Author: Frank BrownePublisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
Book Description
The Information Content of the Term Structure of Interest Rates
Author: Frank BrownePublisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
Book Description
The Information Content of the Short End of the Term Structure of Interest Rates
Author: Marco RossiPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 64
Book Description
The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium
Author: Christian Mose NielsenPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Information Content of the Term Structure of Interest Rates
Author: The Predictive Power of the Term Structure of Interest Rates
Author: Sahar Sameeh QaqeeshPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This thesis investigates whether the short end of the term structure has the ability to predict the future movements in short term rates and the inflation rate using data from a developing country: the case of Jordan. A number of econometric techniques are employed to examine the predictability of the term structure and to deal with the low quality data. In order to examine the ability of the term structure to predict the future movements in short term rates, the validity of the Expectations Hypothesis (EH) is tested. The EH implies that the term spread is an optimal predictor of the future changes in short term rates. For the empirical testing, two sets of data are used; the term structure in the Jordanian interbank market and the term structure in the primary market. The information content of the term structure about inflation rate is examined by investigating whether there is a long run equilibrium relationship between the short term rates and the inflation rate; that is, testing the Fisher Hypothesis, and between the domestic term spread and the inflation rate. Moreover, given that the exchange regime in Jordan is pegged to the US Dollar, the information content of the US term spread is also examined. The cointegration analysis is the only technique that provides evidence that the EH holds. In addition, it provides evidence that the domestic and the US term spreads contain some information about the inflation rate. As a result of dealing with low quality data, the Monte Carlo simulation provides evidence that the size distortion of the Dickey Fuller (DF) test becomes larger as the noise increases in the data and faster as the sample size becomes bigger. This evidence supports the literature that discusses the size distortion of the DF test.
The Term Structure of Interest Rates
Author: David MeiselmanPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
Book Description
The Information Content of the Short End of the Term Structure of Interst Rates
Author: Marco RossiPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Book Description
The Information Content of the Term Structure of Interest Rates
Author: B. BallisPublisher:
ISBN:
Category : Commercial statistics
Languages : en
Pages : 32
Book Description
Essays on the Information Content of the Term Structure of Interest Rates
Author: Erika Iulia GulyásPublisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 206
Book Description
Author: Jin Yoo