Global Yield Curve Dynamics And Interactions
DOWNLOAD
Download Global Yield Curve Dynamics And Interactions PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Global Yield Curve Dynamics And Interactions 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
Global Yield Curve Dynamics And Interactions
DOWNLOAD
Author : Francis X. Diebold
language : en
Publisher:
Release Date : 2007
Global Yield Curve Dynamics And Interactions written by Francis X. Diebold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Bonds categories.
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
Global Yield Curve Dynamics And Interactions
DOWNLOAD
Author : Francis X. Diebold
language : en
Publisher:
Release Date : 2009
Global Yield Curve Dynamics And Interactions written by Francis X. Diebold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
Yield Curve Dynamics And Spillovers In Central And Eastern European Countries
DOWNLOAD
Author : Ms.Anita Tuladhar
language : en
Publisher: International Monetary Fund
Release Date : 2010-02-01
Yield Curve Dynamics And Spillovers In Central And Eastern European Countries written by Ms.Anita Tuladhar 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 2010-02-01 with Business & Economics categories.
This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004.
On The Estimation Of Term Structure Models And An Application To The United States
DOWNLOAD
Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-11-01
On The Estimation Of Term Structure Models And An Application To The United States written by International Monetary Fund 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 2010-11-01 with Business & Economics categories.
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Yield Curve Modeling And Forecasting
DOWNLOAD
Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15
Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
The Yield Curve And Financial Risk Premia
DOWNLOAD
Author : Felix Geiger
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-17
The Yield Curve And Financial Risk Premia written by Felix Geiger 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 2011-08-17 with Business & Economics categories.
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Developments In Macro Finance Yield Curve Modelling
DOWNLOAD
Author : Jagjit S. Chadha
language : en
Publisher: Cambridge University Press
Release Date : 2014-02-06
Developments In Macro Finance Yield Curve Modelling written by Jagjit S. Chadha and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-06 with Business & Economics categories.
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Global Factors In The Term Structure Of Interest Rates
DOWNLOAD
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.
Quantitative Global Bond Portfolio Management
DOWNLOAD
Author : Gueorgui S Konstantinov
language : en
Publisher: World Scientific
Release Date : 2023-10-06
Quantitative Global Bond Portfolio Management written by Gueorgui S Konstantinov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-10-06 with Business & Economics categories.
Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.
Riskfree Rate Dynamics
DOWNLOAD
Author : Michel van der Wel.
language : en
Publisher: Rozenberg Publishers
Release Date : 2008
Riskfree Rate Dynamics written by Michel van der Wel. and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.