARA
Download or read book TERM STRUCTURE OF INTEREST RATE AND ECONOMIC ACTIVITIES: OECD CASE written by Assist. Prof. Dr. Erkan KARA and published by EĞİTİM YAYINEVİ. This book was released on 2022-11-11 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is dedicated to investigating the long-run relation between interest rate spreads and economic activities which include industrial production, inflation, and unemployment rate- in OECD countries over the period between2005 and 2015 by using panel data analysis. This study will use the latest panel data models that take structural breaks and cross-sectional dependency into account. Besides using panel data analysis on this issue, this paper will also try to see the effect of new monetary policies that are taking place by major central banks on yield spread and economic activities, especially industrial production. As it is known that, in the post-financial crisis of 2008 period, major central banks such as the Federal Reserve1 (The FED was the first central bank that started to implement new monetary policies just after the collapse of several large-scale investment banks in the U.S), European Central Bank, Bank of Japan and Bank of England, have taken action to stimulate the world economy. Henceforth, not only these major central banks, but also other economies started to lower their policy interest rates soon in conventional way. These policies pushed interest rates almost to zero and since then the rates have remained very low due to lower output level and disinflationary fears.
Book Synopsis Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle by : Tong-hŏn Kim
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:
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 Monetary Policy, the Term Structure of Interest Rates and the Macroeconomy by : Etienne Vaccaro-Grange
Download or read book Monetary Policy, the Term Structure of Interest Rates and the Macroeconomy written by Etienne Vaccaro-Grange and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. thesis has the ambition to help better understand the role of interest rates as a monetary policy instrument driving the economy for the central bank. The first chapter of the thesis analyzes the bond term premium transmission channel of the first sovereign bonds purchase programme of the European Central Bank, focusing on the impact on aggregated Euro Area macroeconomic variables. The second chapter investigates the low growth - low inflation environment present in Japan since the 1990s, through the yield curve gap. This chapter extends the concept of (short-term) natural rate of interest to medium and long-term maturities, and shows that the different monetary policy regimes implemented by the Bank of Japan did not have an homogeneous impact on the yield curve gap and on the Japanese economy. Finally, a third chapter demonstrates that the U.S. price Phillips curve - the structural relationship between price inflation and measures of real economic activity - is not dead, as opposed to the current common thinking. This chapter shows that the slope of the price Phillips curve is not flat, once filtered from all supply shocks, and not only cost-push shocks. The chapter also finds evidence that the apparent flattening of the curve is due to the fact that the U.S. Federal Reserve has become a stricter inflation targeter.
Book Synopsis How Do Changes in Monetary Policy Affect the Term Structure of Interest Rates? by : Shu Wu
Download or read book How Do Changes in Monetary Policy Affect the Term Structure of Interest Rates? written by Shu Wu and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a new analysis of the effects of monetary policy on the term structure of interest rates using a tractable dynamic asset pricing model which incorporates a responsive monetary policy rule. The model shows how a change in the policy rule simultaneously affects inflation, interest rates, volatilities, co-movements between long and short rates, and is able to account for some empirical regularities of the term structure across different policy regimes in the United States.
Book Synopsis Regime-shifts, Risk Premiums in the Term Structure, and Business Cycle by : Ravi Bansal
Download or read book Regime-shifts, Risk Premiums in the Term Structure, and Business Cycle written by Ravi Bansal and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy by : Mitsuru Katagiri
Download or read book Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy written by Mitsuru Katagiri and published by International Monetary Fund. This book was released on 2018-11-09 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.
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.
