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Author: Yukinobu Kitamura
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Author: Yukinobu Kitamura
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
Author: Yukinobu Kitamura
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 42
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Book Description
Author: Frederic S. Mishkin
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 360
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Book Description
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.
Author: James Allen Wilcox
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 40
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Book Description
The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected , real yields are associated with forecasts of higher income, with tigher monetary policy, and with positive aggregate supply shocks. Changes in the short-termgrowth rate of the monbetary base, which presumably capture the so-called liquidity effect on the short-terminterst rates, do not perceptibly alterlong-term real rates. Long-term real rates also appear to be unaffected by the rate of expected inflation. Comparison with nominal interest rate equiation estimates reveals that conclusions about the effect of all variables are extremely sensitive to the choice of a proxy for expected long-term inflation.
Author: John Huizinga
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 34
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Book Description
Several recent studies find that ex ante real returns for short-term U.S. Treasury securities are negatively correlated both with inflation and with nominal interest rates. This paper examines whether these findings extend to the short-term holding return on publicly and privately issued securities of longer maturity, are robust with respect to the choice of price index, and are stable over time. Our results show that before 1979 a negative relationship of ex ante real returns with inflation and nominal interest rates does appear for the longer maturity assets. In fact, the relationship grows stronger with increases in maturity length. This suggests that although short-term U.S. Treasury bills were, of all the assets we study, the best hedge against expected inflation, none of the assets were a perfect hedge. We find a statistically significant change in the stochastic process of bond returns in 1979, with nominal interest rates and ex ante real holding returns being positively correlated in this latter period. This is not true for stocks, however. While the above results are robust to the choice of price index, we show that estimating the level of ex ante real returns depends crucially on the price index chosen.
Author: Yukinobu Kitamura
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 50
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Book Description
In January 1997, the U.S. Treasury started issuing Treasury Inflation-Protection Securities (TIPS; hereafter TIPS and indexed bonds interchangeably) and, as of September 2002, a total of ten issues were being traded on the market, while one issue had already matured. The purpose of this paper is to attempt an evaluation of indexed bonds based on the record of five and a half years of market trading in TIPS, and to present the results as a reference for the issue of similar securities by the Japanese government in the future. The results of this paper are as follows: (1) Real interest rates are relatively stable and remain near the 4% mark. The 30 year bond is even more stable. (2) The expected inflation rate is more closely linked to realized CPI than to the real yield. However, the expected inflation rate is far more stable and its fluctuations smaller. In particular, the 30 year bond is steady, near the 2% mark. (3) While the economic information derived from the 10 year bond is strongly influenced by short-term economic fluctuations, the economic information derived from the 30 year bond is generally unresponsive to short-term economic fluctuations. (4) Examination of the derived information using econometric methods indicates that useful economic information was obtained from the following indexed bonds in the secondary markets: Series Three and Four 10 year bonds. Information included in the expected inflation rate was useful for the Series Three and Four 10 year bonds. Hence, while a total of eleven indexed bonds have been issued, very few of them have proven to be truly useful. These useful bonds turn out to have fair initial conditions, continuous arbitrages with the nominal bonds, and active trades in the secondary markets.
Author: Mr.Martin Cihak
Publisher: International Monetary Fund
ISBN: 1451871104
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
The paper presents a methodology for measuring the clarity of central bank communication, illustrating it with the case of the European Central Bank (ECB) in 1999-2007. The analysis identifies the ECB's written communication as clear about 95 percent of instances, which is comparable to, or even better than, other central banks for which a similar analysis is available. We also find that the additional information contained in the ECB's Monthly Bulletins helps to improve communication clarity compared to ECB's press releases. In particular, the Bulletins contain useful clarifying information on individual inflation factors and the overall forecast risk; in contrast, the bulletin's communication on monetary shocks has a negative, albeit small, impact on clarity.
Author: William Curt Hunter
Publisher: MIT Press
ISBN: 9780262582537
Category : Business & Economics
Languages : en
Pages : 650
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Book Description
A study of asset price bubbles and the implications for preventing financial instability.
Author: Brian O'Reilly
Publisher:
ISBN: 9780662268390
Category : Inflation (Finance)
Languages : en
Pages : 0
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Book Description
This paper surveys the empirical literature on the benefits of low inflation, emphasizing contributions since 1990. It follows a framework that examines the costs of inflation, or the benefits of price stability, in the context of four themes: inflation creates uncertainty about the future; there are costs of having to cope with inflation; inflation affects equity and fairness; and living with inflation is no answer. The section on each theme begins with a brief summary of points raised in the Bank of Canada's 1990 annual report, where that framework was presented. The empirical literature is reviewed extensively enough to establish a context. This is followed by discussion of those benefits of low inflation that have been quantified in the literature and those that have not; how the literature on the issue has advanced since 1990; and what areas might benefit from more research in the future.
Author: Mr.Marco Terrones
Publisher: International Monetary Fund
ISBN: 1451870841
Category : Business & Economics
Languages : en
Pages : 52
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Book Description
We study the characteristics of credit booms in emerging and industrial economies. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations and widening external deficits. Micro data show a strong association between credit booms and leverage ratios, firm values, and banking fragility. We also find that credit booms are larger in emerging economies, particularly in the nontradables sector; most emerging markets crises are associated with credit booms; and credit booms in emerging economies are often preceded by large capital inflows but not by financial reforms or productivity gains.
