Term Structure Modeling, Forecasting and Implications for Monetary Policy - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Term Structure Modeling, Forecasting and Implications for Monetary Policy write by Chamadanai Marknual. This book was released on 2015. Term Structure Modeling, Forecasting and Implications for Monetary Policy available in PDF, EPUB and Kindle. This thesis examines the macro-finance-fiscal term structure model to incorporate fiscal instability variables and the term spread to understand the impact of the sovereign debt crisis on the evolution of the yield curve. My findings reveal financial instability increases the term spread associated with the expectation of higher sovereign default risk and consequently signals economic agents to reduce their spending, and thus worsens economic activity. Secondly, I also investigate whether the dynamic factor model with nonparametric factor loadings is more accurate relative to other term structure models by employing the dynamic semi-parametric factor model (DSFM). The empirical results indicate that a better in-sample fit is provided by the dynamic semiparametric factor model. However, the overall forecasting results are not encouraging. The dynamic semiparametric factor model provides accurate results in forecasting a persistent trend while the dynamic Nelson-Siegel model is more suitable to fit more volatile series. Thirdly,I use a Sheen-Trueck-Wang business conditions index for term structure modeling and forecasting. I find the cross-sectional yield provides guidance to anchor the yield in the next period. The prediction performance of the model is enhancedby using the index since it includes information on frequently released or more recent available data. The index is significantly related to the slope factor, which suggests the forward-looking information from the index inuences the adjustmentthe in the yield slope. Lastly, I examine the effectiveness of the US quantitative easing (QE) policy with a Bayesian structural vector auto regressive (B-SVAR)model with sign restrictions. I find the transmission mechanism of the Federal Reserve asset purchase effectively expands output and avert deflation through a compression in the yield spread.
Interest Rates
Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rates write by Yasuo Nishiyama. This book was released on 2012. Interest Rates available in PDF, EPUB and Kindle.
Interest Rates
Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Interest Rates write by Yasuo Nishiyama. This book was released on 2012. Interest Rates available in PDF, EPUB and Kindle. Interest rates are directly related to our lives. When interest rates are high, we hold less cash and more interest-bearing assets because we face a high opportunity cost of holding cash. Interest rates are directly related to the economy. When interest rates are high, there are not as many viable opportunities for firms to invest as when they are low, leading to a lower level of investment and a lower level of economic activities. Interest rates are directly related to the objectives of countries' monetary policy. This book, entitled "Interest Rates: Term Structure Models, Monetary Policy and Prediction" sheds light on selected aspects of this multifaceted role of interest rates. Topics discussed include term structure models; policy interest rates and the usefulness of interest rates as a predictor.
Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates
Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates write by Albert Lee Chun. This book was released on 2007. Essays on the Dynamic Interaction of Expectations, Monetary Policy and the Term Structure of Interest Rates available in PDF, EPUB and Kindle.
Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates
Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates write by Ralf Fendel. This book was released on 2007. Monetary Policy, Interest Rate Rules, and the Term Structure of Interest Rates available in PDF, EPUB and Kindle. Interest rate rules play an important role in the empirical analysis of monetary policy as well as in modern monetary theory. Besides giving a comprehensive insight into this line of research the study incorporates the term structure of interest rates into interest rate rules. This is performed analytically as well as empirically. In doing so, state of the art techniques of modern finance for the analysis of the term structure of interest rates are introduced into the macroeconomic concept of interest rate rules. The study implies that from the theoretical perspective term structure effects are an important extension of interest rate rules. From an empirical perspective it shows that including term structure effects in interest rate reaction functions improves our understanding of the interest rate setting of the Deutsche Bundesbank and the European Central Bank.
