The Term Structure Of Real Rates And Expected Inflation
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The Term Structure Of Real Rates And Expected Inflation
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Author : Andrew Ang
language : en
Publisher:
Release Date : 2007
The Term Structure Of Real Rates And Expected Inflation written by Andrew Ang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Economic forecasting categories.
Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
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.
Money Interest Rates And Inflation
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Author : Frederic S. Mishkin
language : en
Publisher: Edward Elgar Publishing
Release Date : 1993
Money Interest Rates And Inflation written by Frederic S. Mishkin and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
Frederick Mishkin's work has been dedicated to understanding the relationship between money, interest rates and inflation. The 15 essays in this collection - unabashedly empirical and rigorous - include much of Professor Mishkin's most highly regarded work. Money, Interst Rates and Inflation offers a coherent and informative assessment of how monetary policy affects the economy. In addition, the essays in this collection illustrate how rational expectations econometrics can be used to answer basic questions in the monetary-macroeconomics and finance areas.
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.
A Multi Country Study Of The Information In The Term Structure About Future Inflation
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Author : Frederic S. Mishkin
language : en
Publisher:
Release Date : 1989
A Multi Country Study Of The Information In The Term Structure About Future Inflation written by Frederic S. Mishkin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Bank deposits categories.
This paper provides evidence on what the term structure (for maturities of twelve months or less) tells us about future inflation in ten OECD countries. The empirical results on the information in the term structure contrast with those that find that the level of interest rates help forecast the future level of inflation. Instead, they indicate that for the majority of the countries in the sample, the term structure does not contain a great deal of information about the future path of inflation. The results for France, the United Kingdom and Germany tell a different story, however. In these countries, the term structure contains a highly significant amount of information about future changes in inflation. The evidence in this paper suggests that central banks for most of the countries studied here should exercise some caution in using the term structure of interest rates as a guide for assessing inflationary pressures in the economy, as is currently under consideration in the U.S. central bank. Although there is significant information in the term structure about the future path of inflation for a few of the countries, this is not a result that is true in general. The empirical evidence does reveal, however, that for every country studied except the United Kingdom, there is a great deal of information in the term structure of nominal' interest rates about the term structure of real' interest rates. This finding is an extremely useful one because it suggests that for most countries researchers can examine observable data on the nominal term structure to provide them with information about the behavior of the real' term structure.
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.
Estimating Parameters Of Short Term Real Interest Rate Models
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Author : Mr.Vadim Khramov
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-17
Estimating Parameters Of Short Term Real Interest Rate Models written by Mr.Vadim Khramov 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 2013-10-17 with Business & Economics categories.
This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
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.
Deriving Agents Inflation Forecasts From The Term Structure Of Interest Rates
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Author : Christopher Ragan
language : en
Publisher:
Release Date : 1998
Deriving Agents Inflation Forecasts From The Term Structure Of Interest Rates written by Christopher Ragan 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.
In this paper, the author uses the term structure of nominal interest rates to construct estimates of agents' expectations of inflation over several medium-term forecast horizons. The Expectations Hypothesis is imposed together with the assumption that expected future real interest rates are given by current real rates. Under these maintained assumptions, it is possible to compare the nominal yields on two assets of different maturities and attribute the difference in nominal yields to differences in expected inflation over the two horizons (assuming a constant term premium). The results for the United States and Canada over the past several years suggest that there is a significant static element to agents' inflation expectations.
Short Term Movements Of Long Term Real Interest Rates
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Author : James A. Wilcox
language : en
Publisher:
Release Date : 1985
Short Term Movements Of Long Term Real Interest Rates written by James A. Wilcox 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.
The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected, real yields are associated with forecasts of higher income, with tigher monetary policy, and with positive aggregate supply shocks. Changes in the short-termgrowth rate of the monbetary base, which presumably capture the so-called liquidity effect on the short-terminterst rates, do not perceptibly alterlong-term real rates. Long-term real rates also appear to be unaffected by the rate of expected inflation. Comparison with nominal interest rate equiation estimates reveals that conclusions about the effect of all variables are extremely sensitive to the choice of a proxy for expected long-term inflation.