Monetary Policy and the Term Structure of Nominal Interest Rates PDF Download
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Author: Charles Evans
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 80
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Author: Charles Evans
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 80
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Book Description
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 1451874723
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
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: Shu Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 208
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Author: Ralf Fendel
Publisher: Peter Lang Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
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Book Description
Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
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: Jarkko P. Jääskelä
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
This paper investigates the measurement of anticipated interest rate policy and the effects of these expectations on the term structure of nominal interest rates. It is shown that, under the expectations hypothesis, the level of long-term interest rates depends on three factors: the level of the monetary policy interest rate, ie the steering rate; the spread between the market interest rate and the steering rate; and market expectations of the next steering rate change. The theoretical model builds on the assumption that market participants have only imperfect knowledge of the mechanism whereby changes in the steering rate are determined. As a consequence, expectations formation, although realistic, need not be entirely rational. Steering rate changes take the form of discrete jumps and occur infrequently on a daily scale. Given these assumptions, discussion of the determination of the term structure is related to the literature on uncertainty about monetary policy regimes and small samples, ie peso problems. Empirical analysis based on Nelson-Siegel estimates of the daily yield curves in Finland in the period 1 January 1993 to 31 October 1997 complements the theoretical discussion. The observed differences between estimated market expectations and actual tender rate changes are quite large in the sample, particularly for the longer maturities. The approach applied in this study is promising, not only in the sense of potentially providing estimates of market expectations concerning future discrete changes in monetary policy interest rates but also in the sense of its apparent potential in accounting for the often reported poor empirical performance of the expectations hypothesis.
Author: Stephen J. Turnovsky
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 52
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Book Description
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
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Book Description
Author: Sylvester C. W. Eijffinger
Publisher:
ISBN:
Category : Anti-inflationary policies
Languages : en
Pages : 48
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Book Description
Author: Tao Wu
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 62
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