Download or read book The Term Structure of Interest Rates and Expected Economic Growth written by María Isabel Martínez Serna and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many papers have documented the positive relationship between the slope of the yield curve and future real economic activity in different countries and different time periods. One explanation for this economic link is based on monetary policy. However, empirical evidence (Estrella and Hardouvelis, 1991; Plosser and Rouwenhorst, 1994; Estrella and Mishkin, 1997; Moersch, 1996a,b; Kozicki, 1997; Dotsey, 1998; Ivanova et al., 2000) has shown that monetary policy does not appear to be the only source of the predictive power of the term spread. Therefore, the spread reflects other economic conditions beyond actions taken by monetary authorities. According to Harvey (1988), the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect the expectations of investors about the future economic situation when deciding about their plans for consumption and investment. Harvey (1988) uses the Consumption-Based Asset Pricing Model (CCAPM) to derive a forecasting equation that relates the slope of the term structure of interest rates to expected consumption growth. Harvey's model has been tested in several countries using ex post consumption or output growth as proxies of expected consumption growth. This paper complements and extends the evidence of Harvey's model by testing it for the case of Spain and by using a measure of expected consumption growth rather than proxies for the investors' expectations. The variables used are the Consumer Confidence Indicator and the Economic Sentiment Indicator (elaborated by the European Commission) that directly stand for the expectations of economic agents about the future economic situation in the next twelve months.
Download or read book Global Factors in the Term Structure of Interest Rates written by Mirko Abbritti and published by International Monetary Fund. This book was released on 2013-11-05 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Download or read book Essays on the Term Structure of Interest Rates Monetary Policy and Business Cycle written by Tong-hŏn Kim and published by . This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The term structure of interests rates written by Diana Ruthenberg and published by GRIN Verlag. This book was released on 2006-04-14 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2004 in the subject Business economics - Investment and Finance, grade: 1.8, University of Plymouth (Business School), language: English, abstract: Firstly, this report will depict briefly what a bond is in general and how to evaluate its advantages and inconveniences for potential investors. Then it aims at to explain when and why the yield on long-term bonds often exceeds the yield on short-term bonds. The explanation will mainly be based on the three primary theories: the expectations hypothesis, the liquidity premium / preferred habitat theories and the market segmentation theory.
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 Term Structure of Interest Rates in a Simple Stochastic Growth Model written by David Kim and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Future Economic Growth written by Maria Khait and published by . This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The broad literature documents the empirical regularity that slope of the term structure of interest rates is a reliable predictor of future real economic activity. Steeper slopes presage increasing growth, and downward sloping term structures presage declining growth or even recession. Some instances of slope's misleading signals were recorded in 2006 (the term structure was flat, indicating decline in economic activity when high growth continued) and 2008 (the term structure was very steep, predicting economic growth when recession continued and took a deep dive). Moreover, Breeden (2012a) showed that the term structure of interest rates has had less predictive power over the past fifty years than has been found in earlier researches over shorter periods of time. The key idea underlying this paper was to test whether the term structure of volatility and the term structure of inflation combined with the term spread could improve predictions of future economic growth compared to interest rate based forecasts with only one variable. This study finds that while the term structure spread and volatility appear to be statistically significant variables there is little evidence of improved performance compare to interest rate based forecasts with only one variable.
Download or read book The Term Structure of Interest Rates and Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates written by R. S. Masera and published by . This book was released on 1972 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates and the Effects of Macoeconomic Policy written by Stephen J. Turnovsky and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structures of Equity and Interest Rates written by Martin Lettau and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimonious stochastic discount factor for the economy. Shocks to dividend growth, the real interest rate, and expected inflation are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show that the model can simultaneously account for the behavior of aggregate stock returns, an upward-sloping yield curve, the failure of the expectations hypothesis and the poor performance of the capital asset pricing model.
Download or read book Reading the Minds of Investors written by James A. Clouse and published by . This book was released on 2004 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The changes in expected future short rates are then further decomposed into portions attributable to changes in the expected future paths for inflation, the unemployment rate, and GDP growth and also to a fourth factor interpreted as changes in the "stance of monetary policy." The model results indicate that changes in long-term interest rates, on average, have been about equal parts changes in term premia and changes in expected future short rates. Changes in expected future short rates seem to be driven largely by changes in the stance of monetary policy and in the outlook for inflation while the estimated influence of changes in the outlook for the unemployment rate and GDP growth is more muted"--Abstract.
Download or read book The Yield Curve and Real Activity written by Zuliu Hu and published by . This book was released on 2006 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial press frequently suggest that the shape of yield curve reflects information about the prospects of the economy. This paper attempts to formalize the link between the yield curve and the real economic activity. A closed-form formula for the term structure of interest rates is derived. It is shown that the term structure embodies the market`s expectation about changes in the macroeconomic fundamental--the growth in real aggregate output of the economy. The paper then documents the use of bond market data for predicting GDP growth in the G-7 industrial countries. The results suggest that a simple measure of the slope of the yield curve, namely the yield spread, serves as a good predictor of future economic growth. The out-of-sample forecasting performance of the yield spread compares favorably with that of the alternative stock price-based model and a univariate time series (ARMA) model. One practical implication is that it may be useful to add some measure of the term structure to the list of leading indicators.
Download or read book Term Structure of Interest Rates Non neutral Inflation and Economic Growth written by Andrea Berardi and published by . This book was released on 1997 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
