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Author: Mr.Jun Nagayasu Publisher: 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.
Author: Mr.Jun Nagayasu Publisher: 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.
Author: Ralf Fendel Publisher: Peter Lang Publishing ISBN: Category : Business & Economics Languages : en Pages : 216
Book Description
Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
Author: Publisher: ISBN: Category : Languages : en Pages :
Book Description
The Federal Reserve Bank of Richmond presents the full text of an article entitled "Using the Term Structure of Interest Rates for Monetary Policy," by Marvin Goodfriend. The article was published in the Summer 1998 issue of "Economic Quarterly." Goodfriend discusses how the term structure of interest rates serves as a link in the transmission of monetary policy and as an indicator of inflation expectations.
Author: Mirko Abbritti Publisher: 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.
Author: Yasuo Nishiyama Publisher: ISBN: 9781613247204 Category : Interest rates Languages : en Pages : 0
Book Description
Interest rates are directly related to our lives. When interest rates are high, we hold less cash and more interest-bearing assets because we face a high opportunity cost of holding cash. Interest rates are directly related to the economy. When interest rates are high, there are not as many viable opportunities for firms to invest as when they are low, leading to a lower level of investment and a lower level of economic activities. Interest rates are directly related to the objectives of countries' monetary policy. This book, entitled "Interest Rates: Term Structure Models, Monetary Policy and Prediction" sheds light on selected aspects of this multifaceted role of interest rates. Topics discussed include term structure models; policy interest rates and the usefulness of interest rates as a predictor.
Author: Mr.Jun Nagayasu
Author: Mr.Jun Nagayasu
Author: Ralph Süppel
Author: Ralf Fendel
Author: Shu Wu
Author: Shuo Cao
Author: Charles Evans
Author: 
Author: Mirko Abbritti
Author: David Meiselman
Author: Yasuo Nishiyama