Wentworth
Institute of Technology
The Yield Curve and Financial Risk Premia Implications for Monetary 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...
Saved in:
| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2011.
|
| Series: | Lecture notes in economics and mathematical systems ;
654. |
| Subjects: | |
| Online Access: |
Full text (Wentworth users only). |
Table of Contents:
- 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.