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Author: Rajna Gibson Publisher: Now Publishers Inc ISBN: 1601983727 Category : Business & Economics Languages : en Pages : 171
Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Rajna Gibson Publisher: Now Publishers Inc ISBN: 1601983727 Category : Business & Economics Languages : en Pages : 171
Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Carl Chiarella Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
In this paper we reconsider a model of Blanchard and Fisher which reformulated Keynesian IS-LM analysis from the perspective of a richer array of financial assets, namely short-term and long-term bonds, and thus from the perspective of the term structure of interest rates. The basic change in this extension of the IS-LM approach is that investment demand (and also consumption demand) now depend on the long-term rate of interest in the palce of the short-term rate. This implies that the IS-curve and the LM-curve are no longer situated in the same diagram, but have to be linked via the dynamics of long-term bond prices (in the approach of Blanchard and Fischer based on perfect substitutes, perfect foresight and the jump variable technique), thereby creating one of the links for the real-financial interaction to be investigated, the dynamic multiplier process and thw conventional LM curve representing the other one. Based on this dynamic interaction of real and financial markets we will reflect the outcomes achieved by Blanchard and Fischer from the perspective of imperfect substitutes and mypoic perfect foresight. We derive on this basis alternatives to the conventional jump variable technique and its treatment of unanticipated and anticipated monetary and fiscal policy, which are global in nature and do not depend on well-behaved stable manifolds in an essentially local analysis of saddlepoint instability as in the case for the jump variable technique.
Author: Assist. Prof. Dr. Erkan KARA Publisher: EĞİTİM YAYINEVİ ISBN: 6258223419 Category : Business & Economics Languages : en Pages : 99
Book Description
This study is dedicated to investigating the long-run relation between interest rate spreads and economic activities which include industrial production, inflation, and unemployment rate- in OECD countries over the period between2005 and 2015 by using panel data analysis. This study will use the latest panel data models that take structural breaks and cross-sectional dependency into account. Besides using panel data analysis on this issue, this paper will also try to see the effect of new monetary policies that are taking place by major central banks on yield spread and economic activities, especially industrial production. As it is known that, in the post-financial crisis of 2008 period, major central banks such as the Federal Reserve1 (The FED was the first central bank that started to implement new monetary policies just after the collapse of several large-scale investment banks in the U.S), European Central Bank, Bank of Japan and Bank of England, have taken action to stimulate the world economy. Henceforth, not only these major central banks, but also other economies started to lower their policy interest rates soon in conventional way. These policies pushed interest rates almost to zero and since then the rates have remained very low due to lower output level and disinflationary fears.
Author: Sylvester C. W. Eijffinger Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
Author: Nisha Aroskar Publisher: 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.
Author: Frank Browne Publisher: [Paris, France] : OECD, Department of Economics and Statistics ISBN: Category : Inflation (Finance) Languages : en Pages : 40
Author: Rajna Gibson
Author: Peter Flaschel
Author: Rajna Gibson
Author: Carl Chiarella
Author: David Kim
Author: David Meiselman
Author: Assist. Prof. Dr. Erkan KARA
Author: Sylvester C. W. Eijffinger
Author: Sylvester C. W. Eijffinger
Author: Nisha Aroskar
Author: Frank Browne