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Developments in macro-finance yield ...

Chadha, Jagjit.

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Developments in macro-finance yield curve modelling

Record Type:	Electronic resources : Monograph/item
Title/Author:	Developments in macro-finance yield curve modelling/ edited by Jagjit S. Chadha ... [et al.].
other author:	Chadha, Jagjit.
Published:	Cambridge :Cambridge University Press, : 2014.,
Description:	xxiv, 545 p. :ill., digital ;24 cm.
[NT 15003449]:	1. Editors' introductory chapter and overview / L. Sarno -- pt. I Keynote addresses -- 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? / Philip Turner -- 3. Sovereign debt and monetary policy in the euro area / Frank Smets -- 4. Federal Reserve's response to the financial crisis: what it did and what it should have done / Daniel L. Thornton -- 5. Tail risks and contract design from a financial stability perspective / Paul Fisher -- pt. II New techniques -- 6. Compound autoregressive processes and defaultable bond pricing / Jean-Paul Renne -- 7. Yield curve dimensionality when short rates are near the zero lower bound / James M. Steeley -- 8. intelligible factor model: international comparison and stylized facts / Carlos Lenz -- 9. Estimating the policy rule from money market rates when target rate changes are lumpy / Jean-Sebastien Fontaine -- 10. Developing a practical yield curve model: an odyssey / Elena Medova -- pt. III Policy -- 11. repo and federal funds markets before, during, and emerging from the financial crisis / Viktors Stebunovs -- 12. Taylor rule uncertainty: believe it or not / Paul Whelan -- pt. IV Estimating inflation risk -- 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates / Thomas Werner -- 14. predictive content of the yield curve for inflation / Marco Lyrio -- 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States / Marcello Pericoli -- pt. V Default risk -- 16. term structure model for defaultable European sovereign bonds / Luciano Vereda -- 17. Some considerations on debt and interest rates / Simone Salotti.
Subject:	Monetary policy. -
Online resource:	https://doi.org/10.1017/CBO9781107045149
ISBN:	9781107045149

Developments in macro-finance yield curve modelling
Developments in macro-finance yield curve modelling[electronic resource] /edited by Jagjit S. Chadha ... [et al.]. - Cambridge :Cambridge University Press,2014. - xxiv, 545 p. :ill., digital ;24 cm. - Macroeconomic policy making. - Macroeconomic policy making..

1. Editors' introductory chapter and overview / L. Sarno -- pt. I Keynote addresses -- 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? / Philip Turner -- 3. Sovereign debt and monetary policy in the euro area / Frank Smets -- 4. Federal Reserve's response to the financial crisis: what it did and what it should have done / Daniel L. Thornton -- 5. Tail risks and contract design from a financial stability perspective / Paul Fisher -- pt. II New techniques -- 6. Compound autoregressive processes and defaultable bond pricing / Jean-Paul Renne -- 7. Yield curve dimensionality when short rates are near the zero lower bound / James M. Steeley -- 8. intelligible factor model: international comparison and stylized facts / Carlos Lenz -- 9. Estimating the policy rule from money market rates when target rate changes are lumpy / Jean-Sebastien Fontaine -- 10. Developing a practical yield curve model: an odyssey / Elena Medova -- pt. III Policy -- 11. repo and federal funds markets before, during, and emerging from the financial crisis / Viktors Stebunovs -- 12. Taylor rule uncertainty: believe it or not / Paul Whelan -- pt. IV Estimating inflation risk -- 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates / Thomas Werner -- 14. predictive content of the yield curve for inflation / Marco Lyrio -- 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States / Marcello Pericoli -- pt. V Default risk -- 16. term structure model for defaultable European sovereign bonds / Luciano Vereda -- 17. Some considerations on debt and interest rates / Simone Salotti.

Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.

ISBN: 9781107045149Subjects--Topical Terms:

598111
Monetary policy.

LC Class. No.: HG230.3 / .D486 2014

Dewey Class. No.: 332.46

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505 0 $a 1. Editors' introductory chapter and overview / L. Sarno -- pt. I Keynote addresses -- 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? / Philip Turner -- 3. Sovereign debt and monetary policy in the euro area / Frank Smets -- 4. Federal Reserve's response to the financial crisis: what it did and what it should have done / Daniel L. Thornton -- 5. Tail risks and contract design from a financial stability perspective / Paul Fisher -- pt. II New techniques -- 6. Compound autoregressive processes and defaultable bond pricing / Jean-Paul Renne -- 7. Yield curve dimensionality when short rates are near the zero lower bound / James M. Steeley -- 8. intelligible factor model: international comparison and stylized facts / Carlos Lenz -- 9. Estimating the policy rule from money market rates when target rate changes are lumpy / Jean-Sebastien Fontaine -- 10. Developing a practical yield curve model: an odyssey / Elena Medova -- pt. III Policy -- 11. repo and federal funds markets before, during, and emerging from the financial crisis / Viktors Stebunovs -- 12. Taylor rule uncertainty: believe it or not / Paul Whelan -- pt. IV Estimating inflation risk -- 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates / Thomas Werner -- 14. predictive content of the yield curve for inflation / Marco Lyrio -- 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States / Marcello Pericoli -- pt. V Default risk -- 16. term structure model for defaultable European sovereign bonds / Luciano Vereda -- 17. Some considerations on debt and interest rates / Simone Salotti.
520 $a Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
650 0 $a Monetary policy. $3 598111
650 0 $a Macroeconomics. $3 648810
700 1 $a Chadha, Jagjit. $3 3230892
830 0 $a Macroeconomic policy making. $3 3230893
856 4 0 $u https://doi.org/10.1017/CBO9781107045149