Cargando…
Developments in macro-finance yield curve modelling /
State-of-the-art research from academics and policy-makers on the role of and challenges to monetary policy during the ongoing financial crisis.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
[2014]
|
| Colección: | Macroeconomic policy making.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Foreword
- Preface
- 1. Editors' introductory chapter and overview
- Part I. Keynote addresses. 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? ; 3. Sovereign debt and monetary policy in the euro area ; 4. The Federal Reserve's response to the financial crisis: what it did and what it should have done ; 5. Tail risks and contract design from a financial stability perspective
- Part II. New techniques. 6. Compound autoregressive processes and defaultable bond pricing ; 7. Yield curve dimensionality when short rates are near the zero lower bound ; 8. The intelligible factor model: international comparison and stylized facts ; 9. Estimating the policy rule from money market rates when target rate changes are lumpy ; 10. Developing a practical yield curve model: an odyssey
- Part III. Policy. 11. The repo and federal funds markets before, during, and emerging from the financial crisis ; 12. Taylor rule uncertainty: believe it or not
- Part IV. Estimating inflation risk. 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates ; 14. The predictive content of the yield curve for inflation ; 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States
- Part V. Default risk. 16. A term structure model for defaultable European sovereign bonds ; 17. Some considerations on debt and interest rates
- Index.