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Book Measuring Variability and Stationarity of Term Premia for Interest Rate Forecasting

Download or read book Measuring Variability and Stationarity of Term Premia for Interest Rate Forecasting written by Ramon P. DeGennaro and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a series of weekly term premia extracted from U.S. Treasury bill quotations from 1970-1982. We choose this period because it is characterized by high and variable inflation. We find that spot and forward rates are cointegrated and that the series of their differences is stationary. This implies that term premia are also stationary, which has implications for researchers seeking to improve interest rate forecasting. It also rules out several variables as determinants of term premia. We use a variance estimator that is consistent against autoregression to compute variance bounds. This lets us use overlapping observations, thus conserving degrees of freedom and letting us use a finer sampling interval. This estimator shows that both forecast errors and term premia are more variable than reported previously. Those earlier results used periods of low inflation, though, so our results are not necessarily inconsistent with them. Variation in the premium rises with the level.

Book Variability and Stationarity of Term Premia

Download or read book Variability and Stationarity of Term Premia written by Ramon Paul DeGennaro and published by . This book was released on 1989 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book A Macroeconomic Approach to the Term Premium

Download or read book A Macroeconomic Approach to the Term Premium written by Emanuel Kopp and published by International Monetary Fund. This book was released on 2018-06-15 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.

Book Price Stabilization in the 1990s

Download or read book Price Stabilization in the 1990s written by Kumiharu Shigehara and published by Springer. This book was released on 1993-06-18 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investigates various aspects of inflation - the recent history of inflation as well as potential sources of changes, the technical issues regarding the measurement of inflation, the indicators for future inflation, and the policy implications to achieve and maintain price stability.

Book Quantitative Financial Economics

Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.

Book Macroeconomic Models and the Term Structure of Interest Rates

Download or read book Macroeconomic Models and the Term Structure of Interest Rates written by Steven Strongin and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Economic Review

Download or read book Economic Review written by and published by . This book was released on 1990 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Measures of Fit for Calibrated Models

Download or read book Measures of Fit for Calibrated Models written by Mark W. Watson and published by . This book was released on 1991 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new procedure for assessing how well a given dynamic economic model describes a set of economic time series. To answer the question, the variables in the model are augmented with just enough error so that the model can exactly mimic the second moment properties of the actual data. The properties of this error provide a useful diagnostic for the economic model, since they show the dimensions in which model fits the data relatively well and the dimensions in which it fits the data relatively poorly.

Book Handbook of Economic Expectations

Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics

Book Institutional Rigidities as Barriers to Growth

Download or read book Institutional Rigidities as Barriers to Growth written by Michael Kendix and published by . This book was released on 1990 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book A Procedure for Predicting Recessions with Leading Indicators

Download or read book A Procedure for Predicting Recessions with Leading Indicators written by James H. Stock and published by . This book was released on 1992 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the forecasting performance of various leading economic indicators and composite indexes since 1988. in particular during the onset of the 1990 recession. The primary focus is on an experimental recession index (tile "XRI"). a composite index which provides probabilistic forecasts of whether the U.S. economy will be in a recession six months hence. After detailing its construction, the paper examines the out-of-sample performance of the XRI and a related forecast of overall economic growth. the experimental leading index (XLI). These indexes performed well from 1988 through the summer of 1990 - for example. in June 1990 the XLI model forecasted a .4% (annual rate) decline in the experimental coincident index from June through September. when in fact the decline was only slightly greater, .8%. However. the XLI failed to forecast the sharp declines of October and November 1990. After exploring several possible explanations. we conclude that one important source of the forecast error was the use of financial variables during a recession that was not associated with a particularly tight monetary policy. Financial indicators -- and the experimental index -- were not alone. however. in failing to forecast the 1990 recession, An examination of 45 economic indicators shows that almost all failed to forecast the 1990downturn. and the few that did provided unclear signals before the recessions of the 19705 and 1980s

Book The Diminishing Role of Commercial Banking in the U S Economy

Download or read book The Diminishing Role of Commercial Banking in the U S Economy written by George G. Kaufman and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Structural Unemployment and Public Policy in Interwar Britain

Download or read book Structural Unemployment and Public Policy in Interwar Britain written by Prakash Loungani and published by . This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: