Author: Canlin Li
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Canlin Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Stefania D'Amico
Publisher:
ISBN:
Category : Bank assets
Languages : en
Pages : 58

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Author: Chamadanai Marknual
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 260

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Book Description
This thesis examines the macro-finance-fiscal term structure model to incorporate fiscal instability variables and the term spread to understand the impact of the sovereign debt crisis on the evolution of the yield curve. My findings reveal financial instability increases the term spread associated with the expectation of higher sovereign default risk and consequently signals economic agents to reduce their spending, and thus worsens economic activity. Secondly, I also investigate whether the dynamic factor model with nonparametric factor loadings is more accurate relative to other term structure models by employing the dynamic semi-parametric factor model (DSFM). The empirical results indicate that a better in-sample fit is provided by the dynamic semiparametric factor model. However, the overall forecasting results are not encouraging. The dynamic semiparametric factor model provides accurate results in forecasting a persistent trend while the dynamic Nelson-Siegel model is more suitable to fit more volatile series. Thirdly,I use a Sheen-Trueck-Wang business conditions index for term structure modeling and forecasting. I find the cross-sectional yield provides guidance to anchor the yield in the next period. The prediction performance of the model is enhancedby using the index since it includes information on frequently released or more recent available data. The index is significantly related to the slope factor, which suggests the forward-looking information from the index inuences the adjustmentthe in the yield slope. Lastly, I examine the effectiveness of the US quantitative easing (QE) policy with a Bayesian structural vector auto regressive (B-SVAR)model with sign restrictions. I find the transmission mechanism of the Federal Reserve asset purchase effectively expands output and avert deflation through a compression in the yield spread.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Board of Governors of the Federal Reserve System
Publisher:
ISBN: 9780894991967
Category : Banks and Banking
Languages : en
Pages : 0

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Book Description
Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.

Author: Stefania D'Amico
Publisher: DIANE Publishing
ISBN: 1437941648
Category : Business & Economics
Languages : en
Pages : 40

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Book Description
This is a print on demand edition of a hard to find publication. Using a panel of daily CUSIP-level data, the authors study the effects of the Federal Reserve¿s program to purchase $300 billion of U.S. Treasury coupon securities announced and implemented during 2009. The authors find that each purchase operation, on average, caused a decline in yields in the sector purchased of 3.5 basis points on the days when these purchases occurred (the ¿flow effect¿ of the program). In addition, the program as a whole resulted in a persistent downward shift in the yield curve of as much as 50 basis points (the ¿stock effect¿), with the largest impact in the 10- to 15-year sector. The coefficient patterns generally support a view of segmentation or imperfect substitution within the Treasury market. Charts and tables.

Author: Nikiforos T. Laopodis
Publisher: Taylor & Francis
ISBN: 1000506053
Category : Business & Economics
Languages : en
Pages : 767

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Book Description
Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Author: Ken Nyholm
Publisher: Cambridge University Press
ISBN: 1108982301
Category : Business & Economics
Languages : en
Pages : 152

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Book Description
This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.

Author: David Wessel
Publisher: Brookings Institution Press
ISBN: 0815727062
Category : Business & Economics
Languages : en
Pages : 178

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Book Description
The underexamined art and science of managing the federal government's huge debt. Everyone talks about the size of the U.S. national debt, now at $13 trillion and climbing, but few talk about how the U.S. Treasury does the borrowing—even though it is one of the world's largest borrowers. Everyone from bond traders to the home-buying public is affected by the Treasury's decisions about whether to borrow short or long term and what types of bonds to sell to investors. What is the best way for the Treasury to finance the government's huge debt? Harvard's Robin Greenwood, Sam Hanson, Joshua Rudolph, and Larry Summers argue that the Treasury could save taxpayers money and help the economy by borrowing more short term and less long term. They also argue that the Treasury and the Federal Reserve made a huge mistake in recent years by rowing in opposite directions: while the Fed was buying long-term bonds to push investors into other assets, the Treasury was doing the opposite—selling investors more long-term bonds. This book includes responses from a variety of public and private sector experts on how the Treasury does its borrowing, some of whom have criticized the way the Treasury has been managing its borrowing.