Developments in Macro-Finance Yield Curve Modelling (eBook, ePUB)

Redaktion: Chadha, Jagjit S.

• Format: ePub

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 6. Februar 2014
• Englisch
• ISBN-13: 9781107703339
• Artikelnr.: 52963984

Inhaltsangabe

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.