Developments in Macro-Finance Yield Curve Modelling
Herausgeber: Chadha, Jagjit; Joyce, Michael; Durre, Alain
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Developments in Macro-Finance Yield Curve Modelling
Herausgeber: Chadha, Jagjit; Joyce, Michael; Durre, Alain
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State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Produktdetails
- Produktdetails
- Verlag: Cambridge University Press
- Seitenzahl: 570
- Erscheinungstermin: 21. August 2014
- Englisch
- Abmessung: 235mm x 157mm x 35mm
- Gewicht: 968g
- ISBN-13: 9781107044555
- ISBN-10: 1107044553
- Artikelnr.: 39504342
- Verlag: Cambridge University Press
- Seitenzahl: 570
- Erscheinungstermin: 21. August 2014
- Englisch
- Abmessung: 235mm x 157mm x 35mm
- Gewicht: 968g
- ISBN-13: 9781107044555
- ISBN-10: 1107044553
- Artikelnr.: 39504342
Foreword Paul Tucker; Preface; 1. Editors' introductory chapter and
overview J. S. Chadha, Alain C. J. Durré, M. A. S. Joyce and L. Sarno; Part
I. Keynote Addresses: 2. Is the long-term interest rate a policy victim, a
policy variable or a policy lodestar? Philip Turner; 3. Sovereign debt and
monetary policy in the euro area Alain C. J. Durré and Frank Smets; 4. The
Federal Reserve's response to the financial crisis: what it did and what it
should have done Daniel L. Thornton; 5. Tail risks and contract design from
a financial stability perspective Patrik Edsparr and Paul Fisher; Part II.
New Techniques: 6. Compound autoregressive processes and defaultable bond
pricing Alain Monfort and Jean-Paul Renne; 7. Yield curve dimensionality
when short rates are near the zero lower bound James M. Steeley; 8. The
intelligible factor model: international comparison and stylized facts Yvan
Lengwiler and Carlos Lenz; 9. Estimating the policy rule from money market
rates when target rate changes are lumpy Jean-Sébastien Fontaine; 10.
Developing a practical yield curve model: an odyssey M. A. H. Dempster,
Jack Evans and Elena Medova; Part III. Policy: 11. The repo and federal
funds markets before, during, and emerging from the financial crisis Morten
Bech, Elizabeth Klee and Viktors Stebunovs; 12. Taylor rule uncertainty:
believe it or not Andrea Buraschi, Andrea Carnelli and Paul Whelan; Part
IV. Estimating Inflation Risk: 13. Inflation compensation and inflation
risk premia in the euro area term structure of interest rates Juan Angel
Garcia and Thomas Werner; 14. The predictive content of the yield curve for
inflation Hans Dewachter, Leonardo Iania and Marco Lyrio; 15. Inflation
risk premium and the term structure of macroeconomic announcements in the
euro area and the United States Marcello Pericoli; Part V. Default Risk:
16. A term structure model for defaultable European sovereign bonds
Priscilla Burity, Marcelo Medeiros and Luciano Vereda; 17. Some
considerations on debt and interest rates Luigi Marattin, Paolo Paesani and
Simone Salotti; Index.
overview J. S. Chadha, Alain C. J. Durré, M. A. S. Joyce and L. Sarno; Part
I. Keynote Addresses: 2. Is the long-term interest rate a policy victim, a
policy variable or a policy lodestar? Philip Turner; 3. Sovereign debt and
monetary policy in the euro area Alain C. J. Durré and Frank Smets; 4. The
Federal Reserve's response to the financial crisis: what it did and what it
should have done Daniel L. Thornton; 5. Tail risks and contract design from
a financial stability perspective Patrik Edsparr and Paul Fisher; Part II.
New Techniques: 6. Compound autoregressive processes and defaultable bond
pricing Alain Monfort and Jean-Paul Renne; 7. Yield curve dimensionality
when short rates are near the zero lower bound James M. Steeley; 8. The
intelligible factor model: international comparison and stylized facts Yvan
Lengwiler and Carlos Lenz; 9. Estimating the policy rule from money market
rates when target rate changes are lumpy Jean-Sébastien Fontaine; 10.
Developing a practical yield curve model: an odyssey M. A. H. Dempster,
Jack Evans and Elena Medova; Part III. Policy: 11. The repo and federal
funds markets before, during, and emerging from the financial crisis Morten
Bech, Elizabeth Klee and Viktors Stebunovs; 12. Taylor rule uncertainty:
believe it or not Andrea Buraschi, Andrea Carnelli and Paul Whelan; Part
IV. Estimating Inflation Risk: 13. Inflation compensation and inflation
risk premia in the euro area term structure of interest rates Juan Angel
Garcia and Thomas Werner; 14. The predictive content of the yield curve for
inflation Hans Dewachter, Leonardo Iania and Marco Lyrio; 15. Inflation
risk premium and the term structure of macroeconomic announcements in the
euro area and the United States Marcello Pericoli; Part V. Default Risk:
16. A term structure model for defaultable European sovereign bonds
Priscilla Burity, Marcelo Medeiros and Luciano Vereda; 17. Some
considerations on debt and interest rates Luigi Marattin, Paolo Paesani and
Simone Salotti; Index.
Foreword Paul Tucker; Preface; 1. Editors' introductory chapter and
overview J. S. Chadha, Alain C. J. Durré, M. A. S. Joyce and L. Sarno; Part
I. Keynote Addresses: 2. Is the long-term interest rate a policy victim, a
policy variable or a policy lodestar? Philip Turner; 3. Sovereign debt and
monetary policy in the euro area Alain C. J. Durré and Frank Smets; 4. The
Federal Reserve's response to the financial crisis: what it did and what it
should have done Daniel L. Thornton; 5. Tail risks and contract design from
a financial stability perspective Patrik Edsparr and Paul Fisher; Part II.
New Techniques: 6. Compound autoregressive processes and defaultable bond
pricing Alain Monfort and Jean-Paul Renne; 7. Yield curve dimensionality
when short rates are near the zero lower bound James M. Steeley; 8. The
intelligible factor model: international comparison and stylized facts Yvan
Lengwiler and Carlos Lenz; 9. Estimating the policy rule from money market
rates when target rate changes are lumpy Jean-Sébastien Fontaine; 10.
Developing a practical yield curve model: an odyssey M. A. H. Dempster,
Jack Evans and Elena Medova; Part III. Policy: 11. The repo and federal
funds markets before, during, and emerging from the financial crisis Morten
Bech, Elizabeth Klee and Viktors Stebunovs; 12. Taylor rule uncertainty:
believe it or not Andrea Buraschi, Andrea Carnelli and Paul Whelan; Part
IV. Estimating Inflation Risk: 13. Inflation compensation and inflation
risk premia in the euro area term structure of interest rates Juan Angel
Garcia and Thomas Werner; 14. The predictive content of the yield curve for
inflation Hans Dewachter, Leonardo Iania and Marco Lyrio; 15. Inflation
risk premium and the term structure of macroeconomic announcements in the
euro area and the United States Marcello Pericoli; Part V. Default Risk:
16. A term structure model for defaultable European sovereign bonds
Priscilla Burity, Marcelo Medeiros and Luciano Vereda; 17. Some
considerations on debt and interest rates Luigi Marattin, Paolo Paesani and
Simone Salotti; Index.
overview J. S. Chadha, Alain C. J. Durré, M. A. S. Joyce and L. Sarno; Part
I. Keynote Addresses: 2. Is the long-term interest rate a policy victim, a
policy variable or a policy lodestar? Philip Turner; 3. Sovereign debt and
monetary policy in the euro area Alain C. J. Durré and Frank Smets; 4. The
Federal Reserve's response to the financial crisis: what it did and what it
should have done Daniel L. Thornton; 5. Tail risks and contract design from
a financial stability perspective Patrik Edsparr and Paul Fisher; Part II.
New Techniques: 6. Compound autoregressive processes and defaultable bond
pricing Alain Monfort and Jean-Paul Renne; 7. Yield curve dimensionality
when short rates are near the zero lower bound James M. Steeley; 8. The
intelligible factor model: international comparison and stylized facts Yvan
Lengwiler and Carlos Lenz; 9. Estimating the policy rule from money market
rates when target rate changes are lumpy Jean-Sébastien Fontaine; 10.
Developing a practical yield curve model: an odyssey M. A. H. Dempster,
Jack Evans and Elena Medova; Part III. Policy: 11. The repo and federal
funds markets before, during, and emerging from the financial crisis Morten
Bech, Elizabeth Klee and Viktors Stebunovs; 12. Taylor rule uncertainty:
believe it or not Andrea Buraschi, Andrea Carnelli and Paul Whelan; Part
IV. Estimating Inflation Risk: 13. Inflation compensation and inflation
risk premia in the euro area term structure of interest rates Juan Angel
Garcia and Thomas Werner; 14. The predictive content of the yield curve for
inflation Hans Dewachter, Leonardo Iania and Marco Lyrio; 15. Inflation
risk premium and the term structure of macroeconomic announcements in the
euro area and the United States Marcello Pericoli; Part V. Default Risk:
16. A term structure model for defaultable European sovereign bonds
Priscilla Burity, Marcelo Medeiros and Luciano Vereda; 17. Some
considerations on debt and interest rates Luigi Marattin, Paolo Paesani and
Simone Salotti; Index.