The Yield Curve and Financial Risk Premia Implications for Monetary Policy /

• Κύριος συγγραφέας: Geiger, Felix (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Σειρά: Lecture Notes in Economics and Mathematical Systems, 654
• Θέματα: Econometrics.; Macroeconomics.; Economic policy.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Economic Policy.

The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-fi...

Πίνακας περιεχομένων:

• Introduction. Theoretical Foundations for Policy Analysis: Financial Markets and Asset Pricing
• The Theory of the Term Structure of Interest Rates
• A Systematic View on Term Premia. The Term Structure of Interest Rates and Monetary Policy Rules: The Macro-Finance View of the Term Structure of Interest Rates
• Monetary Policy in the Presence of Term Structure Effects. Financial Stability and Monetary Policy: Financial Risk and Boom-Bust Cycles
• Conclusion and Outlook
• Dynamic Optimization
• State-Space Model and Maximum Likelihood Estimation
• Recursive Nature of the Expectations Hypothersis
• Derivation of Affine Coefficient Loadings
• Optimal Monetary Policy.