Author: Burton Gordon Malkiel
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Burton Gordon Malkiel
Publisher: Princeton University Press
ISBN: 1400879787
Category : Business & Economics
Languages : en
Pages : 294

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Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Author: Isabel B. Burger
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171

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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: R. S. Masera
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232

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Author: N. Gregory Mankiw
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 48

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We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.

Author: N. Gregory Mankiw
Publisher:
ISBN:
Category :
Languages : en
Pages : 38

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We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.

Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 134

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Author: J. C. Dodds
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 336

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Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96

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