Author: Tong-hŏn KimPublisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166
Book Description
Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle
Author: Tong-hŏn KimPublisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166
Book Description
Essays on the Term Structure of Interest Rates and Monetary Policy
Author: Magnus DahlquistPublisher:
ISBN: 9789171534095
Category : Interest rates
Languages : en
Pages : 158
Book Description
Essays on the Term Structure of Interest Rates
Author: Nisha AroskarPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
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.
Three Essays on the Term Structure of Interest Rates
Author: Hyoung-Seok LimPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Book Description
Abstract: Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates play an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates
Author: Albert Lee ChunEssays on Monetary Policy, Institutional Demand, and the Term Structure of Interest Rates and Credit
Author: Daniele Peter BieberModeling the Term Structure of Interest Rates Across Countries
Author: Stan MaesPublisher: LAP Lambert Academic Publishing
ISBN: 9783838301181
Category :
Languages : en
Pages : 264
Book Description
An understanding of the stochastic behaviour of yields is important for the conduct of monetary policy, the financing of public debt, the expectations of real economic activity and inflation, the risk management of a portfolio of securities, and the valuation of interest rate derivatives. It is, therefore, not surprising that the study of yield curve dynamics is occupying such a prominent and unique place in theoretical and empirical macroeconomics and finance.
The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Author: Mr.Jun NagayasuPublisher: International Monetary Fund
ISBN: 1451874723
Category : Business & Economics
Languages : en
Pages : 32
Book Description
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
Essays on the Term Structure of Interest Rates
Author: Wei ShiEssays on the Term Structure of Interest Rates and Federal Reserve Decision Making
Author: Todd Andrew VermilyeaPublisher:
ISBN:
Category :
Languages : en
Pages : 352
Book Description