The Yield curve and financial risk premia: implications for monetary policy
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2011
|
| Series: | Lecture notes in economics and mathematical systems
654 |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XIII, 314 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 3642215742 9783642215742 |
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Record in the Search Index
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| adam_text |
IMAGE 1
CONTENTS
1 INTRODUCTION 1
1.1 THE MACRO-FINANCE APPROACH TO THE ANALYSIS OF MONETARY POLICY AND
FINANCIAL RISK 1
1.2 PLAN OF THE BOOK 4
PART I THEORETICAL FOUNDATIONS FOR POLICY ANALYSIS
2 FINANCIAL MARKETS AND ASSET PRICING 9
2.1 ASSET PRICING THEORY 9
2.1.1 NO-ARBITRAGE AND THE STOCHASTIC DISCOUNT FACTOR 9 2.1.2 INDIVIDUAL
AGENT OPTIMALITY AND ASSET PRICING EQUATIONS. 14 2.1.3 REPRESENTATIVE
AGENT AND EQUILIBRIUM ASSET PRICING 18 2.1.4 ASSET RETURNS AND A FIRST
LOOK AT RISK 20
2.2 ASSET PRICING WITH UTILITY SPECIFICATIONS 33
2.2.1 AGENTS AND RISK AVERSION 33
2.2.2 POWER UTILITY AND GENERAL EQUILIBRIUM 36
2.2.3 PITFALLS AND THE CCAPM 38
3 THE THEORY OF THE TERM STRUCTURE OF INTEREST RATES 43
3. 1 BOND PRICING REPRESENTATION AND YIELDS 43
3.1.1 NOTATION AND PRICING RELATIONS 43
3.1.2 COUPON-BEARING BONDS AND DURATION 46
3.2 STYLIZED FACTS ON THE YIELD CURVE 49
3.2.1 MOMENTS OF THE US, GERMAN AND UK YIELD CURVE 49 3.2.2 COMMON
FACTORS DRIVING THE YIELD CURVE 51
3.3 FITTING ZERO-COUPON BONDS 56
3.4 UNDERSTANDING THE TERM STRUCTURE OF INTEREST RATES 63
3.4.1 A FORMAL REPRESENTATION OF THE EXPECTATIONS HYPOTHESIS AND
NO-ARBITRAGE 63
3.4.2 EMPIRICAL TESTS ON THE EXPECTATIONS HYPOTHESIS 68
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1011530384
DIGITALISIERT DURCH
IMAGE 2
VIII CONTENTS
3.5 AFFINE TERM STRUCTURE REPRESENTATIONS 73
3.5.1 GENERALSETUP 73
3.5.2 AN ESSENTIALLY AFFINE TERM STRUCTURE MODEL 77
4 A SYSTEMATIC VIEW ON TERM PREMIA 83
4. 1 FORMS AND SOURCES OF TERM PREMIA 83
4.2 EVIDENCE ON INTEREST-RATE RISK PREMIA 86
4.2.1 A TWO-FACTOR AFFINE TERM STRUCTURE MODEL 86
4.2.2 AN INTERNATIONAL COMPARISON OF ESSENTIALLY AFFINE RISK PREMIA 92
4.3 COMPENSATION FOR DEFAULT RISK 100
4.4 LIQUIDITY RISK AND ASSET PRICES 106
4.4.1 MICRO-FINANCE APPROACH TO LIQUIDITY 106
4.4.2 LIQUIDITY PREFERENCE AND UNCERTAINTY IN LIGHT OF FINANCIAL
INTERMEDIATION 112
PART II THE TERM STRUCTURE OF INTEREST RATES AND MONETARY POLICY RULES
5 THE MACRO-FINANCE VIEW OF THE TERM STRUCTURE OF INTEREST RATES .
117 5. 1 ON THE USE OF THE YIELD CURVE FOR MONETARY POLICY 117
5.1.1 THE INFORMATION CONTENT AND ITS INTERPRETATION 118 5.1.2 TERM
STRUCTURE REACTION TO MONETARY POLICY EVENTS 122 5.1.3 IMPLEMENTATION OF
MONETARY POLICY AND THE YIELD CURVE. 124 5.2 JOINT MODELING
STRATEGIES OF INTEREST RATES
AND THE MACROECONOMY 126
5.2.1 THE MACRO-FINANCE VIEW OF THE TERM STRUCTURE OF INTEREST RATES 126
5.2.2 VAR-BASED MODELS 129
5.2.3 SEMI-STRUCTURAL MACRO-FINANCE MODELS 131
5.2.4 ASSET PRICING IN A DSGE MODEL 132
5.3 TERM STRUCTURE IMPLICATIONS OF NEW-KEYNESIAN MACROECONOMICS 135
5.3.1 STYLIZED FACTS AND BENCHMARK RESULTS 135
5.3.2 AN EXTENSION: LEARNING, VOLATILITY AND PERSISTENCE 145
6 MONETARY POLICY IN THE PRESENCE OF TERM STRUCTURE EFFECTS 159 6.1 THE
TERM STRUCTURE OF TAYLOR COEFFICIENTS 159
6.2 INCORPORATING LONG-TERM INTEREST RATES INTO MONETARY POLICY ANALYSIS
164
6.2.1 DETERMINACY WITH BOND RATE TRANSMISSION 164
6.2.2 OPTIMAL SIMPLE RULES WITH TERM STRUCTURE INFORMATION 173 6.3
SELECTED FURTHER ISSUES ON INTEREST RATES AND THE CONDUCT OF MONETARY
POLICY 176
6.3.1 POLICY INERTIA: WHAT DOES THE TERM STRUCTURE HAVE TO SAY? 176
IMAGE 3
CONTENTS IX
6.3.2 MONETARY POLICY COMMUNICATION AND YIELD CURVE REFLECTIONS 182
6.4 DECOMPOSITION OF THE NOMINAL YIELD CURVE - BEIRS AND INFLATION RISK
185
PART III FINANCIAL STABILITY AND MONETARY POLICY
7 FINANCIAL RISK AND BOOM-BUST CYCLES 197
7.1 TRADITIONAL TRANSMISSION CHANNELS 197
7.2 THE RISK-TAKING CHANNEL OF MONETARY TRANSMISSION 201 7.2.1
CLASSIFICATION AND DEFINITION 201
7.2.2 RISK-TAKING, FINANCIAL INTERMEDIARIES AND THE ROLE OF THE
SHORT-TERM INTEREST RATE 203
7.2.3 EMPIRICAL EVIDENCE 209
7.3 THE IMPACT OF THE MONETARY POLICY STRATEGY ON RISK TOLERANCE 215
7.3.1 SHAPING RISK PREMIA IN MONETARY POLICY REGIMES 215 7.3.2 OPTIMAL
MONETARY POLICY AND BOND RISK PREMIA 219 7.3.3 RISK PREMIA IN THE
NEW-KEYNESIAN MODEL ECONOMY 232
7.4 CHALLENGES FOR MONETARY POLICY 235
7.4.1 THE DEBATE ON "TOO LOW FOR TOO LONG" IN THE PRE-CRISIS PERIOD
2002-2006 235
7.4.2 FINANCIAL INTERMEDIARIES, THE YIELD CURVE AND CREDIT BOOM-BUST
CYCLES 240
7.4.3 MACROPRUDENTIAL POLICY AND IMPLICATIONS FOR CENTRAL BANKING 246
7.4.4 ADDRESSING FINANCIAL INSTABILITY FROM A MONETARY POLICY
PERSPECTIVE 252
8 CONCLUSION AND OUTLOOK 265
A DYNAMIC OPTIMIZATION 269
B STATE-SPACE MODEL AND MAXIMUM LIKELIHOOD ESTIMATION 273
C RECURSIVE NATURE OF THE EXPECTATIONS HYPOTHESIS 277
D DERIVATION OF AFFINE COEFFICIENT LOADINGS 279
E OPTIMAL MONETARY POLICY 283
REFERENCES 289 |
| any_adam_object | 1 |
| author | Geiger, Felix |
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| dewey-ones | 339 - Macroeconomics and related topics |
| dewey-raw | 339.53 |
| dewey-search | 339.53 |
| dewey-sort | 3339.53 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Geiger, Felix Verfasser (DE-588)1014487323 aut The Yield curve and financial risk premia implications for monetary policy Felix Geiger Berlin [u.a.] Springer 2011 XIII, 314 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 654 Zugl.: Hohenheim, Univ., Diss., 2010 Zins (DE-588)4067845-3 gnd rswk-swf Makroökonomie (DE-588)4037174-8 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Risikoprämie (DE-588)4178227-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstrukturtheorie (DE-588)4117720-4 s Risikoprämie (DE-588)4178227-6 s Konjunkturzyklus (DE-588)4032134-4 s Geldpolitik (DE-588)4019902-2 s DE-604 Makroökonomie (DE-588)4037174-8 s Zins (DE-588)4067845-3 s Erscheint auch als Online-Ausgabe 978-3-642-21575-9 Lecture notes in economics and mathematical systems 654 (DE-604)BV000000036 654 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3766166&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022567682&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Geiger, Felix The Yield curve and financial risk premia implications for monetary policy Lecture notes in economics and mathematical systems Zins (DE-588)4067845-3 gnd Makroökonomie (DE-588)4037174-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Geldpolitik (DE-588)4019902-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Risikoprämie (DE-588)4178227-6 gnd |
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| title | The Yield curve and financial risk premia implications for monetary policy |
| title_auth | The Yield curve and financial risk premia implications for monetary policy |
| title_exact_search | The Yield curve and financial risk premia implications for monetary policy |
| title_full | The Yield curve and financial risk premia implications for monetary policy Felix Geiger |
| title_fullStr | The Yield curve and financial risk premia implications for monetary policy Felix Geiger |
| title_full_unstemmed | The Yield curve and financial risk premia implications for monetary policy Felix Geiger |
| title_short | The Yield curve and financial risk premia |
| title_sort | the yield curve and financial risk premia implications for monetary policy |
| title_sub | implications for monetary policy |
| topic | Zins (DE-588)4067845-3 gnd Makroökonomie (DE-588)4037174-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Geldpolitik (DE-588)4019902-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Risikoprämie (DE-588)4178227-6 gnd |
| topic_facet | Zins Makroökonomie Zinsstrukturtheorie Geldpolitik Konjunkturzyklus Risikoprämie Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3766166&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022567682&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT geigerfelix theyieldcurveandfinancialriskpremiaimplicationsformonetarypolicy |