The Term Structure Of Interest Rates And Inflation
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The Term Structure Of Interest Rates And Inflation Forecast Targeting
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Author : Sylvester C. W. Eijffinger
language : en
Publisher:
Release Date : 2000
The Term Structure Of Interest Rates And Inflation Forecast Targeting written by Sylvester C. W. Eijffinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Anti-inflationary policies categories.
The Term Structure Of Interest Rates And Inflation
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Author : Sylvester C. W. Eijffinger
language : en
Publisher:
Release Date : 1999
The Term Structure Of Interest Rates And Inflation written by Sylvester C. W. Eijffinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
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.
Real Interest Rates Inflation And The Term Structure Of Interest Rates
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Author : Li-Hsueh Chen
language : en
Publisher:
Release Date : 1998
Real Interest Rates Inflation And The Term Structure Of Interest Rates written by Li-Hsueh Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
The Information Content Of The Term Structure Of Interest Rates About Future Inflation An Illustration Of The Importance Of Accounting For A Time Varying Real Interest Rate And Inflation Risk Premium
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Author : Christian Mose Nielsen
language : en
Publisher:
Release Date : 2007
The Information Content Of The Term Structure Of Interest Rates About Future Inflation An Illustration Of The Importance Of Accounting For A Time Varying Real Interest Rate And Inflation Risk Premium written by Christian Mose Nielsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
The Information Content Of The Term Structure Of Interest Rates
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Author : Frank Browne
language : en
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
Release Date : 1989
The Information Content Of The Term Structure Of Interest Rates written by Frank Browne and has been published by [Paris, France] : OECD, Department of Economics and Statistics this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Inflation (Finance) categories.
Beliefs About Inflation And The Term Structure Of Interest Rates
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Author : Philipp K. Illeditsch
language : en
Publisher:
Release Date : 2020
Beliefs About Inflation And The Term Structure Of Interest Rates written by Philipp K. Illeditsch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We study how differences in beliefs about expected inflation affect the nominal term structure when investors have “catching up with the Joneses” preferences. In the model, “catching up with the Joneses” preferences help to match the level and slope of yields as well as the level of yield volatilities. Disagreement about expected inflation helps to match the dynamics of yields and yield volatilities. Expected inflation disagreement induces a spillover effect to the real side of the economy with a strong impact on the real yield curve. When investors share common preferences over consumption relative to the habit with a coefficient of relative risk aversion greater than one, real average yields across all maturities rise as disagreement increases. Real yield volatilities also rise with disagreement. To develop intuition concerning the role of different beliefs between investors, we consider a case where the real and nominal term structures can be computed as weighted-averages of quadratic Gaussian term structure models. We numerically find increased disagreement about expected inflation between the investors increases nominal yields and nominal yield volatilities at all maturities. We find empirical support for these predictions.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2007
Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Banks and banking, Central categories.
"This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.
The Term Structure Od Interest Rates And Inflation Forecast Targeting
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Author : S. Eijffinger
language : en
Publisher:
Release Date : 2000
The Term Structure Od Interest Rates And Inflation Forecast Targeting written by S. Eijffinger 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 Term Structure Of Interest Rates And Investor Overreaction To Inflation
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Author : Herbert J. Smoluk
language : en
Publisher:
Release Date : 1998
The Term Structure Of Interest Rates And Investor Overreaction To Inflation written by Herbert J. Smoluk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Interest rates categories.