Download or read book The Term Structure of Interest Rates in India written by Rajnish Mehra and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the term structure of interest rates in India to see if the yield curve can be rationalized based on the 'expectations hypothesis'. Although we find evidence of predictability for holding period returns, we reject the null hypothesis that the expectations hypothesis holds for the period under consideration. Contrary to the finding in the US, the volatility of Indian bond returns is consistent with the expectations hypothesis. Returns on long-term bonds are less volatile than those of short-term bonds. The volatility puzzle documented by Shiller on US data is not observed in Indian bond returns.

Download or read book The Structure of Interest Rates in India written by Asishkumar Roy and published by Calcutta : World Press. This book was released on 1975 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Term structure of Interest Rates and Monetary Management in India written by Surendra Kumar Kaushik and published by . This book was released on 1976 with total page 352 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:

Download or read book Term Structure of Interest Rates in India written by Gangadhar Darbha and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The gradual shift to market related rates of interest on government borrowing has now made it possible to estimate the term structure in the Indian debt markets. Estimates of term structure provide the basis for valuation and risk measurement of sovereign and non-sovereign securities. It gives the interest rate structure in the economy that can be used to analyze the extent of impact of monetary policy. The present paper attempts to provide a framework for the estimation of the daily term structure taking into account important aspects related to the Indian debt market. We improve upon existing empirical work by highlighting the importance of various institutional details that lead to intra security price dispersion. Using the parsimonious Nelson-Siegel functional form, we provide daily estimates of the sovereign ZCYC using information on secondary market trades in Government securities available from the Wholesale Debt Market of the National Stock exchange (NSE-WDM). The estimated model is found to perform satisfactorily in terms of the mean absolute price of errors.

Download or read book The term structure of interest rates written by Charles R. Nelson and published by . This book was released on 1972 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates Revisited written by N. Gregory Mankiw and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between long-term and short-term interest rates is crucial for macroeconomic policy evaluation. Since the short-term interest rate is the opportunity cost of holding money, it is widely believed that the Federal Reserve has more direct control over short-term than over long-term interest rates in the United States. Yet if capital is costly to adjust or takes time to place into use, investment decisions may depend on long-term interest rates. The term structure of interest rates thus appears central to the monetary transmission mechanism. Unfortunately, the determinants of the term structure remain poorly understood.This paper uses data from the United States, Canada, and the United Kingdom, and Germany to examine various hypotheses regarding the term structure. My goal is to see whether the experiences of these four countries since 1960 can help provide a general explanation of the term structure. In the United States many observers believe the large variations in the long-term interest rate since 1979 are not adequately explained by movements in short-term interest rates. Of particular interest is whether the experience of the United States in these and earlier years merely reflects an unusual historical episode. If it does, it would be inappropriate to draw any general conclusions from this experience or to extrapolate this experience into the future.This study is in part motivated by apparent differences between recent experience in the United States and experience elsewhere. In 1985, the rate on long-term government bonds in the United States exceeded the rate on three-month Treasury bills by more than 300 basis points. By contrast, the long-term interest rate in the United Kingdom was more than 100 basis points below the short-term interest rate. Interpreting such divergent national experiences is the primary purpose of studying the term structure more generally.

Download or read book The Term Structure of Interest Rates and Monetary Policy During a Zero Interest Rate Period written by Mr. Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan''s use of interest rate smoothing.

Download or read book The Term Structure of Interest Rates written by Jacob B. Michaelsen and published by . This book was released on 1973 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by Burton Gordon Malkiel and published by . This book was released on 1966 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates on Securities written by Richard J. Rolfes and published by . This book was released on 1960 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by and published by . This book was released on 1966 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by Laurence Jay Mauer and published by . This book was released on 1967 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by Carl William Stern (Jr.) and published by . This book was released on 1968 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The term structure of interest rates in a partially observable economy written by David Feldman and published by . This book was released on 1986 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A survey on the theories of the term structure of interest rates written by Gianna Boero and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: