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Author : Ramon Paul DeGennaro
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.3/5 ( download)
Download or read book Variability and Stationarity of Term Premia written by Ramon Paul DeGennaro and published by . This book was released on 1989 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emanuel Kopp
Publisher : International Monetary Fund
ISBN 13 : 1484362152
Total Pages : 22 pages
Book Rating : 4.4/5 (843 download)
Download or read book A Macroeconomic Approach to the Term Premium written by Emanuel Kopp and published by International Monetary Fund. This book was released on 2018-06-15 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Author : Kumiharu Shigehara
Publisher : Springer
ISBN 13 : 1349128937
Total Pages : 409 pages
Book Rating : 4.3/5 (491 download)
Download or read book Price Stabilization in the 1990s written by Kumiharu Shigehara and published by Springer. This book was released on 1993-06-18 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigates various aspects of inflation - the recent history of inflation as well as potential sources of changes, the technical issues regarding the measurement of inflation, the indicators for future inflation, and the policy implications to achieve and maintain price stability.
Author : Keith Cuthbertson
Publisher : John Wiley & Sons
ISBN 13 : 047009172X
Total Pages : 736 pages
Book Rating : 4.4/5 (7 download)
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Author : Steven Strongin
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Macroeconomic Models and the Term Structure of Interest Rates written by Steven Strongin and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.3/5 (243 download)
Download or read book Economic Review written by and published by . This book was released on 1990 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert D. Laurent
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Term-structure Spreads, the Money Supply Mechanism, and Indicators of Monetary Policy written by Robert D. Laurent and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ruediger Bachmann
Publisher : Elsevier
ISBN 13 : 0128234768
Total Pages : 876 pages
Book Rating : 4.1/5 (282 download)
Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. - Combines information about the creation of economic expectations and their theories, applications and likely futures - Provides a comprehensive summary of economics expectations literature - Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics
Author : Mark W. Watson
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book Measures of Fit for Calibrated Models written by Mark W. Watson and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip R. Israilevich
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book Construction of Input-output Coefficients with Flexible Functional Forms written by Philip R. Israilevich and published by . This book was released on 1990 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Kendix
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book Institutional Rigidities as Barriers to Growth written by Michael Kendix and published by . This book was released on 1990 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence J. Christiano
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.3/5 ( download)
Download or read book Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations written by Lawrence J. Christiano and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence J. Christiano
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (318 download)
Download or read book Unit Roots in Real GNP written by Lawrence J. Christiano and published by . This book was released on 1989 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: No, and maybe not. [additional text from author's introduction] To us, the possibility of providing a compelling case that real GMP is either trend or difference stationary seems extremely small, certainly on the basis of post-war data. This is because there is only one difference between these two types of processes and that difference is completely summarized by the answer to the question. How much should an innovation to real GMP affect the optimal forecast of real GMP into the infinite future? If the answer is zero, then real GMP is trend stationary. If the answer is not zero, then real GMP is difference stationary. The competing hypotheses have no other testable differences. Once we pose the question in this way, it seems clear that economists ought to be extremely skeptical of any argument that purports to support one view or the other. Simply put, it's hard to believe that a mere 40 years of data contain any evidence on the only experiment that is relevant.
Author : William A. Testa
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.E/5 ( download)
Download or read book Calibrating Manufacturing Decline in the Midwest written by William A. Testa and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James T. Moser
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Evidence on the Impact of Futures Margin Specifications on the Performances of Futures and Cash Markets written by James T. Moser and published by . This book was released on 1990 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George G. Kaufman
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.E/5 ( download)
Download or read book The Diminishing Role of Commercial Banking in the U.S. Economy written by George G. Kaufman and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonio Diez de los Rios
Publisher : International Monetary Fund
ISBN 13 : 1484320735
Total Pages : 46 pages
Book Rating : 4.4/5 (843 download)
Download or read book Quantitative Easing and Long-Term Yields in Small Open Economies written by Antonio Diez de los Rios and published by International Monetary Fund. This book was released on 2017-09-29 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the effectiveness of Federal Reserve's asset purchase programs in lowering longterm yields with that of similar programs implemented by the Bank of England, the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global, and (iii) a country specific term premium to analyze two-day changes in 10-year yields around announcement dates. We find that, in contrast to the Federal Reserve's asset purchases, the programs implemented in these smaller economies have not been able to affect the global term premium and, furthermore, they have had limited, but significant, effect in lowering long-term yields.
