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Author : Gary Stephen Shea
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.F/5 ( download)
Download or read book The Japanese Term Structure of Interest Rates written by Gary Stephen Shea and published by . This book was released on 1982 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Jun Nagayasu
Publisher : International Monetary Fund
ISBN 13 : 1451874723
Total Pages : 32 pages
Book Rating : 4.4/5 (518 download)
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.
Author : Mirko Abbritti
Publisher : International Monetary Fund
ISBN 13 : 1475513313
Total Pages : 41 pages
Book Rating : 4.4/5 (755 download)
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.
Author : Takayasu Ito
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.F/5 ( download)
Download or read book Interest Rates and Monetary Policy in Japan written by Takayasu Ito and published by . This book was released on 2005 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helen Popper
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Term Structure of Interest Rates in the Onshore Markets of the United States, Germany, and Japan written by Helen Popper and published by . This book was released on 1990 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Junko Koeda
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (755 download)
Download or read book The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates written by Junko Koeda and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility is defined as the conditional volatility of the error term in a Taylor rule. We find that an increase in monetary policy uncertainty raises the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics."--Authors' abstract.
Author : David Meiselman
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.3/5 (91 download)
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:
Author : Kenneth J. Singleton
Publisher : University of Chicago Press
ISBN 13 : 0226760685
Total Pages : 208 pages
Book Rating : 4.2/5 (267 download)
Download or read book Japanese Monetary Policy written by Kenneth J. Singleton and published by University of Chicago Press. This book was released on 2007-12-01 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: How has the Bank of Japan (BOJ) helped shape Japan's economic growth during the past two decades? This book comprehensively explores the relations between financial market liberalization and BOJ policies and examines the ways in which these policies promoted economic growth in the 1980s. The authors argue that the structure of Japan's financial markets, particularly restrictions on money-market transactions and the key role of commercial banks in financing corporate investments, allowed the BOJ to influence Japan's economic success. The first two chapters provide the most in-depth English-language discussion of the BOJ's operating procedures and policymaker's views about how BOJ actions affect the Japanese business cycle. Chapter three explores the impact of the BOJ's distinctive window guidance policy on corporate investment, while chapter four looks at how monetary policy affects the term structure of interest rates in Japan. The final two chapters examine the overall effect of monetary policy on real aggregate economic activity. This volume will prove invaluable not only to economists interested in the technical operating procedures of the BOJ, but also to those interested in the Japanese economy and in the operation and outcome of monetary reform in general.
Author : Jonathan Batten
Publisher : Elsevier
ISBN 13 : 0444520201
Total Pages : 458 pages
Book Rating : 4.4/5 (445 download)
Download or read book Japanese Fixed Income Markets written by Jonathan Batten and published by Elsevier. This book was released on 2006-09-27 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structured in 4 parts: Macroeconomic Environmental Development, Credit Risk Measures and Management, Interest Rate Analysis and Market Integration sections; this book looks at the Japanese Fixed Income Market. It focuses on macroeconomic environmental developments, credit risk measures and management, interest rate analysis and market integration.
Author : Luís Brandão Marques
Publisher : International Monetary Fund
ISBN 13 : 1513570080
Total Pages : 84 pages
Book Rating : 4.5/5 (135 download)
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.
Author : Adesina-Uthman Ganiyat
Publisher : Cambridge Scholars Publishing
ISBN 13 : 144387986X
Total Pages : 340 pages
Book Rating : 4.4/5 (438 download)
Download or read book Term Structure of Profit Rates of Sukuk written by Adesina-Uthman Ganiyat and published by Cambridge Scholars Publishing. This book was released on 2015-06-18 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores several non-traditional and under-researched fields in Islamic finance through its investigations into how the newly-emergent financial instrument Sukuk behaves in the broader field of finite-period financing and pricing in the market place. It provides readers with didactic information on the fundamental theories of term structure and in-depth information on this nascent financial instrument in the Islamic capital market. The book employs one and two-factor models of term structure in order to analyse sovereign and corporate Sukuk bonds from the world’s leading Islamic economy, Malaysia. For the purposes of the study, the book establishes “profit rate yield curves” in the tradition of the conventional bond yield curve in order to define different risk classes of Sukuk. The dynamics of term structure of profit rates are captured with the inclusion of volatility as a factor in one of the models. The book provides informative case studies for interested students and researchers in the field of financial economics and mathematical finance. It also provides examples that will serve to simplify future research in term structure analysis and reduce its computational inefficiency.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book Monetary Policy and the Term Structure of Interest Rates in Japan written by John Y. Campbell and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andreas Jobst
Publisher : International Monetary Fund
ISBN 13 : 1475524471
Total Pages : 48 pages
Book Rating : 4.4/5 (755 download)
Download or read book Negative Interest Rate Policy (NIRP) written by Andreas Jobst and published by International Monetary Fund. This book was released on 2016-08-10 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Author : Assist. Prof. Dr. Erkan KARA
Publisher : EĞİTİM YAYINEVİ
ISBN 13 : 6258223419
Total Pages : 99 pages
Book Rating : 4.2/5 (582 download)
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.
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
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:
Author : Serkan Arslanalp
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (13 download)
Download or read book Outlook for Interest Rates and Japanese Banks' Risk Exposures Under Abenomics written by Serkan Arslanalp and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how Japan's long-term interest rates and Japanese banks' interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.
Author : Jamil Baz
Publisher : Cambridge University Press
ISBN 13 : 9780521815109
Total Pages : 358 pages
Book Rating : 4.8/5 (151 download)
Download or read book Financial Derivatives written by Jamil Baz and published by Cambridge University Press. This book was released on 2004-01-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
