Predicting turning points in the interest rate cycle:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York u.a.
Garland
1994
|
| Schriftenreihe: | The financial sector of the American economy
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 133 S. graph. Darst. |
| ISBN: | 0815317778 |
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Datensatz im Suchindex
| _version_ | 1804124190901534720 |
|---|---|
| adam_text | Contents
Preface xi
List of Illustrations xiii
List of Tables xv
List of Abbreviations xvii
I. Introduction 3
Purpose and Scope 5
Research Methods 5
Delimitations 6
Limitations 6
Structure of the Book 7
II. The Folly of Forecasting 11
The Record of the Experts 12
Benchmark Measures 14
The Naive Approach 15
Expectations and the Term Structure 15
Expectations and the Futures Market 18
The Stumbling Block of Market Efficiency 18
The Forecaster s Paradox 19
The Fallacy of Omission 21
Toward a Redefinition of the Problem 21
III. The Interest Rate Cycle 29
Elements of a Cycle 30
Other Major Moves 30
I Know One When I See One 31
Shooting in the Dark 31
What is the Interest Rate Cycle? 32
The Composite Interest Rate Cycle Index 32
v/7
Construction of the Index 33
Standardization 35
Trend Elimination 36
Index Cumulation 36
Identification of Peaks and Troughs 37
In Search of a Method 38
The Guiding Light of Monetary Policy 39
Selection Rules and Results 41
Birds of a Feather 44
Summary 45
IV. Benchmark Turning Point Forecasts 53
The Naive Filter 54
Tuning in the Signal 54
Scoring the Benchmark Forecasts 56
A Broader Scope 62
; V) Selecting a Leading Indicator 67
Factors Affecting Interest Rates 67
The Wicksellian Theory of Loanable Funds 67
The Gibson Paradox and the Fisher Effect 68
The Inflation Interest Rate Link 70
Measuring the Theory 71
The Fisher Equations 72
The Loanable Funds Model 73
Selecting a Leading Indicator 75
How to Pick a Winner 76
The Leading Inflation Index 77
VI. Sequential Filter Turning Point Forecasts 85
In Search of a Signal 85
Sequential Analysis to the Rescue 88
Applying Neftci s Algorithm 89
The Framework 89
The Model 90
Application to the Interest Rate Cycle 90
Conditional Probability Distributions 91
Pick Your Poison 93
Empirical Results 94
Comparison with Benchmark Forecasts 99
viii
Asleep at the Switch? 99
Twice as Nice 99
State of Rates Recognition 100
The Current State of Rates 101
Keeping in Touch 102
, VII. Summary and Conclusions 107
The Model and the Test 108
Specific Findings 108
Conclusions 109
Suggestions for Further Research 109
Afterword 113
Bibliography 117
Index 129
be
|
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| author | Coons, James W. |
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| callnumber-first | H - Social Science |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.8/2 |
| dewey-sort | 3332.8 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| era | Geschichte 1953-1988 gnd |
| era_facet | Geschichte 1953-1988 |
| format | Book |
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| indexdate | 2024-07-09T17:41:44Z |
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| language | English |
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| physical | XVII, 133 S. graph. Darst. |
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| series2 | The financial sector of the American economy |
| spelling | Coons, James W. Verfasser aut Predicting turning points in the interest rate cycle James W. Coons New York u.a. Garland 1994 XVII, 133 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The financial sector of the American economy Geschichte 1953-1988 gnd rswk-swf Business cycles Interest rates Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Konjunkturdiagnose (DE-588)4139120-2 gnd rswk-swf Entwicklung (DE-588)4113450-3 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Zinsänderung (DE-588)4117718-6 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf USA (DE-588)4078704-7 g Zins (DE-588)4067845-3 s Entwicklung (DE-588)4113450-3 s Konjunkturzyklus (DE-588)4032134-4 s Geschichte 1953-1988 z DE-604 Konjunkturdiagnose (DE-588)4139120-2 s Prognose (DE-588)4047390-9 s Zinsänderung (DE-588)4117718-6 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006511805&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Coons, James W. Predicting turning points in the interest rate cycle Business cycles Interest rates Konjunkturzyklus (DE-588)4032134-4 gnd Zins (DE-588)4067845-3 gnd Konjunkturdiagnose (DE-588)4139120-2 gnd Entwicklung (DE-588)4113450-3 gnd Prognose (DE-588)4047390-9 gnd Zinsänderung (DE-588)4117718-6 gnd |
| subject_GND | (DE-588)4032134-4 (DE-588)4067845-3 (DE-588)4139120-2 (DE-588)4113450-3 (DE-588)4047390-9 (DE-588)4117718-6 (DE-588)4078704-7 |
| title | Predicting turning points in the interest rate cycle |
| title_auth | Predicting turning points in the interest rate cycle |
| title_exact_search | Predicting turning points in the interest rate cycle |
| title_full | Predicting turning points in the interest rate cycle James W. Coons |
| title_fullStr | Predicting turning points in the interest rate cycle James W. Coons |
| title_full_unstemmed | Predicting turning points in the interest rate cycle James W. Coons |
| title_short | Predicting turning points in the interest rate cycle |
| title_sort | predicting turning points in the interest rate cycle |
| topic | Business cycles Interest rates Konjunkturzyklus (DE-588)4032134-4 gnd Zins (DE-588)4067845-3 gnd Konjunkturdiagnose (DE-588)4139120-2 gnd Entwicklung (DE-588)4113450-3 gnd Prognose (DE-588)4047390-9 gnd Zinsänderung (DE-588)4117718-6 gnd |
| topic_facet | Business cycles Interest rates Konjunkturzyklus Zins Konjunkturdiagnose Entwicklung Prognose Zinsänderung USA |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006511805&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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