Monetary Policy Regimes And The Term Structure Of Interest Rates With Recursive Utility
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Author | : Hiroatsu Tanaka |
Publisher | : |
Total Pages | : 84 |
Release | : 2011 |
Genre | : |
ISBN | : 9781124718262 |
The estimation of the model suggests that the assumption of a discretion regime performs better than a commitment regime in terms of quantitatively fitting some salient features of the US data on the term structure and the business cycle during the Volcker-Greenspan-Bernanke era. The lack of policy credibility leads to volatile and persistent inflation, which generates volatile expected long-run inflation that is negatively correlated with future continuation values. This is perceived particularly risky by EZ nominal bond holders and results in upward sloping average nominal yields, long-term yield volatility and excess return predictability closer to the magnitude observed in the data while keeping the unconditional volatilities of consumption growth and inflation realistic.
Author | : Ruslan Bikbov |
Publisher | : |
Total Pages | : 50 |
Release | : 2008 |
Genre | : Interest rates |
ISBN | : |
Author | : Ralf Fendel |
Publisher | : Peter Lang Publishing |
Total Pages | : 216 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : |
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.
Author | : Shu Wu |
Publisher | : |
Total Pages | : 208 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Mr.William Lee |
Publisher | : International Monetary Fund |
Total Pages | : 30 |
Release | : 1994-10-01 |
Genre | : Business & Economics |
ISBN | : 145185465X |
This paper assesses the relative importance of alternative explanations for the rise in long-term interest rates in the United States from October 1993 to April 1994. Standard econometric models of the term structure are shown to have a structural break in the early 1980s. An important reason for this change in the traditional term structure relationship appears to be an increase in the responsiveness of long-term rates to changes in the stance of monetary policy. Augmented term structure models that explicitly incorporate the role of monetary policy in determining the level of long-term rates are then constructed. These models track variations in the long-term rate better than traditional term structure models, but still leave a significant fraction of the recent increase in long-term rates unexplained.
Author | : Jin Yoo |
Publisher | : |
Total Pages | : 220 |
Release | : 1998 |
Genre | : |
ISBN | : |
Author | : Tong-hŏn Kim |
Publisher | : |
Total Pages | : 166 |
Release | : 2000 |
Genre | : Business forecasting |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
In this paper I jointly derive the stochastic process of the price level, the inflation rate, the nominal and real term structures, as function of monetary, fiscal and technological parameters within a general equilibrium framework. The novelty of the present approach is given by the possibility of obtaining closed form solutions for all the variables and by the explicit design of fiscal policy as a crucial parameter in addition to monetary policy. Thus, as stated from FTPL, inflation is not uniquely a monetary phoenomenon, but also fiscal policy plays a crucial role in determining the position of the nominal spot curve and term structure of intererest rates. The risky factors of nominal and real term structures depend upon different factors, when the utility function is strongly separable in both output and real money balances. If not, monetary and fiscal parameters affect only nominal equilibrium. The principal realtionships derived of the model are then simulated for diffrent values of policy parameters. The main conclusion is that fiscal policy parameters play a crucial role in term structure patterns, as recently observed by the perfmance of nominal rates for some countries (like Italy, fore example) after having joined the EMU.
Author | : Jacob B. Michaelsen |
Publisher | : |
Total Pages | : 200 |
Release | : 1973 |
Genre | : Business & Economics |
ISBN | : |
Author | : Carlo A. Favero |
Publisher | : |
Total Pages | : 28 |
Release | : 2001 |
Genre | : Interest rates |
ISBN | : |