Essays on the Information Content of the Term Structure of Interest Rates
Author: Erika Iulia Gulyás
Publisher:
Published: 2006
Total Pages: 206
ISBN-13:
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Author: Erika Iulia Gulyás
Publisher:
Published: 2006
Total Pages: 206
ISBN-13:
DOWNLOAD EBOOKAuthor: Nisha Aroskar
Publisher:
Published: 2003
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAbstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
Published: 1989
Total Pages: 40
ISBN-13:
DOWNLOAD EBOOKAuthor: Robert Alan Jarrow
Publisher:
Published: 1979
Total Pages: 416
ISBN-13:
DOWNLOAD EBOOKAuthor: Wei Shi
Publisher:
Published: 1995
Total Pages: 198
ISBN-13:
DOWNLOAD EBOOKAuthor: Christian Mose Nielsen
Publisher:
Published: 2007
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKDuring 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.
Author: Lance Alexander Fisher
Publisher:
Published: 1988
Total Pages: 392
ISBN-13:
DOWNLOAD EBOOKAuthor: Shuo Cao
Publisher:
Published: 2016
Total Pages: 186
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DOWNLOAD EBOOKAuthor: Henrik Hasseltoft
Publisher:
Published: 2009
Total Pages: 184
ISBN-13: 9789172588059
DOWNLOAD EBOOKAuthor: Tong-hŏn Kim
Publisher:
Published: 2000
Total Pages: 166
ISBN-13:
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