Author: Todd Andrew VermilyeaPublisher:
ISBN:
Category :
Languages : en
Pages : 352
Book Description
Essays on the Term Structure of Interest Rates and Federal Reserve Decision Making
Author: Todd Andrew VermilyeaPublisher:
ISBN:
Category :
Languages : en
Pages : 352
Book Description
Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle
Author: Tong-hŏn KimPublisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166
Book Description
The Federal Reserve System Purposes and Functions
Author: Board of Governors of the Federal Reserve SystemPublisher:
ISBN: 9780894991967
Category : Banks and Banking
Languages : en
Pages : 0
Book Description
Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.
Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure
Author: Glenn D. RudebuschPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Book Description
Essays on the Term Structure of Interest Rates
Author: Nisha AroskarPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Book Description
Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates
Author: Albert Lee ChunThree Essays in Policy Regime Changes, Interest Rate Volatility, and Federal Reserve Credibility
Author: Gikas Angelos HardouvelisPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 268
Book Description
Three Essays on the Term Structure of Interest Rates
Author: Hyoung-Seok LimPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Book Description
Abstract: Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates play an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
The Shifting Term Structure of Interest Rates
Author: Charles SteindelPublisher:
ISBN:
Category : Interest
Languages : en
Pages : 40
Book Description
Author: Thong Huy Nguyen