Download or read book A Disaggregated Structural Model of the Treasury Securities Corporate Bond and Equity Markets written by V. Vance Roley and published by . This book was released on 1980 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation and simulation results of a disaggregated structural model of u\U.S. security markets are presented in this paper. The model consists of estimated demands for corporate bonds, equities, and four distinct maturity classes of Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities equating market demands with exogenous supplies. The empirical results provide support to the model's specification and indicate that the "within-sample forecasts" of the six endogenous security yields closely track historical data.
Download or read book The Effect of Federal Debt Management Policy on Corporate Bond and Equity Yields written by V. Vance Roley and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In theory, Federal debt management policy potentially plays an important role in determining Treasury and private security yields. However, empirical studies have been unable to detect any significant effects from Federal debt management. In large part the insignificance of relative asset supply effects associated with Federal debt management policy may result from the use of unrestricted reduced- form models of interest rate determination. Using a disaggregated structural model of the markets for corporate bonds, equities, and four distinct maturity classes of Treasury securities. Federal debt management policy is found to significantly affect Treasury and private security yields. Furthermore, the yields on corporate bonds and equities are influenced disproportionately.
Download or read book A Structural Model of the U S Government Securities Market written by V. Vance Roley and published by Routledge. This book was released on 2018-03-05 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1979. This study focuses primarily on the development of a structural model for the U. S. Government securities market, ie. the specification and estimation of the demands for disaggregated maturity classes of U.S. Government securities by the individual investor groups participating in the market. A particularly important issue addressed involves the extent of the substitution relationship among different maturity classes of U.S. Government securities.
Download or read book Asset Substitutability and the Impact of Federal Deficits written by V. Vance Roley and published by . This book was released on 1983 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the role of asset substitutability in determining the impact of debt-financed federal deficits is examined. The issues are first discussed in the context of a simple analytical model in which financial assets are disaggregated into money, federal debt, and corporate bonds. In this model, it is shown that depending on the degree of substitutability among financial assets, a range of possible outcomes associated with a change in the federal deficit is possible.Next, the issue of asset substitutability is examine dempirically in a disaggregated structural model of the Treasury security, corporate bond, and equity markets. Using this model, the implications of larger debt-financed federal deficits are then examined in a series of simulation experiments
Download or read book Deficits and Interest Rates written by and published by . This book was released on 1983 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Economic Consequences of Government Deficits written by L.H. Meyer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: On October 29 and 30, 1982, the Center for the Study of American Business and the Institute for Banking and Financial Markets at Washington "The Economic Consequences of University cosponsored a conference on Government Deficits. " This was the sixth annual Economic Policy Con ference sponsored by the Center, and the first it has cosponsored with the Institute. This book contains the papers and comments delivered at that conference. Recent and prospective large federal deficits have prompted a thorough reconsideration of the political sources and economic consequences of government deficits. The papers in Part I focus on the implications of deficits for monetary growth and inflation, and the papers in Part II consider the effect of deficits on interest rates and capital formation. The papers in Part III deal with the political sources and remedies for the explosive growth in government spending and increased reliance on deficits. The papers in Part I by Alan S. Blinder, Professor of Economics at Princeton University, and Preston J. Miller, Assistant Vice President and Research Advisor at the Federal Reserve Bank of Minneapolis, discuss the relation between monetary growth and deficits and present evidence on the of deficits on inflation and output. A deficit is said to be monetized effects vii viii THE ECONOMIC CONSEQUENCES OF GOVERNMENT DEFICITS when the Federal Reserve purchases bonds to aid the Treasury in financing the deficit.
Download or read book Financial Stability Monitoring written by Tobias Adrian and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.
Download or read book Capital Controls and the Cost of Debt written by Eugenia Andreasen and published by International Monetary Fund. This book was released on 2017-06-09 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a panel data set for international corporate bonds and capital account restrictions in advanced and emerging economies, we show that restrictions on capital inflows produce a substantial and economically meaningful increase in corporate bond spreads. A number of heterogeneities suggest that the effect of capital controls on inflows is particularly strong for more financially constrained firms, establishing a novel channel through which capital controls affect economic outcomes. By contrast, we do not find a robust significant effect of restrictions on outflows.
Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Download or read book Asset Substitutibility and the Impact of Federal Deficits written by V. Vance Roley and published by . This book was released on 1983 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Financial Stability Report April 2012 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2012-04-18 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.
Download or read book Economic Review written by and published by . This book was released on 1984 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 1983 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The C F A Digest written by and published by . This book was released on 1981 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Local Currency Bond Markets A Diagnostic Framework written by World Bank and published by International Monetary Fund. This book was released on 2013-07-09 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In November 2011, the G-20 endorsed an action plan to support the development of local currency bond markets (LCBM). International institutions—the IMF, the World Bank, the EBRD, and the OECD—were asked to draw on their experience to develop a diagnostic framework (DF) to identify general preconditions, key components, and constraints for successful LCBM development. The objective is to provide a tool for analyzing the state of development and efficiency of local currency bond markets. The application of the DF is expected to be flexible, bearing in mind that the potential for LCBM development depends on economic size, financing needs, and stage of economic development.
Download or read book Data Problems in Econometrics written by Zvi Griliches and published by . This book was released on 1984 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review of data problems in econometrics has been prepared for the Handbook of Econometrics (Vol. 3, Chap. 25, forthcoming). It starts with a review of the ambivalent relationship between data and econometricians, emphasizing the largely second-hand nature of economic data and the consequences that flow from the distance between econometricians as users of data and its producers. Section II describes the major types of economic data while Section III reviews some of the problems that arise in trying to use such data to estimate model parameters and to test economic theories. Section IV reviews the classical errors in variables model and its applicability to micro-data, especially panel data. Section, discusses missing data models and methods and illustrates them with an empirical example. Section VI focuses on the problem of estimating models in the absence of a full history, suggests a possible range of solutions, and provides again an empirical example: using a short panel to investigate the weights to be used in constructing a correct "capital" measure. The chapter closes (Section VII) with some final remarks on the existential problem of econometrics: life with imperfect data and inadequate theories
Download or read book Consistent Estimation Data from More Than One Sample written by William T. Dickens and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
