The Information Content of the Term Structure of Interest Rates
Author: Organisation de coopération et de développement économiques
Publisher:
Published: 1979
Total Pages: 34
ISBN-13:
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Author: Organisation de coopération et de développement économiques
Publisher:
Published: 1979
Total Pages: 34
ISBN-13:
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Publisher:
Published: 1989
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Rajna Gibson
Publisher: Now Publishers Inc
Published: 2010
Total Pages: 171
ISBN-13: 1601983727
DOWNLOAD EBOOKModeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: B. Ballis
Publisher:
Published: 1989
Total Pages: 32
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: Marco Rossi
Publisher:
Published: 1996
Total Pages: 64
ISBN-13:
DOWNLOAD EBOOKAuthor: David Meiselman
Publisher:
Published: 1962
Total Pages: 96
ISBN-13:
DOWNLOAD EBOOKAuthor: Erika Iulia Gulyás
Publisher:
Published: 2006
Total Pages: 206
ISBN-13:
DOWNLOAD EBOOKAuthor: Jin Yoo
Publisher:
Published: 1998
Total Pages: 116
ISBN-13: 9780591997347
DOWNLOAD EBOOKAuthor: Jin Yoo
Publisher:
Published: 1998
Total Pages: 220
ISBN-13:
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