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Author : Don H. Kim
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.E/5 ( download)
Download or read book Term Structure Estimation with Survey Data on Interest Rate Forecasts written by Don H. Kim and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Don H. Kim
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (622 download)
Download or read book Term Structure Estimation with Survey Data on Interest Rate Forecasts written by Don H. Kim and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)
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.
Author : Kenneth A. Froot
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth A. Froot and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
ISBN 13 : 147559464X
Total Pages : 27 pages
Book Rating : 4.4/5 (755 download)
Download or read book Estimating Parameters of Short-Term Real Interest Rate Models written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2013-10-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Author : Kenneth Froot
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth Froot and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1455209589
Total Pages : 64 pages
Book Rating : 4.4/5 (552 download)
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.
Author : H. Joe Wells
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.E/5 ( download)
Download or read book Estimation and Tests of the Term Structure of Interest Rates written by H. Joe Wells and published by . This book was released on 1978 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Taeyoung Doh
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long Run Risks in the Term Structure of Interest Rates written by Taeyoung Doh and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying volatility determine asset price variation. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that i) agents dislike high uncertainty and demand compensation for volatility risks, ii) the time variation of the term premium is driven by the compensation for fluctuating inflation volatility, and iii) estimates of risk factors are broadly consistent with survey data evidence.
Author : R. S. Masera
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.F/5 ( download)
Download or read book The Term Structure of Interest Rates written by R. S. Masera and published by . This book was released on 1972 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sylvester C. W. Eijffinger
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.X/5 (6 download)
Download or read book The Term Structure of Interest Rates and Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Li-Hsueh Chen
Publisher :
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.3/5 (91 download)
Download or read book Real Interest Rates, Inflation and the Term Structure of Interest Rates written by Li-Hsueh Chen and published by . This book was released on 1998 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ken O. Kortanek
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.3/5 (91 download)
Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author : Pablo Aguilar
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (13 download)
Download or read book Term Structure and Real-Time Learning written by Pablo Aguilar and published by . This book was released on 2018 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the term structure of interest rates into a medium-scale DSGE model. This extension results in a multi-period forecasting model that is estimated under both adaptive learning and rational expectations. Term structure information enables us to characterize agents' expectations in real time, which addresses an imperfect information issue mostly neglected in the adaptive learning literature. Relative to the rational expectations version, our estimated DSGE model under adaptive learning largely improves the model fit to the data, which include not just macroeconomic data but also the yield curve and the consumption growth and inflation forecasts reported in the Survey of Professional Forecasters. Moreover, the estimation results show that most endogenous sources of aggregate persistence are dramatically undercut when adaptive learning based on multi-period forecasting is incorporated through the term structure of interest rates.
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 : Frank Browne
Publisher : [Paris, France] : OECD, Department of Economics and Statistics
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.F/5 ( download)
Download or read book The Information Content of the Term Structure of Interest Rates written by Frank Browne and published by [Paris, France] : OECD, Department of Economics and Statistics. This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Graham Elliott
Publisher : Elsevier
ISBN 13 : 0444627405
Total Pages : 667 pages
Book Rating : 4.4/5 (446 download)
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
