The Term Structure and Real Activity in Canada PDF Download
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Author: Barry Vincent Cozier
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 64
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Book Description
Author: Barry Vincent Cozier
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Barry Cozier
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the predictive content of the term structure of interest rates for economic activity in Canada. Recent papers for the United States and other countries find that the slope of the term structure is a very good predictor of output growth. We find a strong, positive relationship between the spread across long and short rates and future changes in real GDP in Canada. This relationship is strongest at the 1-year horizon or just beyond. The term structure also helps predict inflation at horizons beyond two years in equations including the output gap and lagged inflation. Using the theoretical framework provided in the paper, we examine the conditions under which the term spread would better reflect the stance of monetary policy than a short-term interest rate and argue that these conditions are likely to be satisfied in the data.
Author: Assist. Prof. Dr. Erkan KARA
Publisher: EĞİTİM YAYINEVİ
ISBN: 6258223419
Category : Business & Economics
Languages : en
Pages : 99
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Book Description
This study is dedicated to investigating the long-run relation between interest rate spreads and economic activities which include industrial production, inflation, and unemployment rate- in OECD countries over the period between2005 and 2015 by using panel data analysis. This study will use the latest panel data models that take structural breaks and cross-sectional dependency into account. Besides using panel data analysis on this issue, this paper will also try to see the effect of new monetary policies that are taking place by major central banks on yield spread and economic activities, especially industrial production. As it is known that, in the post-financial crisis of 2008 period, major central banks such as the Federal Reserve1 (The FED was the first central bank that started to implement new monetary policies just after the collapse of several large-scale investment banks in the U.S), European Central Bank, Bank of Japan and Bank of England, have taken action to stimulate the world economy. Henceforth, not only these major central banks, but also other economies started to lower their policy interest rates soon in conventional way. These policies pushed interest rates almost to zero and since then the rates have remained very low due to lower output level and disinflationary fears.
Author: David Bolder
Publisher:
ISBN: 9780662276029
Category : Government securities
Languages : en
Pages : 56
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Book Description
Author: Zuliu Hu
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market’s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of
Author: Mr.Jaromir Benes
Publisher: International Monetary Fund
ISBN: 1475578709
Category : Business & Economics
Languages : en
Pages : 41
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Book Description
This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward-looking open-economy gap model, calibrated to represent the Indian case, for generating forecasts and risk assessment as well as conducting policy analysis. QPM incorporates several India-specific features like the importance of the agricultural sector and food prices in the inflation process; features of monetary policy transmission and implications of an endogenous credibility process for monetary policy formulation. The paper also describes key properties and historical decompositions of some important macroeconomic variables.
Author: Burton Gordon Malkiel
Publisher: Princeton University Press
ISBN: 1400879787
Category : Business & Economics
Languages : en
Pages : 294
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Book Description
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:
Publisher:
ISBN:
Category : Canada
Languages : en
Pages : 154
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Book Description
Author: Emanuel Kopp
Publisher: International Monetary Fund
ISBN: 1484363671
Category : Business & Economics
Languages : en
Pages : 22
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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: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
ISBN: 1498321119
Category : Business & Economics
Languages : en
Pages : 85
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Book Description
This Financial System Stability Assessment paper discusses that Canada has enjoyed favorable macroeconomic outcomes over the past decades, and its vibrant financial system continues to grow robustly. However, macrofinancial vulnerabilities—notably, elevated household debt and housing market imbalances—remain substantial, posing financial stability concerns. Various parts of the financial system are directly exposed to the housing market and/or linked through housing finance. The financial system would be able to manage severe macrofinancial shocks. Major deposit-taking institutions would remain resilient, but mortgage insurers would need additional capital in a severe adverse scenario. Housing finance is broadly resilient, notwithstanding some weaknesses in the small non-prime mortgage lending segment. Although banks’ overall capital buffers are adequate, additional required capital for mortgage exposures, along with measures to increase risk-based differentiation in mortgage pricing, would be desirable. This would help ensure adequate through-the cycle buffers, improve mortgage risk-pricing, and limit procyclical effects induced by housing market corrections.
