[PDF] Global Factors In The Term Structure Of Interest Rates eBook

Author : Mirko Abbritti
Publisher : International Monetary Fund
Page : 41 pages
File Size : 33,23 MB
Release : 2013-11-05
Category : Business & Economics
ISBN : 1475513313

GET BOOK

This 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.

Author : Carlos I. Medeiros
Publisher : INTERNATIONAL MONETARY FUND
Page : 24 pages
File Size : 33,62 MB
Release : 2011-04-01
Category :
ISBN : 9781455226047

GET BOOK

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.

Author : Marco Rodriguez Waldo
Publisher :
Page : 24 pages
File Size : 23,20 MB
Release : 2011
Category :
ISBN :

GET BOOK

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the monetary policy response since the inception of the crisis in mid-2007. To this end, this paper relies on estimates of the term structure using Nelson-Siegel models that make use of unobservable or latent factors and macroeconomic variables. The paper concludes that both the latent factors and macroeconomic variables explain the dynamics of the term structure of interest rates, and the expectations of the impact on macroeconomic variables of changes in financial factors, and vice versa, have changed little with the financial crisis.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 64 pages
File Size : 20,95 MB
Release : 2010-11-01
Category : Business & Economics
ISBN : 1455209589

GET BOOK

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.

Author : Juan J. Dolado
Publisher : Emerald Group Publishing
Page : 188 pages
File Size : 20,91 MB
Release : 2022-09-21
Category : Business & Economics
ISBN : 1803828331

GET BOOK

Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Author : Mr.Ralph Chami
Publisher : International Monetary Fund
Page : 26 pages
File Size : 34,94 MB
Release : 2020-03-13
Category : Business & Economics
ISBN : 1513531867

GET BOOK

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.

Author : Luca Tiozzo Pezzoli
Publisher :
Page : 242 pages
File Size : 32,40 MB
Release : 2013
Category :
ISBN :

GET BOOK

The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solved in an innovative way. By estimating several sets of countries, we select two global (and three local) factors which are also useful to forecast macroeconomic variables in each considered economy.In addition, our method allows us to detect hidden factors in the international bond returns. They are not visible through a classical principal component analysis of expected bond returns but they are helpful to forecast inflation and industrial production. Keywords: International treasury yield curves, common and local factors, state-space models, EM algorithm, International bond risk premia, principal components.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 184 pages
File Size : 32,67 MB
Release : 2014-04-09
Category : Business & Economics
ISBN : 1484357469

GET BOOK

The April 2014 Global Financial Stability Report finds that, despite much progress, the global financial system remains in a transitional period with stability conditions far from normal. Advanced and emerging market economies alike need to make a successful shift from liquidity- to growth-driven markets, which will require a number of elements, including a normalization of U.S. monetary policy; financial rebalancing in emerging markets; further progress in the euro area integration; and continued implementation of “Abenomics” in Japan. This report also examines how changes in the investor base and financial deepening affect emerging market economies as well as looks at the issue of banks considered too important to fail, providing new estimates of the implicit funding subsidy these banks receive.