Download or read book A Simple Account of the Behavior of Long term Interest Rates written by John Y. Campbell and published by . This book was released on 1983 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory.
Download or read book Monetary Policy and the Behavior of Long term Real Interest Rates written by Jeffrey C. Fuhrer and published by . This book was released on 1993 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary Policy and the Behavior of Long term Interest Rates written by Jeffrey C. Fuhrer and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Download or read book Konzepte und Erfahrungen der Geldpolitik written by Hans-Hermann Francke and published by Duncker & Humblot. This book was released on 2019 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Fama Portfolio written by Eugene F. Fama and published by University of Chicago Press. This book was released on 2017-09-07 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of the most influential work of the Nobel Prize laureate in economic sciences serves as an introduction for a new generation of readers. Few scholars have been as influential in finance and economics as University of Chicago professor Eugene F. Fama. Over the course of a brilliant and productive career, Fama has published more than one hundred papers, filled with diverse, highly innovative contributions. Published soon after the fiftieth anniversary of Fama’s appointment to the University of Chicago and his receipt of the Nobel Prize in Economics, The Fama Portfolio offers an authoritative compilation of Fama’s central papers. Many are classics, including his now-famous essay on efficient capital markets. Others, though less famous, are even better statements of the central ideas. Fama’s research considers key questions in finance, both as an academic field and an industry: How is information reflected in asset prices? What is the nature of risk that scares people away from larger returns? Does lots of buying and selling by active managers produce value for their clients? The Fama Portfolio provides for the first time a comprehensive collection of his work and includes introductions and commentary by the book’s editors, John H. Cochrane and Tobias Moskowitz, as well as by Fama’s colleagues, themselves top scholars and successful practitioners in finance. These essays emphasize how the ideas presented in Fama’s papers have influenced later thinking in financial economics, often for decades. “Fama’s ideas have influenced a generation of thinkers without most reading the original source material. This comprehensive collection of his work seeks to right that wrong.” —Bloomberg
Download or read book The Yield Curve and Financial Risk Premia written by Felix Geiger and published by Springer Science & Business Media. This book was released on 2011-08-17 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Download or read book The Cyclical Behavior of Short and Long term Interest Rates and Some Explanations of that Behavior written by Scott Taylor Jones and published by . This book was released on 1973 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Behavior of Interest Rates written by Joseph W. Conard and published by . This book was released on 1966 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Banking And Capital Markets New International Perspectives written by Lloyd P Blenman and published by World Scientific. This book was released on 2010-06-04 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely collection of papers probes into the major issues that are at the heart of our current financial market crises. The coverage of banking topics include the changing nature of intra and inter-bank markets, bank lending behavior, risk and risk-taking, the role of liquidity, return and maturity transformation issues. Issues on international financial market volatility and spillover effects are analyzed in detail, and intense discussions on capital adequacy and regulation in banking, and the potential role of banks' activities in the triggering of financial crises provide forward-looking insights.This volume will offer readers current and innovative approaches to assessing extant issues in banking and financial markets. In particular, it provides new ideas about the role of corporate governance institutions as signaling devices in exercising regulatory authority and protection of the shareholders' rights. What this volume covers in breadth, it also delves in depth with critical analyses and commentaries on the possible role of bank lending in triggering international crises, value creation in international joint ventures and the pricing of risk in international financial markets.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options written by Stewart Hodges and published by Manchester University Press. This book was released on 1992 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary Policy and the Behavior of Long term Interest Rates written by Stefan Gerlach and published by . This book was released on 1996 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Download or read book Journal of Banking Finance written by and published by . This book was released on 1995 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Real Business Cycles written by James Hartley and published by Routledge. This book was released on 2013-07-04 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real Business Cycle theory combines the remains of monetarism with the new classical macroeconomics, and has become one of the dominant approaches within contemporary macroeconomics today. This volume presents: * the authoritative anthology in RBC. The work contains the major articles introducing and extending the theory as well as critical literature * an extensive introduction which contains an expository summary and critical evaluation of RBC theory * comprehensive coverage and balance between seminal papers and extensions; proponents and critics; and theory and empirics. Macroeconomics is a compulsory element in most economics courses, and this book will be an essential guide to one of its major theories.
Download or read book The Asymptotic Behavior of the Term Structure of Interest Rates written by Maximilian Härtel and published by Cuvillier Verlag. This book was released on 2015-12-23 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-term interest rates are essential for the valuation and hedging of various fixed income products and derivatives as well as for the pricing of payments in a distant future, such as long-term infrastructure projects or compensatory adjustments in the course of an accident or a divorce. In the aftermath of the 2008 financial crisis the modeling of interest rate curves with a long time horizon became more and more important due to increased investments in long-term products. Therefore, the study of the asymptotic behavior of the term structure of interest rates has recently achieved new relevance. In this dissertation we investigate long-term interest rates, i.e. interest rates with maturity going to infinity, in the post-crisis interest rate market. Three different concepts of long-term interest rates are considered for this purpose: the long-term yield, the long-term simple rate, and the long-term swap rate. We analyze the properties as well as the interrelations of these long-term interest rates. In particular, we study the asymptotic behavior of the term structure of interest rates in some specific models. First, we compute the three long-term interest rates in the HJM framework with different stochastic drivers, namely Brownian motions, Lévy processes, and affine processes on the state space of positive semidefinite symmetric matrices. The HJM setting presents the advantage that the entire yield curve can be modeled directly. Furthermore, by considering increasingly more general classes of drivers, we were able to take into account the impact of different risk factors and their dependence structure on the long end of the yield curve. Finally, we study the long-term interest rates and especially the long-term swap rate in the Flesaker-Hughston model and the linear-rational methodology. Langfristige Zinssätze werden für die Bewertung und Absicherung von festverzinslichen Finanzprodukten und Derivaten mit langer Laufzeit benötigt, sowie bei der Preisberechnung von Zahlungen, die in weiter Zukunft liegen. Solche Zahlungen kann es beispielsweise bei langfristig angelegten Infrastrukturprojekten geben oder bei Ausgleichsregelungen im Falle eines Unfalls oder einer Scheidung. Gerade im Zuge der weltweiten Finanzkrise von 2008 wuchs das Interesse von Anlegern an Investments mit langem Zeithorizont und damit auch die Notwendigkeit Zinskurven weiter in die Zukunft zu modellieren und das Verhalten am langen Ende der Kurven möglichst genau zu bestimmen. Die vorliegende Arbeit widmet sich der Untersuchung des asymptotischen Verhaltens von Zinskurven. Zu diesem Zwecke werden drei verschiedene langfristige Zinssätze analysiert: der langfristige stetige Zinssatz, der langfristige diskrete Zinssatz und der langfristige Swapzinssatz. Diese langfristigen Zinsen werden definiert als Zinssätze deren Laufzeit gegen unendlich geht im Rahmen eines Zinsmarktes, der auf Erkenntnissen basiert, die aus der Finanzkrise gewonnen werden konnten. Alle modellunabhängigen relevanten Eigenschaften dieser Zinsen werden erläutert und die Zusammenhänge zwischen ihnen werden genauestens hinsichtlich ihrer Wechselbeziehungen untersucht. Darüber hinaus ist ein wichtiger Teil dieser Dissertation der Beschreibung des asymptotischen Verhaltens von Zinskurven in speziellen Zinsmodellen gewidmet. Diese Modelle umfassen das Zinsstrukturmodell von Heath, Jarrow und Morton, genannt HJM Framework, das Flesaker-Hughston Modell sowie das linear-rationale Modell. Das HJM Framework wird aufgrund der Möglichkeit der direkten Modellierung der gesamten Zinsstrukturkurve und aller dazugehörigen Terminkurse für die Analyse verwendet. Die stochastische Komponente wird erst mittels der Brownschen Bewegung beschrieben, dann durch einen Lévy Prozess und zuletzt mit Hilfe eines affinen Prozesses auf dem Zustandsraum von positiv semidefiniten und symmetrischen Matrizen. Der Gebrauch dieser stochastischen Prozesse kann als schrittweise Weiterentwicklung des HJM Frameworks verstanden werden, da jeweils mehr, die Zinsstruktur beeinflussende, Faktoren in die Modellierung mit einfließen können. Die anderen beiden vorgestellten Modelle, das Flesaker-Hughston Modell und das linear-rationale Modell, finden, wegen einiger attraktiver Eigenschaften, Anwendung in der Analyse des asymptotischen Zinskurvenverhaltens, wie zum Beispiel einfache Formeln für alle Zinssätze, die keine negativen Werte annehmen können.
