The Expectations Theory in the Money Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Expectations Theory in the Money Market PDF full book. Access full book title The Expectations Theory in the Money Market by Ludwig B. Chincarini. Download full books in PDF and EPUB format.
Author: Ludwig B. Chincarini Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
One of the most popular theories of the term structure of interest rates is the pure expectations theory. In its purest form it postulates that long term interest rates are a reflection of the market's perception of future short term rates. Almost all of the tests of the pure form of this theory with financial markets of various countries have resulted in a rejection of the theory. A standard approach of most of the literature is to linearize the equations associated with the theory and then estimate a linear regression to determine if the spread is indeed a predictor of future short rates. While this approximation is valid for testing the expectations hypothesis when the spread is between long and short duration instruments, researchers should be careful applying this technique to money market spreads. In particular, this approximation will not be valid for very flat term structures, which is usually the case for bills with less than twelve months to maturity. This paper uses simulations to show how erroneous conclusions can be drawn by using this approximation in the money market and re-examines the pure expectations theory for the money markets of various countries using the DOLS approach to estimating series that are cointegrated. The conclusions are different from other studies on this subject and are particularily supportive of the expectation's hypothesis. In fact, while the theory is sometimes rejected (accepted) when using approximations, it is accepted (rejected) using the exact formulas.
Author: Ludwig B. Chincarini Publisher: ISBN: Category : Languages : en Pages : 19
Book Description
One of the most popular theories of the term structure of interest rates is the pure expectations theory. In its purest form it postulates that long term interest rates are a reflection of the market's perception of future short term rates. Almost all of the tests of the pure form of this theory with financial markets of various countries have resulted in a rejection of the theory. A standard approach of most of the literature is to linearize the equations associated with the theory and then estimate a linear regression to determine if the spread is indeed a predictor of future short rates. While this approximation is valid for testing the expectations hypothesis when the spread is between long and short duration instruments, researchers should be careful applying this technique to money market spreads. In particular, this approximation will not be valid for very flat term structures, which is usually the case for bills with less than twelve months to maturity. This paper uses simulations to show how erroneous conclusions can be drawn by using this approximation in the money market and re-examines the pure expectations theory for the money markets of various countries using the DOLS approach to estimating series that are cointegrated. The conclusions are different from other studies on this subject and are particularily supportive of the expectation's hypothesis. In fact, while the theory is sometimes rejected (accepted) when using approximations, it is accepted (rejected) using the exact formulas.
Author: Frederic S. Mishkin Publisher: University of Chicago Press ISBN: 0226531929 Category : Business & Economics Languages : en Pages : 184
Book Description
A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Author: John Maynard Keynes Publisher: Springer ISBN: 3319703447 Category : Business & Economics Languages : en Pages : 430
Book Description
This book was originally published by Macmillan in 1936. It was voted the top Academic Book that Shaped Modern Britain by Academic Book Week (UK) in 2017, and in 2011 was placed on Time Magazine's top 100 non-fiction books written in English since 1923. Reissued with a fresh Introduction by the Nobel-prize winner Paul Krugman and a new Afterword by Keynes’ biographer Robert Skidelsky, this important work is made available to a new generation. The General Theory of Employment, Interest and Money transformed economics and changed the face of modern macroeconomics. Keynes’ argument is based on the idea that the level of employment is not determined by the price of labour, but by the spending of money. It gave way to an entirely new approach where employment, inflation and the market economy are concerned. Highly provocative at its time of publication, this book and Keynes’ theories continue to remain the subject of much support and praise, criticism and debate. Economists at any stage in their career will enjoy revisiting this treatise and observing the relevance of Keynes’ work in today’s contemporary climate.
Author: Peter J. N. Sinclair Publisher: Routledge ISBN: 1135179778 Category : Business & Economics Languages : en Pages : 402
Book Description
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author: Arie Arnon Publisher: Springer Nature ISBN: 3030413578 Category : Business & Economics Languages : en Pages : 244
Book Description
This book provides a unique historical perspective on expectations in economic theory, and applications of expectations models in economic history. Based on papers presented at the 2017 Thomas Guggenheim Conference, it brings together the work of economists, historians of economics, and economic historians on issues and events concerning expectations in economics and economic history. The contributions address: (i) the history of expectations models; (ii) growth, expectations and political economy; (iii) controversies regarding expectations methods and models; (iv) expectations in theory and reality; and (v) expectations in economic history. The book opens with a lecture by Thomas Guggenheim Prize winner Duncan Foley on the evolution of expectations in modern economic thought. The remaining content is divided into two parts, the first of which focuses on the utilization of expectations in the “ancient” and “meso” periods of high theory, i.e., from Smithian to Keynesian approaches. The papers cover topics such as “modern” applications of expectations in both “Tobinesque-Phillips” and “Harrodian-Solowian” contexts, and the debate between Friedmanite and Keynesian approaches to expectation formation. In turn, the last part presents essays on the role of economic expectations in connection with historical events and contexts, ranging from the early 20th century to World War II, and on the application of expectations theory to hyperinflation and stabilization, taking Israel as a case study.
Author: Michael Woodford Publisher: Princeton University Press ISBN: 1400830168 Category : Business & Economics Languages : en Pages : 805
Book Description
With the collapse of the Bretton Woods system, any pretense of a connection of the world's currencies to any real commodity has been abandoned. Yet since the 1980s, most central banks have abandoned money-growth targets as practical guidelines for monetary policy as well. How then can pure "fiat" currencies be managed so as to create confidence in the stability of national units of account? Interest and Prices seeks to provide theoretical foundations for a rule-based approach to monetary policy suitable for a world of instant communications and ever more efficient financial markets. In such a world, effective monetary policy requires that central banks construct a conscious and articulate account of what they are doing. Michael Woodford reexamines the foundations of monetary economics, and shows how interest-rate policy can be used to achieve an inflation target in the absence of either commodity backing or control of a monetary aggregate. The book further shows how the tools of modern macroeconomic theory can be used to design an optimal inflation-targeting regime--one that balances stabilization goals with the pursuit of price stability in a way that is grounded in an explicit welfare analysis, and that takes account of the "New Classical" critique of traditional policy evaluation exercises. It thus argues that rule-based policymaking need not mean adherence to a rigid framework unrelated to stabilization objectives for the sake of credibility, while at the same time showing the advantages of rule-based over purely discretionary policymaking.
Author: Thomas J. Sargent Publisher: Princeton University Press ISBN: 1400847648 Category : Business & Economics Languages : en Pages : 390
Book Description
A fully expanded edition of the Nobel Prize–winning economist's classic book This collection of essays uses the lens of rational expectations theory to examine how governments anticipate and plan for inflation, and provides insight into the pioneering research for which Thomas Sargent was awarded the 2011 Nobel Prize in economics. Rational expectations theory is based on the simple premise that people will use all the information available to them in making economic decisions, yet applying the theory to macroeconomics and econometrics is technically demanding. Here, Sargent engages with practical problems in economics in a less formal, noneconometric way, demonstrating how rational expectations can satisfactorily interpret a range of historical and contemporary events. He focuses on periods of actual or threatened depreciation in the value of a nation's currency. Drawing on historical attempts to counter inflation, from the French Revolution and the aftermath of World War I to the economic policies of Margaret Thatcher and Ronald Reagan, Sargent finds that there is no purely monetary cure for inflation; rather, monetary and fiscal policies must be coordinated. This fully expanded edition of Rational Expectations and Inflation includes Sargent's 2011 Nobel lecture, "United States Then, Europe Now." It also features new articles on the macroeconomics of the French Revolution and government budget deficits.
Author: Ludwig B. Chincarini
Author: Ludwig B. Chincarini
Author: K. Holden
Author: Frederic S. Mishkin
Author: David Meiselman
Author: John Maynard Keynes
Author: Peter J. N. Sinclair
Author: Arie Arnon
Author: Jennifer E. Roush
Author: Michael Woodford
Author: Thomas J. Sargent