Author: Francesco BianchiPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Dynamics of the Term Structure of UK Interest Rates
Author: Francesco BianchiGlobal Factors in the Term Structure of Interest Rates
Author: Mirko AbbrittiPublisher: International Monetary Fund
ISBN: 1475513518
Category : Business & Economics
Languages : en
Pages : 41
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.
Modelling the dynamics of the term structure of interest rates
Author: James M. SteeleyPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 76
Book Description
Speculative Dynamics in the Term Structure of Interest Rates
Author: Kristoffer NimarkThe Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10
Author: Carlos I. MedeirosPublisher: INTERNATIONAL MONETARY FUND
ISBN: 9781455226047
Category :
Languages : en
Pages : 24
Book Description
This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.
The Term Structure of Interest Rates and Macroeconomic Dynamics
Author: Iryna KaminskaPermanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates
Author: Christophe PérignonThe Term Structure of Interest Rates and the Macroeconomy
Author: Arne HalberstadtPublisher:
ISBN: 9783957291165
Category :
Languages : de
Pages : 29
Book Description
Empirical Analysis of the EU Term Structure of Interest Rates
Author: Zurab KotchlamazashviliPublisher: Logos Verlag Berlin GmbH
ISBN: 3832538739
Category : Business & Economics
Languages : en
Pages : 210
Book Description
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-2010
Author: Marco Rodriguez WaldoPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.