The Rational Expectations Theory Of The Term Structure Of Interest Rates Once Again
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The Rational Expectations Theory Of The Term Structure Of Interest Rates Once Again
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Author : H. S. Peter Stockman
language : en
Publisher:
Release Date : 1990*
The Rational Expectations Theory Of The Term Structure Of Interest Rates Once Again written by H. S. Peter Stockman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990* with categories.
Tests Of The Rational Expectations Theory Of The Term Structure Of Interest Rates
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Author : Showwu Li
language : en
Publisher:
Release Date : 1988
Tests Of The Rational Expectations Theory Of The Term Structure Of Interest Rates written by Showwu Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Interest rates categories.
New Evidence On The Rational Expectations Theory Of The Term Structure
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Author : Leonardo Leiderman
language : en
Publisher:
Release Date : 1983
New Evidence On The Rational Expectations Theory Of The Term Structure written by Leonardo Leiderman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Econometrics categories.
Expectations Uncertainty And The Term Structure Of Interest Rates
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Author : J. C. Dodds
language : en
Publisher:
Release Date : 1974
Expectations Uncertainty And The Term Structure Of Interest Rates written by J. C. Dodds and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with Business & Economics categories.
The Changing Behavior Of The Term Structure Of Interest Rates
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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 1985
The Changing Behavior Of The Term Structure Of Interest Rates written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Interest rates categories.
We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy
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Author : María Isabel Martínez Serna
language : en
Publisher:
Release Date : 2000
The Expectations Theory Of The Term Structure Of Interest Rates And Monetary Policy written by María Isabel Martínez Serna 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 disparate evidence obtained by the empirical literature of the expectations theory of the term structure of interest rates has been interpreted in different ways. One explanation stems from the findings of Mankiw and Miron (1986) who observed that the term spread in the U.S. had substantial predictive power in line with the expectations theory before the founding of the Federal Reserve in 1914. Afterwards, the Fed's commitment to stabilising interest rates caused changes in short rates to become unpredictable on the basis of the spread. Consequently, these authors argue that monetary policy regime, and the extent to which it involves smoothing interest rates, determines the performance of the expectations theory.The argument of Mankiw and Miron has been extended and formalised by McCallum (1994), who develops a model of the interaction between the expectations theory, a time-varying autoregressive term premium, and an interest rate smoothing monetary policy combined with the use of the spread as an indicator. Kugler (1994) and Boero and Torricelli (1998) derive an exact solution to the McCallum model. Nevertheless, both of them limit their theoretical contribution to the case of one-period short rate. These two articles, together with Hsu and Kugler (1997), constitute the empirical applications of the model. All three conclude that the model is able to explain the results from standard tests of the expectations theory. The present research is intended to complete the existing theoretical and empirical literature about the McCallum model. Thus, we derive a generalisation of the exact solution of the model for any pair of maturities and, on the basis of the derived solution, we test the McCallum model for a wider range of maturities (all the above cited studies only use 1-month and 3-month interest rates) and for the Spanish term structure, to which the model has not yet been applied.
The Term Structure Of Interest Rates
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Author : David Meiselman
language : en
Publisher:
Release Date : 1962
The Term Structure Of Interest Rates written by David Meiselman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1962 with Business & Economics categories.
A Rational Expectations Approach To Macroeconometrics
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Author : Frederic S. Mishkin
language : en
Publisher: University of Chicago Press
Release Date : 2007-11-01
A Rational Expectations Approach To Macroeconometrics written by Frederic S. Mishkin 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.
A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Rational Expectations And Economic Policy
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Author : Stanley Fischer
language : en
Publisher: University of Chicago Press
Release Date : 2008-04-15
Rational Expectations And Economic Policy written by Stanley Fischer 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 2008-04-15 with Business & Economics categories.
"Several areas in economics today have unprecedented significance and vitality. Most people would agree that stabilization policy ranks with the highest of these. Continuing inflation and periodic serious acceleration of inflation combined with high and secularly rising unemployment combine to give the area high priority. This book brings us up to date on an extremely lively discussion involving the role of expectations, and more particularly rational expectations, in the conduct of stabilization policy. . . . Anyone interested in the role of government in economics should read this important book."—C. Glyn Williams, The Wall Street Review of Books "This is a most timely and valuable contribution. . . . The contributors and commentators are highly distinguished and the editor has usefully collated comments and the ensuing discussion. Unusually for a conference proceedings the book is well indexed and it is also replete with numerous and up-to-date references. . . . This is the first serious book to examine the rational expectations thesis in any depth, and it will prove invaluable to anyone involved with macroeconomic policy generally and with monetary economics in particular."—G. K. Shaw, The Economic Journal
Rational Expectations And Inflation
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Author : Thomas J. Sargent
language : en
Publisher: Princeton University Press
Release Date : 2013-05-05
Rational Expectations And Inflation written by Thomas J. Sargent 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 2013-05-05 with Business & Economics categories.
A fully expanded edition of the Nobel Prize–winning economist's classic book This collection of essays uses the lens of rational expectations theory to examine how governments anticipate and plan for inflation, and provides insight into the pioneering research for which Thomas Sargent was awarded the 2011 Nobel Prize in economics. Rational expectations theory is based on the simple premise that people will use all the information available to them in making economic decisions, yet applying the theory to macroeconomics and econometrics is technically demanding. Here, Sargent engages with practical problems in economics in a less formal, noneconometric way, demonstrating how rational expectations can satisfactorily interpret a range of historical and contemporary events. He focuses on periods of actual or threatened depreciation in the value of a nation's currency. Drawing on historical attempts to counter inflation, from the French Revolution and the aftermath of World War I to the economic policies of Margaret Thatcher and Ronald Reagan, Sargent finds that there is no purely monetary cure for inflation; rather, monetary and fiscal policies must be coordinated. This fully expanded edition of Rational Expectations and Inflation includes Sargent's 2011 Nobel lecture, "United States Then, Europe Now." It also features new articles on the macroeconomics of the French Revolution and government budget deficits.