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The Term Structure Of Interest Rates And Inflation
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Book Synopsis The Term Structure of Interest Rates and Inflation by : Sylvester C. W. Eijffinger
Download or read book The Term Structure of Interest Rates and Inflation written by Sylvester C. W. Eijffinger and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
Book Synopsis The Term Structure of Interest Rates and Inflation Forecast Targeting by : Sylvester C. W. Eijffinger
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:
Book Synopsis Beliefs About Inflation and the Term Structure of Interest Rates by : Philipp K. Illeditsch
Download or read book Beliefs About Inflation and the Term Structure of Interest Rates written by Philipp K. Illeditsch and published by . This book was released on 2020 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how differences in beliefs about expected inflation affect the nominal term structure when investors have “catching up with the Joneses” preferences. In the model, “catching up with the Joneses” preferences help to match the level and slope of yields as well as the level of yield volatilities. Disagreement about expected inflation helps to match the dynamics of yields and yield volatilities. Expected inflation disagreement induces a spillover effect to the real side of the economy with a strong impact on the real yield curve. When investors share common preferences over consumption relative to the habit with a coefficient of relative risk aversion greater than one, real average yields across all maturities rise as disagreement increases. Real yield volatilities also rise with disagreement. To develop intuition concerning the role of different beliefs between investors, we consider a case where the real and nominal term structures can be computed as weighted-averages of quadratic Gaussian term structure models. We numerically find increased disagreement about expected inflation between the investors increases nominal yields and nominal yield volatilities at all maturities. We find empirical support for these predictions.
Book Synopsis Real Interest Rates, Inflation and the Term Structure of Interest Rates by : Li-Hsueh Chen
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:
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 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates and Investor Overreaction to Inflation by : Herbert J. Smoluk
Download or read book The Term Structure of Interest Rates and Investor Overreaction to Inflation written by Herbert J. Smoluk and published by . This book was released on 1998 with total page 82 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 The Information in the Longer Maturity Term Structure About Future Inflation by : Frederic S. Mishkin
Download or read book The Information in the Longer Maturity Term Structure About Future Inflation written by Frederic S. Mishkin and published by . This book was released on 2010 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical evidence on the information in the term structure for longer maturities about both future inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the longer maturity term structure about futureinflation: the slope of the term structure does have a great deal of predictive power for future changes in inflation. On the other hand, at the longer maturities, the term structure of nominal interest rates contains very little information about the term structure of real interest rates. These results are strikingly different from those found for very short-term maturities, six months or less, in previous work. For maturities of six months or less, the term structure contains no information about the future path of inflation, but it does contain a great deal of information about the term structure of real interest rates. The evidence in this paper does indicate that, at longer maturities, the term structure of interest rates can be used to help assess future inflationary pressures: when the slope of the term structure steepens, it is an indication that the inflation rate will rise in the future and when the slope falls, it is an indication that the inflation rate will fall. However, we must still remain cautious about using the evidence presented here to advocate that the Federal Reserve should target on the term structure in conducting monetary policy. A change in Federal Reserve operating procedures which focuses on the term structure may well cause the relationship between the term structure and future inflation to shift, with the result that the term structure no longer remains an accurate guide to the path of future inflation. If this were to occur, Federal Reserve monetary policy could go far astray by focusing on the term structure of interest rates.
Book Synopsis The Term Structure of Interest Rates, Real Activity and Inflation by : Philip W. Lowe
Download or read book The Term Structure of Interest Rates, Real Activity and Inflation written by Philip W. Lowe and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expectations, Inflation, and the Term Structure of Interest Rates by : Michael Dean Bergmann
Download or read book Expectations, Inflation, and the Term Structure of Interest Rates written by Michael Dean Bergmann and published by . This book was released on 1970 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Frank Browne Publisher :[Paris, France] : OECD, Department of Economics and Statistics ISBN 13 : Total Pages :40 pages Book Rating :4.F/5 ( download)
Book Synopsis The Information Content of the Term Structure of Interest Rates by : Frank Browne
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:
Book Synopsis Inflation Target Credibility and the Term Structure of Interest Rates by : James Michael Watson
Download or read book Inflation Target Credibility and the Term Structure of Interest Rates written by James Michael Watson and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium by : Christian Mose Nielsen
Download or read book The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium written by Christian Mose Nielsen and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Book Synopsis Money, Interest Rates, and Inflation by : Frederic S. Mishkin
Download or read book Money, Interest Rates, and Inflation written by Frederic S. Mishkin and published by Edward Elgar Publishing. This book was released on 1993 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frederick Mishkin's work has been dedicated to understanding the relationship between money, interest rates and inflation. The 15 essays in this collection - unabashedly empirical and rigorous - include much of Professor Mishkin's most highly regarded work. Money, Interst Rates and Inflation offers a coherent and informative assessment of how monetary policy affects the economy. In addition, the essays in this collection illustrate how rational expectations econometrics can be used to answer basic questions in the monetary-macroeconomics and finance areas.
Book Synopsis The Term Structure Od Interest Rates and Inflation Forecast Targeting by : S. Eijffinger
Download or read book The Term Structure Od Interest Rates and Inflation Forecast Targeting written by S. Eijffinger and published by . This book was released on 2000 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Kernels, Inflation, and the Term Structure of Interest Rates by : Ben R. Craig
Download or read book Pricing Kernels, Inflation, and the Term Structure of Interest Rates written by Ben R. Craig and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors estimate a discrete-time multivariate pricing kernel for the term structure of interest rates, using both yields and inflation rates. This gives a separate estimate of the real kernel and the nominal kernel, taking into account a relatively sophisticated dynamical structure and mutual interaction between the real and nominal side of the economy. Along with obtaining an estimate of the real term structure, the authors use the estimates to obtain a new perspective on how real and nominal influences interact to produce the observed term structure.
Book Synopsis Term Structure of Interest Rates, Non-neutral Inflation and Economic Growth by : Andrea Berardi
Download or read book Term Structure of Interest Rates, Non-neutral Inflation and Economic Growth written by Andrea Berardi and published by . This book was released on 1997 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
