Author : Philip W. Lowe
Publisher :
Page : 35 pages
File Size : 49,3 MB
Release : 1992
Category : Inflation (Finance)
ISBN :
[PDF] The Term Structure Of Interest Rates Real Activity And Inflation eBook
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The Term Structure of Interest Rates and Inflation
Author : Sylvester C. W. Eijffinger
Publisher :
Page : pages
File Size : 14,15 MB
Release : 1999
Category :
ISBN :
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short-term interest rates to ultimate policy objectives. Therefore, short term interest rates in the central bank's forward looking monetary policy rule need to respond more strongly to the output gap and deviations of inflation from its target. Thus, in general the term structure implies a higher degree of policy activism. Next, we show that both the sensitivity of the term spread to economic fundamentals, and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. If the central bank becomes relatively less concerned about inflation stabilization the term spread becomes less sensitive to fundamentals, and the spread will be less successful in predicting real economic activity.
Real Interest Rates, Inflation and the Term Structure of Interest Rates
Author : Li-Hsueh Chen
Publisher :
Page : 248 pages
File Size : 22,85 MB
Release : 1998
Category :
ISBN :
The Information Content of the Term Structure of Interest Rates
Author : Frank Browne
Publisher : [Paris, France] : OECD, Department of Economics and Statistics
Page : 40 pages
File Size : 29,37 MB
Release : 1989
Category : Inflation (Finance)
ISBN :
The Term Structure of Interest Rates and Inflation Forecast Targeting
Author : Sylvester C. W. Eijffinger
Publisher :
Page : 48 pages
File Size : 33,71 MB
Release : 2000
Category : Anti-inflationary policies
ISBN :
The Cyclical Behavior of the Term Structure of Interest Rates
Author : Kenneth Jan Singleton
Publisher :
Page : 408 pages
File Size : 27,18 MB
Release : 1977
Category : Cycles
ISBN :
The Term Structure of Interest Rates and Its Role in Monetary Policy for the European Central Bank
Author : Arturo Estrella
Publisher :
Page : 41 pages
File Size : 26,11 MB
Release : 1995
Category : Banks and banking, Central
ISBN :
The Term Structure of Real Rates and Expected Inflation
Author : Andrew Ang
Publisher :
Page : 82 pages
File Size : 16,35 MB
Release : 2007
Category : Economic forecasting
ISBN :
Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
Stock Returns, Term Structure, Inflation and Real Activity
Author : Fabio Canova
Publisher :
Page : pages
File Size : 28,64 MB
Release : 2014
Category :
ISBN :
This paper analyzes the empirical interdependencies among asset returns, real activity and inflation from a multi-country and international point of view. We find that nominal stock returns are significantly related to inflation only in the U.S, that the U.S. term structure of interest rates predicts both domestic and foreign inflation rates while foreign term structures do not have this predictive power, and that innovations in inflation and exchange rates induce insignificant responses of real and financial variables. An interpretation of the dynamics and some policy implications of the results are provided.
The Term Structure of Interest Rates in a Simple Stochastic Growth Model
Author : David Kim
Publisher :
Page : 42 pages
File Size : 13,28 MB
Release : 1998
Category : Economic development
ISBN :