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 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 The Behavior of Short term Interest Rates in a Rational Banking Model written by Kenneth J. Kopecky and published by . This book was released on 1987 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Riding the Yield Curve Risk Taking Behavior in a Low Interest Rate Environment written by Mr.Ralph Chami and published by International Monetary Fund. This book was released on 2020-03-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.

Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel and published by Princeton University Press. This book was released on 2015-12-08 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Behavior of U S Short term Interest Rates Since October 1979 written by Richard H. Clarida and published by . This book was released on 1984 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Short term Behavior of Interest Rates written by Paolo Angelini and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Short term Behavior of Real Interest Rates in an Efficient Bond Market written by Rosemary Rossiter and published by . This book was released on 1980 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 72 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 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 The Changing Behavior of the Term Structure of Interest Rates written by N. Gregory Mankiw and published by . This book was released on 1985 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.

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 The Behavior of Short Term Interest Rates with Special Attention to Exchange Market Implications written by David Harald Peipers and published by . This book was released on 1978 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 The Behavior of Short Term Interest Rates written by Alfred A. Haug and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests whether changes in the short-term interest rate can best be modelled in a non-linear fashion. We argue that there are good theoretical and empirical reasons for adopting this strategy. Using monthly data from several industrialized countries, namely Canada, Germany, Sweden, Switzerland, UK, and US, we show that the short-term interest rate movements are better explained, usually via the exponential smooth transition autoregression (ESTR). Unlike the existing literature on non-linear estimation, we consider a number of candidates for the transition variable. These include: an error correction term, estimated from an underlying cointegrating relationship predicted by the expectations hypothesis, the US term spread, the domestic spread, inflation and output growth forecasts, and deviations from an inflation target in the case of Canada, the UK and Sweden. The sample spans the period from 1960-1998. We reject linearity in the behavior of short-term interest rate changes and instead find support for a non-linear model with the (lagged) domestic spread serves as the transition variable. However, other more economically meaningful alternatives perform just as well. For example, in the case of the inflation targeting countries in our sample, the most appropriate transition variable can be the deviation from the publicly announced inflation target. We supplement estimates with extensive diagnostic testing of the non-linear model to ensure that we can reject the linear alternative with reasonable confidence. We believe that changes in central bank policies, and in the reaction of market participants over time to such changes, argue in favor of the non-linear estimation approach. We also argue that any model of the term structure estimated over a fairly long span of time necessitates resort to non-linear estimation methods.