Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle
DOWNLOAD
Download Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle
DOWNLOAD
Author : Tong-hŏn Kim
language : en
Publisher:
Release Date : 2000
Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle written by Tong-hŏn Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business forecasting categories.
Essays On The Term Structure Of Interest Rates
DOWNLOAD
Author : Nisha Aroskar
language : en
Publisher:
Release Date : 2003
Essays On The Term Structure Of Interest Rates written by Nisha Aroskar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Interest rates categories.
Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
The Preparation Of Monetary Policy
DOWNLOAD
Author : J.M. Berk
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
The Preparation Of Monetary Policy written by J.M. Berk and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Business & Economics categories.
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Essays On Macro Finance Relationships
DOWNLOAD
Author : Azamat Abdymomunov
language : en
Publisher:
Release Date : 2010
Essays On Macro Finance Relationships written by Azamat Abdymomunov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Electronic dissertations categories.
In my dissertation, I study relationships between macroeconomics and financial markets. In particular, I empirically investigate the links between key macroeconomic indicators, such as output, inflation, and the business cycle, and the pricing of financial assets. The dissertation comprises three essays. The first essay investigates how the entire term structure of interest rates is influenced by regime-shifts in monetary policy. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results for U.S. data from 1985-2008 indicate that (i) the Fed's reaction to inflation has changed over time, switching between "more active" and "less active" monetary policy regimes, (ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and (iii) on average, the slope of the yield curve in the "more active" regime was steeper than in the "less active" regime. The steeper yield curve in the "more active" regime reflects higher term premia that result from the risk associated with a more volatile future short-term rate given a more sensitive response to inflation. The second essay examines the predictive power of the entire yield curve for aggregate output. Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction. The third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed to vary between "low" and "high" volatility regimes. Our empirical findings suggest strong time variation in betas across volatility regimes in most of the cases for which the unconditional CAPM can be rejected. Although the regime-switching conditional CAPM can still be rejected in many cases, the time-varying betas help explain portfolio returns much better than the unconditional CAPM, especially when market volatility is high.
Essays In Macrofinance
DOWNLOAD
Author : Josephine Marie Smith
language : en
Publisher:
Release Date : 2010
Essays In Macrofinance written by Josephine Marie Smith and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This dissertation covers issues related to macroeconomics and finance. As research disciplines, these two fields are often considered distinct in nature. However, my research has always considered them as interrelated. While many of the questions posed in macroeconomics and finance can be answered using the tools of their respective fields only, I find it useful to combine macroeconomics and finance when attacking questions related to business cycles and monetary policy. Ignoring the impact of movements in asset prices on the real economy and vice versa is plagued with issues, namely the inability to understand the causes of and propagation mechanisms within the business cycle. The two papers I present link macroeconomics, monetary policy, and the term structure of interest rates, and attempt to understand how risk premia embedded within the term structure can shape the economy and policy going forward.
Essays On The Term Structure Of Interest Rates And Monetary Policy
DOWNLOAD
Author : Magnus Dahlquist
language : en
Publisher:
Release Date : 1995
Essays On The Term Structure Of Interest Rates And Monetary Policy written by Magnus Dahlquist and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Interest rates categories.
Essays In Financial Economics
DOWNLOAD
Author : Robert Alan Jarrow
language : en
Publisher:
Release Date : 1979
Essays In Financial Economics written by Robert Alan Jarrow and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Interest and usury categories.
Essays On Money And Credit
DOWNLOAD
Author : Lars Meuller
language : en
Publisher:
Release Date : 2000
Essays On Money And Credit written by Lars Meuller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Monetary policy categories.
Essays On The Term Structure Of Interest Rates
DOWNLOAD
Author : Magnus Hyll
language : en
Publisher:
Release Date : 2000
Essays On The Term Structure Of Interest Rates written by Magnus Hyll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
The American Business Cycle
DOWNLOAD
Author : Robert J. Gordon
language : en
Publisher: University of Chicago Press
Release Date : 2007-11-01
The American Business Cycle written by Robert J. Gordon and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Business & Economics categories.
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.