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The Changing Behavior Of The Term Structure Of Interest Rates
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Book Synopsis The Changing Behavior of the Term Structure of Interest Rates by : N. Gregory Mankiw
Download or read book The Changing Behavior of the Term Structure of Interest Rates written by N. Gregory Mankiw and published by . This book was released on 1985 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : David Meiselman
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : Burton Gordon Malkiel
Download or read book The Term Structure of Interest Rates written by Burton Gordon Malkiel and published by . This book was released on 1966 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Term Structure of Interest Rates by : Burton Gordon Malkiel
Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel and published by Princeton University Press. This book was released on 2015-12-08 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Book Synopsis The Behavior of Interest Rates by : Joseph W. Conard
Download or read book The Behavior of Interest Rates written by Joseph W. Conard and published by . This book was released on 1966 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment by : Mr.Ralph Chami
Download or read book Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment written by Mr.Ralph Chami and published by International Monetary Fund. This book was released on 2020-03-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Book Synopsis A Simple Account of the Behavior of Long-term Interest Rates by : John Y. Campbell
Download or read book A Simple Account of the Behavior of Long-term Interest Rates written by John Y. Campbell and published by . This book was released on 1983 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory.
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 The term structure of interests rates by : Diana Ruthenberg
Download or read book The term structure of interests rates written by Diana Ruthenberg and published by GRIN Verlag. This book was released on 2006-04-14 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2004 in the subject Business economics - Investment and Finance, grade: 1.8, University of Plymouth (Business School), 2 entries in the bibliography, language: English, abstract: Firstly, this report will depict briefly what a bond is in general and how to evaluate its advantages and inconveniences for potential investors. Then it aims at to explain when and why the yield on long-term bonds often exceeds the yield on short-term bonds. The explanation will mainly be based on the three primary theories: the expectations hypothesis, the liquidity premium / preferred habitat theories and the market segmentation theory.
Book Synopsis Expectations, Uncertainty, and the Term Structure of Interest Rates by : J. C. Dodds
Download or read book Expectations, Uncertainty, and the Term Structure of Interest Rates written by J. C. Dodds and published by . This book was released on 1974 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Negative Interest Rates by : Luís Brandão Marques
Download or read book Negative Interest Rates written by Luís Brandão Marques and published by International Monetary Fund. This book was released on 2021-03-03 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
Book Synopsis Behavior Of Interest Rates by : Richard Roll
Download or read book Behavior Of Interest Rates written by Richard Roll and published by . This book was released on 1970-11-11 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : Jacob B. Michaelsen
Download or read book The Term Structure of Interest Rates written by Jacob B. Michaelsen and published by . This book was released on 1973 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
