International Convergence of Capital Measurement and Capital Standards
Author:
Publisher: Lulu.com
Published: 2004
Total Pages: 294
ISBN-13: 9291316695
DOWNLOAD EBOOKPosts
Term Structure of Interest Rates
Author: Burton Gordon Malkiel
Publisher: Princeton University Press
Published: 2015-12-08
Total Pages: 294
ISBN-13: 1400879787
DOWNLOAD EBOOKCan 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.
Global Factors in the Term Structure of Interest Rates
Author: Mirko Abbritti
Publisher: International Monetary Fund
Published: 2013-11-05
Total Pages: 41
ISBN-13: 1475513313
DOWNLOAD EBOOKThis paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Zero Lower Bound Term Structure Modeling
Author: L. Krippner
Publisher: Springer
Published: 2015-01-05
Total Pages: 436
ISBN-13: 1137401826
DOWNLOAD EBOOKNominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
The Term Structure of Interest Rates
Author: David Meiselman
Publisher:
Published: 1962
Total Pages: 96
ISBN-13:
DOWNLOAD EBOOKNegative Interest Rates
Author: Luís Brandão Marques
Publisher: International Monetary Fund
Published: 2021-03-03
Total Pages: 84
ISBN-13: 1513570080
DOWNLOAD EBOOKThis 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.
A Macroeconomic Approach to the Term Premium
Author: Emanuel Kopp
Publisher: International Monetary Fund
Published: 2018-06-15
Total Pages: 22
ISBN-13: 1484363671
DOWNLOAD EBOOKIn recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Other People's Money
Author: Barry Eichengreen
Publisher: University of Chicago Press
Published: 2010-04-15
Total Pages: 306
ISBN-13: 0226194574
DOWNLOAD EBOOKRecent crises in emerging markets have been heavily driven by balance-sheet or net-worth effects. Episodes in countries as far-flung as Indonesia and Argentina have shown that exchange rate adjustments that would normally help to restore balance can be destabilizing, even catastrophic, for countries whose debts are denominated in foreign currencies. Many economists instinctually assume that developing countries allow their foreign debts to be denominated in dollars, yen, or euros because they simply don't know better. Presenting evidence that even emerging markets with strong policies and institutions experience this problem, Other People's Money recognizes that the situation must be attributed to more than ignorance. Instead, the contributors suggest that the problem is linked to the operation of international financial markets, which prevent countries from borrowing in their own currencies. A comprehensive analysis of the sources of this problem and its consequences, Other People's Money takes the study one step further, proposing a solution that would involve having the World Bank and regional development banks themselves borrow and lend in emerging market currencies.
The Theory of Interest
Author: Friedrich Lutz
Publisher: Routledge
Published: 2017-09-04
Total Pages: 457
ISBN-13: 1351472836
DOWNLOAD EBOOKThis 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.
Estimating and Interpreting Forward Interest Rates
Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
Published: 1994-09-01
Total Pages: 76
ISBN-13: 1451853750
DOWNLOAD EBOOKThe use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
