The Dynamics Of The Shape Of The Yield Curve
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Yield Curve Dynamics
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Author : Ronald J. Ryan
language : en
Publisher: Global Professional Publishi
Release Date : 1997
Yield Curve Dynamics written by Ronald J. Ryan and has been published by Global Professional Publishi this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
� Invaluable to financial professionals � Breakthrough that examines both theory and practical solutions Examines both the advanced theory and practice of these techniques. Topics include: single- and multi-factor models; applying yield-curve modeling to risk management; forecasting short-term interest rates; unique yield-curve volatility; and trading strategies.
Yield Curve Dynamics
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Author : Ronald J. Ruan
language : en
Publisher:
Release Date : 1997
Yield Curve Dynamics written by Ronald J. Ruan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Interest rates categories.
Yield Curve Modeling And Forecasting
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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.
Analysing And Interpreting The Yield Curve
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2019-04-15
Analysing And Interpreting The Yield Curve written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-15 with Business & Economics categories.
Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
Yield Curve Dynamics And Spillovers In Central And Eastern European Countries
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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.
The Hand Book Of Yield Curve Dynamics
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Author : Ronald J.Ryan
language : en
Publisher:
Release Date :
The Hand Book Of Yield Curve Dynamics written by Ronald J.Ryan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Developments In Macro Finance Yield Curve Modelling
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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.
Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
Equilibrium Yield Curve The Phillips Curve And Monetary Policy
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Author : Mitsuru Katagiri
language : en
Publisher: International Monetary Fund
Release Date : 2018-11-09
Equilibrium Yield Curve The Phillips Curve And Monetary Policy written by Mitsuru Katagiri 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 2018-11-09 with Business & Economics categories.
Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively correlated with cyclical income, thus enabling the model to replicate positive and sizable term premiums, along with the Phillips curve over business cycles. Quantitative analyses also emphasize the importance of monetary policy, predicting that a permanently low growth and low inflation environment would precipitate flatter yield curves due to constraints to monetary policy around the zero lower bound.
Yield Curve Analysis
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Author : Livingston G. Douglas
language : en
Publisher: Prentice Hall
Release Date : 1988
Yield Curve Analysis written by Livingston G. Douglas and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Bonds categories.
With their increasing complexity, the fixed-income markets have made greater demands upon their participants. To be successful -- in this era of heightened volatility, especially -- requires a firm foundation in the precepts underlying the behavior of fixed-income investments. This book answers that need by presenting a comprehensive analysis of the two primary concepts: risk and return. Its four major sections develop and apply these concepts clearly and progressively, with outline and summary aids to enhance understanding and ample illustrations to reinforce the explanations.
Reverse Engineering The Yield Curve
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Author : David K. Backus
language : en
Publisher:
Release Date : 1994
Reverse Engineering The Yield Curve written by David K. Backus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Options (Finance). categories.
Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to them. The high-order dynamics of our estimated kernel help to explain why first-order, one-factor models of the term structure have had difficulty reconciling the shape of the yield curve with the persistence of the short rate. We use the estimated kernel to provide a new perspective on Hansen-Jagannathan bounds, the price of risk, and the pricing of bond options and futures.