Macroeconomic Models and the Term Structure of Interest Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Macroeconomic Models and the Term Structure of Interest Rates PDF full book. Access full book title Macroeconomic Models and the Term Structure of Interest Rates by Steven Strongin. Download full books in PDF and EPUB format.
Author: Steven Strongin
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Get Book Here
Book Description
Author: Steven Strongin
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Get Book Here
Book Description
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
Get Book Here
Book Description
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: Peter D. Spencer
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Martin D. D. Evans
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 25
Get Book Here
Book Description
Author: Jagjit S. Chadha
Publisher: Cambridge University Press
ISBN: 1107662559
Category : Business & Economics
Languages : en
Pages : 571
Get Book Here
Book Description
Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
Author: Nisha Aroskar
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Get Book Here
Book Description
Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1455209589
Category : Business & Economics
Languages : en
Pages : 64
Get Book Here
Book Description
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author: Emanuel Kopp
Publisher: International Monetary Fund
ISBN: 1484363671
Category : Business & Economics
Languages : en
Pages : 22
Get Book Here
Book Description
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: Mirko Abbritti
Publisher: International Monetary Fund
ISBN: 1475513313
Category : Business & Economics
Languages : en
Pages : 41
Get Book Here
Book Description
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Author: Yasuo Nishiyama
Publisher:
ISBN: 9781613247204
Category : Interest rates
Languages : en
Pages : 0
Get Book Here
Book Description
Interest rates are directly related to our lives. When interest rates are high, we hold less cash and more interest-bearing assets because we face a high opportunity cost of holding cash. Interest rates are directly related to the economy. When interest rates are high, there are not as many viable opportunities for firms to invest as when they are low, leading to a lower level of investment and a lower level of economic activities. Interest rates are directly related to the objectives of countries' monetary policy. This book, entitled "Interest Rates: Term Structure Models, Monetary Policy and Prediction" sheds light on selected aspects of this multifaceted role of interest rates. Topics discussed include term structure models; policy interest rates and the usefulness of interest rates as a predictor.
