Author: Publisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates
Author: Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates
Author: Carlo A. FaveroPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 28
Book Description
Anticipated Monetary Policy and the Dynamic Behaviour of the Term Structure of Interest Rates
Author: Jarkko P. JääskeläPublisher:
ISBN:
Category :
Languages : en
Pages : 39
Book Description
This paper investigates the measurement of anticipated interest rate policy and the effects of these expectations on the term structure of nominal interest rates. It is shown that, under the expectations hypothesis, the level of long-term interest rates depends on three factors: the level of the monetary policy interest rate, ie the steering rate; the spread between the market interest rate and the steering rate; and market expectations of the next steering rate change. The theoretical model builds on the assumption that market participants have only imperfect knowledge of the mechanism whereby changes in the steering rate are determined. As a consequence, expectations formation, although realistic, need not be entirely rational. Steering rate changes take the form of discrete jumps and occur infrequently on a daily scale. Given these assumptions, discussion of the determination of the term structure is related to the literature on uncertainty about monetary policy regimes and small samples, ie peso problems. Empirical analysis based on Nelson-Siegel estimates of the daily yield curves in Finland in the period 1 January 1993 to 31 October 1997 complements the theoretical discussion. The observed differences between estimated market expectations and actual tender rate changes are quite large in the sample, particularly for the longer maturities. The approach applied in this study is promising, not only in the sense of potentially providing estimates of market expectations concerning future discrete changes in monetary policy interest rates but also in the sense of its apparent potential in accounting for the often reported poor empirical performance of the expectations hypothesis.
The Preparation of Monetary Policy
Author: J.M. BerkPublisher: Springer Science & Business Media
ISBN: 1475734050
Category : Business & Economics
Languages : en
Pages : 157
Book Description
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Term Structure of Inflation Expectations and Real Interest Rates
Author: S. Boragan AruobaPublisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 52
Book Description
"Inflation expectations have recently received increased interest because of the uncertainty created by the Federal Reserve's unprecedented reaction to the Great Recession. The effect of this reaction on the real economy is also an important topic. In this paper the author uses various surveys to produce a term structure of inflation expectations - inflation expectations at any horizon from 3 to 120 months - and an associated term structure of real interest rates. Inflation expectations extracted from this model track actual (ex-post) realizations of inflation quite well, and in terms of forecast accuracy they are at par with or superior to some popular alternatives obtained from financial variables. Looking at the period 2008-2013, the author concludes that the unconventional policies of the Federal Reserve kept long-run inflation expectations anchored and provided a large level of monetary stimulus to the economy."--Abstract.
Uncertainty on Monetary Policy and the Xpectations Model of the Term Structure of Interest Rates
Author: Carlo A. FaveroExpectations, Uncertainty, and the Term Structure of Interest Rates
Author: J. C. DoddsPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 336
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
Expectations, Uncertainty, and the Term Structure of Interest Rates
Author: J. Colin DoddsPublisher:
ISBN:
Category : Interest
Languages : en
Pages : 314
Book Description
Money, Interest Rates, and Inflation
Author: Frederic S. MishkinPublisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 360
Book Description
Frederick Mishkin's work has been dedicated to understanding the relationship between money, interest rates and inflation. The 15 essays in this collection - unabashedly empirical and rigorous - include much of Professor Mishkin's most highly regarded work. Money, Interst Rates and Inflation offers a coherent and informative assessment of how monetary policy affects the economy. In addition, the essays in this collection illustrate how rational expectations econometrics can be used to answer basic questions in the monetary-macroeconomics and finance areas.