Download or read book The Term Structure of Interest Rates Monetary Regimes and the Business Cycle written by Fabrizio Casalin and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy Regimes and the Term Structure of Interest Rates with Recursive Utility written by Hiroatsu Tanaka and published by . This book was released on 2011 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation of the model suggests that the assumption of a discretion regime performs better than a commitment regime in terms of quantitatively fitting some salient features of the US data on the term structure and the business cycle during the Volcker-Greenspan-Bernanke era. The lack of policy credibility leads to volatile and persistent inflation, which generates volatile expected long-run inflation that is negatively correlated with future continuation values. This is perceived particularly risky by EZ nominal bond holders and results in upward sloping average nominal yields, long-term yield volatility and excess return predictability closer to the magnitude observed in the data while keeping the unconditional volatilities of consumption growth and inflation realistic.

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 Monetary Policy Regimes and the Term Structure of Interest Rates written by Ruslan Bikbov and published by . This book was released on 2008 with total page 50 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 Monetary Policy Interest Rate Rules and the Term Structure of Interest Rates written by Ralf Fendel and published by Peter Lang Publishing. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.

Download or read book Monetary Regimes the Term Structure and Business Cycles in Ireland 1972 2018 written by Rebecca Stuart and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability of the term structure (specifically the term spread, or the difference between the long and short ends of the yield curve) to predict economic activity is empirically well-established for the US, but less so for small open economies. The literature emphasizes the role of monetary policy for this predictive ability. Between 1972-2018, Ireland experienced three monetary regimes: first, the Irish Pound was fixed to Sterling (1972-1979); second the Pound floated in a band when Ireland was a member of the EMS (1979-1998); and third, as a member of the euro area (1999-2018). Using dynamic probit models and monthly data, I show that the term spread only had predictive power during the second regime, the only one in which the Central Bank of Ireland had any discretion to set interest rates based on domestic conditions.

Download or read book The Term Structure of Interest Rates Over the Business Cycle written by Pamela Labadie and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Policy and the Term Structure of Nominal Interest Rates written by Charles Evans and published by . This book was released on 1997 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Term Structure of Interest Rates with Regime Shifts written by Ravi Bansal and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Information Contents of the Term Structure of Interest Rates and Monetary Policy Regimes written by Jin Yoo and published by . This book was released on 1998 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The American Business Cycle written by Robert J. Gordon and published by University of Chicago Press. This book was released on 2007-11-01 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades the American economy has experienced the worst peace-time inflation in its history and the highest unemployment rate since the Great Depression. These circumstances have prompted renewed interest in the concept of business cycles, which Joseph Schumpeter suggested are "like the beat of the heart, of the essence of the organism that displays them." In The American Business Cycle, some of the most prominent macroeconomics in the United States focuses on the questions, To what extent are business cycles propelled by external shocks? How have post-1946 cycles differed from earlier cycles? And, what are the major factors that contribute to business cycles? They extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations. Seven papers address specific aspects of economic activity: consumption, investment, inventory change, fiscal policy, monetary behavior, open economy, and the labor market. Five papers focus on aggregate economic activity. In a number of cases, the papers present findings that challenge widely accepted models and assumptions. In addition to its substantive findings, The American Business Cycle includes an appendix containing both the first published history of the NBER business-cycle dating chronology and many previously unpublished historical data series.

Download or read book Monetary regimes and the term structure of interest rates 1862 1982 written by Scott Ulman and published by . This book was released on 1983 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fed Funds Rate Targeting Monetary Regimes and the Term Structure of Interbank Rates written by Vassil A. Konstantinov and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present an arbitrage-free model of the term structure of interest rates where the short rate is subject to rare jumps of predetermined magnitudes. A two dimensional hidden Markov switching process governs the jump probabilities. We apply the model to the targeting process of the Federal Reserve, interpreting the jumps as changes to the federal funds target, and the short rate as the market federal funds rate. We calibrate the model with money market and interbank spot curves, using an EM algorithm. The smoothed inference of the regime fits well with the historical evidence on the monetary policy stance. The model generates time-varying term premia at business cycle frequencies. The slow variation of the jump risk premia causes the expectations hypothesis of the term structure to break down at yearly horizons. We are able to qualitatively replicate the quot;predictability smilequot; in Campbell-Shiller yield spread regressions.

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 Negative Interest Rates written by Luís Brandão Marques and published by International Monetary Fund. This book was released on 2021-03-03 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.

Download or read book Negative Interest Rate Policy NIRP written by Andreas Jobst and published by International Monetary Fund. This book was released on 2016-08-10 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.