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Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand

Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand PDF Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32

Book Description

Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand

Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand PDF Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 32

Book Description

Estimates of Time-varying Term Premia for New Zealand and Australia

Estimates of Time-varying Term Premia for New Zealand and Australia PDF Author: Michael Gordon
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 40

Book Description

Time-varying Risk Premia and the Efficiency of the New Zealand Foreign Exchange Market

Time-varying Risk Premia and the Efficiency of the New Zealand Foreign Exchange Market PDF Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 20

Book Description

Foreign Exchange Issues, Capital Markets and International Banking in the 1990s (RLE Banking & Finance)

Foreign Exchange Issues, Capital Markets and International Banking in the 1990s (RLE Banking & Finance) PDF Author: Khosrow Fatemi
Publisher: Routledge
ISBN: 1136267441
Category : Business & Economics
Languages : en
Pages : 298

Book Description
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.

Price and Income Elasticities for New Zealand's Imports

Price and Income Elasticities for New Zealand's Imports PDF Author: Murray Scott
Publisher:
ISBN:
Category : Elasticity (Economics)
Languages : en
Pages : 52

Book Description

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates PDF Author: Mirko Abbritti
Publisher: International Monetary Fund
ISBN: 1475513518
Category : Business & Economics
Languages : en
Pages : 41

Book Description
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.

A Disaggregated Model of the New Zealand Consumer Price Index

A Disaggregated Model of the New Zealand Consumer Price Index PDF Author: Jason K. Wong
Publisher:
ISBN:
Category : Consumer price indexes
Languages : en
Pages : 44

Book Description

A Macroeconomic Approach to the Term Premium

A Macroeconomic Approach to the Term Premium PDF Author: Emanuel Kopp
Publisher: International Monetary Fund
ISBN: 1484363671
Category : Business & Economics
Languages : en
Pages : 22

Book Description
In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.

Routledge Library Editions: Banking & Finance

Routledge Library Editions: Banking & Finance PDF Author: Various
Publisher: Routledge
ISBN: 1136264922
Category : Business & Economics
Languages : en
Pages : 10558

Book Description
Current interest in the history of money and banking remains strong and it is opportune to survey developments both in the UK, USA, Europe and Asia. This set provides historical analysis which incorporates research from the early twentieth century onwards in a form that is both accessible to students of money & banking and economists, economic historians and bankers This set re-issues 38 volumes originally published between 1900 and 2000. It charts the history of early banking, discusses banking in the UK, Europe,Japan and the USA, analyses banks as multinationals, the UK mortgage market, banking policy and structure and examines specific sectors such as gilts and gold.

Zero Lower Bound Term Structure Modeling

Zero Lower Bound Term Structure Modeling PDF Author: L. Krippner
Publisher: Springer
ISBN: 1137401826
Category : Business & Economics
Languages : en
Pages : 436

Book Description
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
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