Author: Michelle L. BarnesPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The sensitivity of long-term interest rates to economic news
Author: Michelle L. BarnesThe Excess Sensitivity of Long-run Term Interest Rates
Author: Refet S. GurkaynakPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 62
Book Description
The Excess Sensitivity of Long-term Interest Rates
Author: Refet S. GürkaynakInflation Expectations
Author: Peter J. N. SinclairPublisher: 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.
A Closer Look at the Sensitivity Puzzle
Author: Meredith BeecheyPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Book Description
Long Term Interest Rates
Author: Daryl WatkinsPublisher:
ISBN: 9781634837484
Category : Interest rates
Languages : en
Pages : 93
Book Description
The long-term interest rate is a central variable in the macroeconomy. It matters to borrowers looking to start a business or purchase a home; to lenders weighing the risks and rewards of extending credit; to savers preparing for college or retirement; and to policymakers gauging the state of the economy and financing government expenditure. The global financial crisis and the aggressive policy response pushed long-term interest rates in the United States and in many advanced economies to historically low levels. But today's low-rate environment is not just a cyclical story. Interest rates had been falling worldwide for nearly twenty years before the crisis. Despite the magnitude and persistence of the secular downtrend, the explanation for the decline is one of the most vexing questions faced by macroeconomists today. The future path of interest rates is even less clear. This book surveys the recent thinking on the many drivers of long-term interest rates in recent decades and going forward. In addition, this book provides a speech by Federal Reserve Board Governor Bernanke at the Sandridge Lecture which discusses the global saving glut and the U.S. current deficit.
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
Author: Eric T. SwansonPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 38
Book Description
The federal funds rate has been at the zero lower bound for over four years, since December 2008. According to standard macroeconomic models, this should have greatly reduced the effectiveness of monetary policy and increased the efficacy of fiscal policy. However, these models also imply that asset prices and private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more to maturity are arguably more relevant for asset prices and the economy, and it is unclear to what extent those yields have been affected by the zero lower bound. In this paper, we measure the effects of the zero lower bound on interest rates of any maturity by comparing the sensitivity of those interest rates to macroeconomic news when short-term interest rates were very low to that during normal times. We find that yields on Treasury securities with a year or more to maturity were surprisingly responsive to news throughout 2008-10, suggesting that monetary and fiscal policy were likely to have been about as effective as usual during this period. Only beginning in late 2011 does the sensitivity of these yields to news fall closer to zero. We offer two explanations for our findings: First, until late 2011, market participants expected the funds rate to lift off from zero within about four quarters, minimizing the effects of the zero bound on medium- and longer-term yields. Second, the Fed's unconventional policy actions seem to have helped offset the effects of the zero bound on medium- and longer-term rates.
Changes in the Relationship Between the Long-Term Interest Rate and its Determinants
Author: Mr.William LeePublisher: International Monetary Fund
ISBN: 145185465X
Category : Business & Economics
Languages : en
Pages : 30
Book Description
This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
A Simple Account of the Behavior of Long-term Interest Rates
Author: John Y. CampbellPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 58
Book Description
Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory.
An Inquiry Concerning Long-term US Interest Rates Using Monthly Data
Author: Tanweer AkramPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 57
Book Description