Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Long Term Interest Rates PDF full book. Access full book title Long Term Interest Rates by Daryl Watkins. Download full books in PDF and EPUB format.
Author: Daryl Watkins Publisher: ISBN: 9781634837484 Category : Interest rates Languages : en Pages : 93
Book Description
The long-term interest rate is a central variable in the macroeconomy. It matters to borrowers looking to start a business or purchase a home; to lenders weighing the risks and rewards of extending credit; to savers preparing for college or retirement; and to policymakers gauging the state of the economy and financing government expenditure. The global financial crisis and the aggressive policy response pushed long-term interest rates in the United States and in many advanced economies to historically low levels. But today's low-rate environment is not just a cyclical story. Interest rates had been falling worldwide for nearly twenty years before the crisis. Despite the magnitude and persistence of the secular downtrend, the explanation for the decline is one of the most vexing questions faced by macroeconomists today. The future path of interest rates is even less clear. This book surveys the recent thinking on the many drivers of long-term interest rates in recent decades and going forward. In addition, this book provides a speech by Federal Reserve Board Governor Bernanke at the Sandridge Lecture which discusses the global saving glut and the U.S. current deficit.
Author: Daryl Watkins Publisher: ISBN: 9781634837484 Category : Interest rates Languages : en Pages : 93
Book Description
The long-term interest rate is a central variable in the macroeconomy. It matters to borrowers looking to start a business or purchase a home; to lenders weighing the risks and rewards of extending credit; to savers preparing for college or retirement; and to policymakers gauging the state of the economy and financing government expenditure. The global financial crisis and the aggressive policy response pushed long-term interest rates in the United States and in many advanced economies to historically low levels. But today's low-rate environment is not just a cyclical story. Interest rates had been falling worldwide for nearly twenty years before the crisis. Despite the magnitude and persistence of the secular downtrend, the explanation for the decline is one of the most vexing questions faced by macroeconomists today. The future path of interest rates is even less clear. This book surveys the recent thinking on the many drivers of long-term interest rates in recent decades and going forward. In addition, this book provides a speech by Federal Reserve Board Governor Bernanke at the Sandridge Lecture which discusses the global saving glut and the U.S. current deficit.
Author: John Y. Campbell Publisher: ISBN: Category : Interest rates Languages : en Pages : 58
Book Description
Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory.
Author: Mr.Tao Wu Publisher: International Monetary Fund ISBN: 1498317243 Category : Business & Economics Languages : en Pages : 49
Book Description
This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus.
Author: Christian Grisse Publisher: International Monetary Fund ISBN: 1475588240 Category : Business & Economics Languages : en Pages : 40
Book Description
We study the transmission of changes in the believed location of the lower bound to longterm interest rates since the introduction of negative interest rate policies. The expectations hypothesis of the term structure combined with a lower bound on policy rates suggests that normal policy transmission is reduced when policy rates approach this lower bound. We show that if market participants revise downward the believed location of the lower bound, this may in itself reduce long-term yields. Moreover, normal policy transmission to long-term rates increases. A cross-country event study suggests that such effects have been empirically relevant during the recent negative interest rate episode.
Author: Carlos Caceres Publisher: International Monetary Fund ISBN: 1475543050 Category : Business & Economics Languages : en Pages : 46
Book Description
As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this comovement reflects synchronized business cycles. However, there is important heterogeneity across countries, and we find evidence of limited monetary autonomy in some cases. The co-movement of longer term interest rates is larger and more pervasive. We distinguish between U.S. interest rate movements that surprise markets versus those that are anticipated, and find that most countries receive greater spillovers from the former. We also distinguish between movements in the U.S. term premium and the expected path of risk-free rates, concluding that countries respond differently to these shocks. Finally, we explore the determinants of monetary autonomy and find strong evidence for the role of exchange rate flexibility, capital account openness, but also for other factors, such as dollarization of financial system liabilities, and the credibility of fiscal and monetary policy.
Author: Mr.William Lee Publisher: International Monetary Fund ISBN: 145185465X Category : Business & Economics Languages : en Pages : 30
Book Description
This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
Author: N. Gregory Mankiw Publisher: ISBN: Category : Languages : en Pages : 36
Book Description
The relationship between long-term and short-term interest rates is crucial for macroeconomic policy evaluation. Since the short-term interest rate is the opportunity cost of holding money, it is widely believed that the Federal Reserve has more direct control over short-term than over long-term interest rates in the United States. Yet if capital is costly to adjust or takes time to place into use, investment decisions may depend on long-term interest rates. The term structure of interest rates thus appears central to the monetary transmission mechanism. Unfortunately, the determinants of the term structure remain poorly understood.This paper uses data from the United States, Canada, and the United Kingdom, and Germany to examine various hypotheses regarding the term structure. My goal is to see whether the experiences of these four countries since 1960 can help provide a general explanation of the term structure. In the United States many observers believe the large variations in the long-term interest rate since 1979 are not adequately explained by movements in short-term interest rates. Of particular interest is whether the experience of the United States in these and earlier years merely reflects an unusual historical episode. If it does, it would be inappropriate to draw any general conclusions from this experience or to extrapolate this experience into the future.This study is in part motivated by apparent differences between recent experience in the United States and experience elsewhere. In 1985, the rate on long-term government bonds in the United States exceeded the rate on three-month Treasury bills by more than 300 basis points. By contrast, the long-term interest rate in the United Kingdom was more than 100 basis points below the short-term interest rate. Interpreting such divergent national experiences is the primary purpose of studying the term structure more generally.
Author: David Kern Publisher: ISBN: Category : Bonds Languages : en Pages : 152
Book Description
The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.
Author: Daryl Watkins
Author: Daryl Watkins
Author: John Y. Campbell
Author: Frank Walter Paish
Author: Mr.Tao Wu
Author: Christian Grisse
Author: Carlos Caceres
Author: Mr.William Lee
Author: James J. O'Leary
Author: N. Gregory Mankiw
Author: David Kern