Term Structure of Interest Rates
Term Structure of Interest Rates

Author: Burton Gordon Malkiel

Publisher: Princeton University Press

Published: 2015-12-08

Total Pages: 294

ISBN-13: 1400879787

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Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

The Theory of Interest
The Theory of Interest

Author: Friedrich Lutz

Publisher: Routledge

Published: 2017-09-04

Total Pages: 457

ISBN-13: 1351472836

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This book contains a critical analysis of the main theories of interest which have been published since B÷hm-Bawerk. The last part of the book gives an account of the author's own theory.The first part, which deals with the history of doctrines, discusses the theories of B÷hm-Bawerk, Wicksell, Akerman, and Hayek, authors who proceed from the assumption of stationary state.The second group of authors consists of Walras, Irving Fisher, and F. H. Knight, who assume a progressive economy in which net saving and investment occur.The third group of authors are those who stress the monetary factor. The central figure of this part is Keynes; but other authors, among them Patinkin, are also dealt with. The theories on the term structure of interest rates are discussed in the last part of the history of doctrines. The author's own theory deals with the problem of the interest rate first in terms of partial equilibrium analysis, whereby particular attention is paid to the influence of the banking system on the structure of interest rates.In the final chapter the author proceeds to expound the interest theory in the framework of general equilibrium analysis. A mathematical appendix concludes this book.Friedrich A. Lutz (1901-1975) taught economics at Princeton University for fifteen years before becoming Professor of Economics at the University of Zurich. He was also the president of the Mont Pelerin Society from 1964-1967.

The Changing Behavior of the Term Structure of Interest Rates
The Changing Behavior of the Term Structure of Interest Rates

Author: N. Gregory Mankiw

Publisher:

Published: 1985

Total Pages: 48

ISBN-13:

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We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding ofthe Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation inthe term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.

Negative Interest Rates
Negative Interest Rates

Author: Luís Brandão Marques

Publisher: International Monetary Fund

Published: 2021-03-03

Total Pages: 84

ISBN-13: 1513570080

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This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.

Interest Rate Dynamics, Derivatives Pricing, and Risk Management
Interest Rate Dynamics, Derivatives Pricing, and Risk Management

Author: Lin Chen

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 158

ISBN-13: 364246825X

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There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data.

Term-Structure Models
Term-Structure Models

Author: Damir Filipovic

Publisher: Springer Science & Business Media

Published: 2009-07-28

Total Pages: 259

ISBN-13: 3540680152

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Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

General Theory Of Employment , Interest And Money
General Theory Of Employment , Interest And Money

Author: John Maynard Keynes

Publisher: Atlantic Publishers & Dist

Published: 2016-04

Total Pages: 410

ISBN-13: 9788126905911

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John Maynard Keynes is the great British economist of the twentieth century whose hugely influential work The General Theory of Employment, Interest and * is undoubtedly the century's most important book on economics--strongly influencing economic theory and practice, particularly with regard to the role of government in stimulating and regulating a nation's economic life. Keynes's work has undergone significant revaluation in recent years, and "Keynesian" views which have been widely defended for so long are now perceived as at odds with Keynes's own thinking. Recent scholarship and research has demonstrated considerable rivalry and controversy concerning the proper interpretation of Keynes's works, such that recourse to the original text is all the more important. Although considered by a few critics that the sentence structures of the book are quite incomprehensible and almost unbearable to read, the book is an essential reading for all those who desire a basic education in economics. The key to understanding Keynes is the notion that at particular times in the business cycle, an economy can become over-productive (or under-consumptive) and thus, a vicious spiral is begun that results in massive layoffs and cuts in production as businesses attempt to equilibrate aggregate supply and demand. Thus, full employment is only one of many or multiple macro equilibria. If an economy reaches an underemployment equilibrium, something is necessary to boost or stimulate demand to produce full employment. This something could be business investment but because of the logic and individualist nature of investment decisions, it is unlikely to rapidly restore full employment. Keynes logically seizes upon the public budget and government expenditures as the quickest way to restore full employment. Borrowing the * to finance the deficit from private households and businesses is a quick, direct way to restore full employment while at the same time, redirecting or siphoning