Author: Fabrizio Casalin
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Term Structure of Interest Rates, Monetary Regimes, and the Business Cycle
Monetary Policy Regimes and the Term Structure of Interest Rates with Recursive Utility
Author: Hiroatsu Tanaka
Publisher:
ISBN: 9781124718262
Category :
Languages : en
Pages : 84
Book Description
The estimation of the model suggests that the assumption of a discretion regime performs better than a commitment regime in terms of quantitatively fitting some salient features of the US data on the term structure and the business cycle during the Volcker-Greenspan-Bernanke era. The lack of policy credibility leads to volatile and persistent inflation, which generates volatile expected long-run inflation that is negatively correlated with future continuation values. This is perceived particularly risky by EZ nominal bond holders and results in upward sloping average nominal yields, long-term yield volatility and excess return predictability closer to the magnitude observed in the data while keeping the unconditional volatilities of consumption growth and inflation realistic.
Publisher:
ISBN: 9781124718262
Category :
Languages : en
Pages : 84
Book Description
The estimation of the model suggests that the assumption of a discretion regime performs better than a commitment regime in terms of quantitatively fitting some salient features of the US data on the term structure and the business cycle during the Volcker-Greenspan-Bernanke era. The lack of policy credibility leads to volatile and persistent inflation, which generates volatile expected long-run inflation that is negatively correlated with future continuation values. This is perceived particularly risky by EZ nominal bond holders and results in upward sloping average nominal yields, long-term yield volatility and excess return predictability closer to the magnitude observed in the data while keeping the unconditional volatilities of consumption growth and inflation realistic.
Monetary Policy Regimes and the Term Structure of Interest Rates
Author: Ruslan Bikbov
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50
Book Description
The Changing Behavior of the Term Structure of Interest Rates
Author: N. Gregory Mankiw
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 48
Book Description
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.
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 48
Book Description
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.
Monetary Regimes, the Term Structure and Business Cycles in Ireland, 1972-2018
Author: Rebecca Stuart
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The ability of the term structure (specifically the term spread, or the difference between the long and short ends of the yield curve) to predict economic activity is empirically well-established for the US, but less so for small open economies. The literature emphasizes the role of monetary policy for this predictive ability. Between 1972-2018, Ireland experienced three monetary regimes: first, the Irish Pound was fixed to Sterling (1972-1979); second the Pound floated in a band when Ireland was a member of the EMS (1979-1998); and third, as a member of the euro area (1999-2018). Using dynamic probit models and monthly data, I show that the term spread only had predictive power during the second regime, the only one in which the Central Bank of Ireland had any discretion to set interest rates based on domestic conditions.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The ability of the term structure (specifically the term spread, or the difference between the long and short ends of the yield curve) to predict economic activity is empirically well-established for the US, but less so for small open economies. The literature emphasizes the role of monetary policy for this predictive ability. Between 1972-2018, Ireland experienced three monetary regimes: first, the Irish Pound was fixed to Sterling (1972-1979); second the Pound floated in a band when Ireland was a member of the EMS (1979-1998); and third, as a member of the euro area (1999-2018). Using dynamic probit models and monthly data, I show that the term spread only had predictive power during the second regime, the only one in which the Central Bank of Ireland had any discretion to set interest rates based on domestic conditions.
Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates
Author: Ralf Fendel
Publisher: Peter Lang Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
Book Description
Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
Publisher: Peter Lang Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
Book Description
Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle
Author: Tong-hŏn Kim
Publisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166
Book Description
Publisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166
Book Description
The Term Structure of Interest Rates Over the Business Cycle
Author: Pamela Labadie
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
Book Description
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
Book Description
Term Structure of Interest Rates with Regime Shifts
Author: Ravi Bansal
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 70
Book Description
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 70
Book Description
Predicting Turning Points in the Interest Rate Cycle (RLE: Business Cycles)
Author: James W. Coons
Publisher: Routledge
ISBN: 1317498658
Category : Business & Economics
Languages : en
Pages : 154
Book Description
Originally published in 1994 and the recipient of the Stonier Library Award, this volume evaluates an alternative approach – the sequential filter- to managing the uncertainty inherent in the future course of the interest rate cycle. The specific hypothesis is that the sequential filter can produce valuable signals of cyclical peaks and troughs in interest rates. The analysis focusses on US interest rates from April 1953 to December 1988.
Publisher: Routledge
ISBN: 1317498658
Category : Business & Economics
Languages : en
Pages : 154
Book Description
Originally published in 1994 and the recipient of the Stonier Library Award, this volume evaluates an alternative approach – the sequential filter- to managing the uncertainty inherent in the future course of the interest rate cycle. The specific hypothesis is that the sequential filter can produce valuable signals of cyclical peaks and troughs in interest rates. The analysis focusses on US interest rates from April 1953 to December 1988.