Author: Kristoffer NimarkPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Speculative Dynamics in the Term Structure of Interest Rates
Author: Kristoffer NimarkSpeculation and the Term Structure of Interest Rates
Author: Francisco BarillasPublisher:
ISBN:
Category :
Languages : en
Pages : 33
Book Description
We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (i) statistically distinct from classical term structure components due to risk premia and expectations about future short rates and are orthogonal to public information available to traders in real time and (ii) quantitatively important, accounting for a substantial fraction of the variation of long maturity US bond yields.
Interest Rates and Stock Speculation
Author: Richard Norman OwensPublisher:
ISBN:
Category : Interest
Languages : en
Pages : 228
Book Description
Modelling the dynamics of the term structure of interest rates
Author: James M. SteeleyPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 76
Book Description
A THEORY OF THE TERM STRUCTURE OF INTEREST RATES.
Author: JOHN MATHEW CULBERTSONPublisher:
ISBN:
Category :
Languages : en
Pages : 530
Book Description
The 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 Cyclical Behavior of the Term Structure of Interest Rates
Author: Reuben A. KesselPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
Book Description
Output and the Term Structure of Interest Rates
Author: Carl ChiarellaPublisher:
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.
The Term Structure of Interest Rates and Macroeconomic Dynamics
Author: Iryna KaminskaThe 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.