Author: Se-jin Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
Book Description
The Term Structure of Interest Rates and Time-varying Risk Premium
Author: Se-jin Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
Book Description
Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates
Author: Jae Won Park
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
Book Description
Risk Premia in the Term Structure of Interest Rates
Author: Dennis Bams
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 44
Book Description
Changing Uncertainty and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates
Author: Jae Won Park
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
Book Description
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 33
Book Description
Time Varying Risk Premia and the Predictive Power of the Australian Term Structure of Interest Rates
Author: Lakshman Alles
Publisher:
ISBN: 9781863422260
Category : Acceptances
Languages : en
Pages : 11
Book Description
Publisher:
ISBN: 9781863422260
Category : Acceptances
Languages : en
Pages : 11
Book Description
Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand
Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32
Book Description
Inflation, Consumption and Time-varying Risk Premiums in the Term Structure of Nominal Interest Rates
Author: Chung-Hun Hong
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Modeling Time Variation of Risk Premia in the Term Structure of Interest Rates
Author: Jill M. Jacobs
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 248
Book Description
The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium
Author: Christian Mose Nielsen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
The Information Content of the Term Structure of Interest Rates
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
Book Description
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
Book Description