Download or read book Do Long term Interest Rates Overreact to Short term Interest Rates written by N. Gregory Mankiw and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the hypothesis that financial markets are myopic by studying the term structure of interest rates. White rejecting decisively the traditional expectations hypothesis regarding the term structure, our statistical results also lead us to conclude that long term interest rates do not overreact to either the level or the change in short termrates. This finding suggests that participants in bond markets are not myopic or overly sensitive to recent events. Our statistical results also suggest that most variations in the yield curve reflect changes in liquidity premia rather than expected changes in interest rates.
Download or read book Do Long Term Interest Rates Overreact to Short Term Interest Rates written by N. Gregory Mankiw and published by . This book was released on 2010 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the hypothesis that financial markets are myopic by studying the term structure of interest rates. White rejecting decisively the traditional expectations hypothesis regarding the term structure, our statistical results also lead us to conclude that long term interest rates do not overreact to either the level or the change in short termrates. This finding suggests that participants in bond markets are not myopic or overly sensitive to recent events. Our statistical results also suggest that most variations in the yield curve reflect changes in liquidity premia rather than expected changes in interest rates.
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 Long term and Short term Interest Rates written by Frank Walter Paish and published by . This book was released on 1967 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three lectures in which the author puts forward a modification of keneysian theory of interest rates.
Download or read book Changes in the Relationship Between the Long Term Interest Rate and its Determinants written by Mr.William Lee and published by International Monetary Fund. This book was released on 1994-10-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
Download or read book Long Terma and Short Term Interest Rates in the United Kingdom written by Frank Walter Paish and published by Manchester University Press. This book was released on with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long and Short term Interest Rates an Econometric Study written by J. L. Ford and published by . This book was released on 1967 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Excess Sensitivity of Long run Term Interest Rates written by Refet S. Gurkaynak and published by . This book was released on 2003 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Inquiry Concerning Long term US Interest Rates Using Monthly Data written by Tanweer Akram and published by . This book was released on 2017 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Future of Long Term Interest Rates written by James J. O'Leary and published by . This book was released on 1945 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book University of Aberdeen Scheme for the Extension of the Buildings Appeal for Further Subscriptions written by and published by . This book was released on 1903* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Term Interest Rates written by Daryl Watkins and published by Nova Science Publishers. This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-term interest rate is a central variable in the macroeconomy. It matters to borrowers looking to start a business or purchase a home; to lenders weighing the risks and rewards of extending credit; to savers preparing for college or retirement; and to policymakers gauging the state of the economy and financing government expenditure. The global financial crisis and the aggressive policy response pushed long-term interest rates in the United States and in many advanced economies to historically low levels. But today's low-rate environment is not just a cyclical story. Interest rates had been falling worldwide for nearly twenty years before the crisis. Despite the magnitude and persistence of the secular downtrend, the explanation for the decline is one of the most vexing questions faced by macroeconomists today. The future path of interest rates is even less clear. This book surveys the recent thinking on the many drivers of long-term interest rates in recent decades and going forward. In addition, this book provides a speech by Federal Reserve Board Governor Bernanke at the Sandridge Lecture which discusses the global saving glut and the U.S. current deficit.
Download or read book The Us Long Term Interest Rate Conundrum written by Bruno Ducoudre and published by . This book was released on 2006 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: US long-term interest rates evolved between 4 and 4.5% from the third quarter of 2004 to the third quarter of 2005. In the same time, the Federal Reserve raised its short-term rate. The last one was increased from 1% in June 2004 to 4.75% in March 2006. The long rate has thus been considered too low. In this essay, we will primarily try to assess the monetary policy effects on the US long-term interest rate. We will do some dynamic forecasts in order to gauge if the long rate sluggishness is in line with future short-term rate and inflation rate expectations. Indeed, simulations show that the long rate would be about 70 basis points below our forecasts. To explain this conundrum, we will explore two hypotheses that have been advocated: a Global Saving Glut and a rise in Pension Funds and Foreigners' long-term asset purchases. The latter hypothesis makes it possible to elucidate a great part of the gap between the long rate and the forecasts.
Download or read book Excess Volatility and the Smoothing of Interest Rates written by Steven Strongin and published by . This book was released on 1992 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Term Structure of Interest Rates with Short Run and Long Run Risks written by Olesya V. Grishchenko and published by . This book was released on 2015 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model offers two important insights. First, our model matches well the post-1990 nominal upward-sloping U.S. Treasury yield curve. Second, consistent with our model's implication, variance risk premium based on the U.S. interest rate derivatives data emerges as a strong predictor for short-horizon Treasury excess returns, above and beyond the predictive power of other popular factors. In the model equilibrium, the variance risk premium is related to the short-run risks in the economy, while standard forward-rate-based factors are associated with long-run risks in the economy.
Download or read book Conventional Valuation and the Term Structure of Interest Rates written by Robert J. Shiller and published by . This book was released on 1985 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: There does not appear to be a general tendency for long-term interest rates either to overreact or to underreact to short-term interest rates relative to a rational expectations model of the term structure. Rather, there appears to be some tendency for markets to set long-term interest rates in terms of a convention or rule of thumb that makes long rates behave as a distributed lag, with gradually declining coefficients, of short-term interest rates. People seem to remember the recent past but blur the mare distant. In some monetary policy regimes this convention implies overreaction, in others underreaction
Download or read book Evidence Uncovered written by Jennifer E. Roush and published by . This book was released on 2001 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
