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...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2011, 2011
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| Edition: | 1st ed. 2011 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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