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Author : Burton Gordon Malkiel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (882 download)
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:
Author : Burton Gordon Malkiel
Publisher : Princeton University Press
ISBN 13 : 1400879787
Total Pages : 294 pages
Book Rating : 4.4/5 (8 download)
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.
Author : Isabel B. Burger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book The Term Structure of Interest Rates written by Isabel B. Burger and published by . This book was released on 1966 with total page 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 : 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 : N. Gregory Mankiw
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 (9 download)
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.
Author : N. Gregory Mankiw
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
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 2010 with total page 38 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.
Author : Reuben A. Kessel
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.3/5 (97 download)
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:
Author : J. C. Dodds
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.3/5 (512 download)
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:
Author : Joseph W. Conard
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.3/5 (91 download)
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:
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 : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.0/5 ( download)
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.
Author :
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (937 download)
Download or read book New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Colin Dodds
Publisher :
ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (124 download)
Download or read book Expectations, Uncertainty, and the Term Structure of Interest Rates written by J. Colin Dodds and published by . This book was released on 1992 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Bonello
Publisher :
ISBN 13 :
Total Pages : 300 pages
Book Rating : 4.3/5 (129 download)
Download or read book The Term Structure of Interest Rates written by Frank J. Bonello and published by . This book was released on 1968 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Diana Ruthenberg
Publisher : GRIN Verlag
ISBN 13 : 3638491285
Total Pages : 13 pages
Book Rating : 4.6/5 (384 download)
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 13 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), 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.
Author : J. C. Dodds
Publisher : Ashgate Publishing
ISBN 13 : 9780751200973
Total Pages : 314 pages
Book Rating : 4.2/5 (9 download)
Download or read book Expectations, Uncertainty and the Term Structure of Interest Rates written by J. C. Dodds and published by Ashgate Publishing. This book was released on 1992 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a critical, analytical base for the major theories on the term structure of interest rates. The authors establish guidelines with which to subject individual theories to empirical evaluation, and provide a survey of the evidence to accompany the procedural aspects of the evaluation.
