Estimates Of Time Varying Term Premia For New Zealand And Australia

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Estimates Of Time Varying Term Premia For New Zealand And Australia

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Author : Michael Gordon
language : en
Publisher:
Release Date : 2003

Estimates Of Time Varying Term Premia For New Zealand And Australia written by Michael Gordon 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.

Estimates Of Time Varying Term Premia For New Zealand And Australia

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Author : Michael Gordon (finanza neozelandese)
language : en
Publisher:
Release Date : 2003

Estimates Of Time Varying Term Premia For New Zealand And Australia written by Michael Gordon (finanza neozelandese) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Reserve Bank Of New Zealand Bulletin

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Author :
language : en
Publisher:
Release Date : 2003

Reserve Bank Of New Zealand Bulletin written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Money categories.

A Macroeconomic Approach To The Term Premium

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Author : Emanuel Kopp
language : en
Publisher: International Monetary Fund
Release Date : 2018-06-15

A Macroeconomic Approach To The Term Premium written by Emanuel Kopp and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-15 with Business & Economics categories.

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.

Global Factors In The Term Structure Of Interest Rates

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Author : Mirko Abbritti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05

Global Factors In The Term Structure Of Interest Rates written by Mirko Abbritti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.

Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand

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Author : Dimitris Margaritis
language : en
Publisher:
Release Date : 1991

Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand written by Dimitris Margaritis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Interest rates categories.

Rapport Techniques

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Author :
language : en
Publisher:
Release Date : 1973

Rapport Techniques written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1973 with Banks and banking categories.

Policy Analysis And Forecasting In The World Economy

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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-19

Policy Analysis And Forecasting In The World Economy written by Francis Vitek and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-19 with Business & Economics categories.

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within and across economies. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.

Policy And Spillover Analysis In The World Economy

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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2014-10-30

Policy And Spillover Analysis In The World Economy written by Francis Vitek and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-30 with Business & Economics categories.

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Covered Interest Parity Deviations Macrofinancial Determinants

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Author : Mr.Eugenio M Cerutti
language : en
Publisher: International Monetary Fund
Release Date : 2019-01-16

Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-16 with Business & Economics categories.

For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).