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Yield Curve and Financial Risk Premia: Implications for Monetary Policy [Pehme köide]

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  • Formaat: Paperback / softback, 260 pages, kõrgus x laius: 235x155 mm, kaal: 504 g, 31 Illustrations, black and white; XIII, 260 p. 31 illus., 1 Paperback / softback
  • Sari: Lecture Notes in Economics and Mathematical Systems 654
  • Ilmumisaeg: 17-Aug-2011
  • Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • ISBN-10: 3642215742
  • ISBN-13: 9783642215742
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Yield Curve and Financial Risk Premia: Implications for Monetary PolicySuurem pilt
  • Formaat: Paperback / softback, 260 pages, kõrgus x laius: 235x155 mm, kaal: 504 g, 31 Illustrations, black and white; XIII, 260 p. 31 illus., 1 Paperback / softback
  • Sari: Lecture Notes in Economics and Mathematical Systems 654
  • Ilmumisaeg: 17-Aug-2011
  • Kirjastus: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • ISBN-10: 3642215742
  • ISBN-13: 9783642215742
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9783642215742.html
Märksõnad:
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-finance perspective, the book's approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.

Arvustused

From the reviews:

This book is a really interesting and valuable source for all those who are interested in broad and deep look to the financial side of economy. The structure of the book is clear and allows a reader to easily follow the authors considerations and conclusions. It is well written and in a clear way presents both theoretical and empirical approach to the topic. a useful source for all those determined to understand the reality beyond the mathematical models of term structure. (Malgorzata Doman, Zentralblatt MATH, Vol. 1247, 2012)

1 Introduction
1(8)
1.1 The Macro-Finance Approach to the Analysis of Monetary Policy and Financial Risk
1(3)
1.2 Plan of the Book
4(5)
Part I Theoretical Foundations for Policy Analysis
2 Financial Markets and Asset Pricing
9(34)
2.1 Asset Pricing Theory
9(24)
2.1.1 No-Arbitrage and the Stochastic Discount Factor
9(5)
2.1.2 Individual Agent Optimality and Asset Pricing Equations
14(4)
2.1.3 Representative Agent and Equilibrium Asset Pricing
18(2)
2.1.4 Asset Returns and a First Look at Risk
20(13)
2.2 Asset Pricing with Utility Specifications
33(10)
2.2.1 Agents and Risk Aversion
33(3)
2.2.2 Power Utility and General Equilibrium
36(2)
2.2.3 Pitfalls and the CCAPM
38(5)
3 The Theory of the Term Structure of Interest Rates
43(40)
3.1 Bond Pricing Representation and Yields
43(6)
3.1.1 Notation and Pricing Relations
43(3)
3.1.2 Coupon-Bearing Bonds and Duration
46(3)
3.2 Stylized Facts on the Yield Curve
49(7)
3.2.1 Moments of the US, German and UK Yield Curve
49(2)
3.2.2 Common Factors Driving the Yield Curve
51(5)
3.3 Fitting Zero-Coupon Bonds
56(7)
3.4 Understanding the Term Structure of Interest Rates
63(10)
3.4.1 A Formal Representation of the Expectations Hypothesis and No-Arbitrage
63(5)
3.4.2 Empirical Tests on the Expectations Hypothesis
68(5)
3.5 Affine Term Structure Representations
73(10)
3.5.1 General Setup
73(4)
3.5.2 An Essentially Affine Term Structure Model
77(6)
4 A Systematic View on Term Premia
83(34)
4.1 Forms and Sources of Term Premia
83(3)
4.2 Evidence on Interest-Rate Risk Premia
86(14)
4.2.1 A Two-Factor Affine Term Structure Model
86(6)
4.2.2 An International Comparison of Essentially Affine Risk Premia
92(8)
4.3 Compensation for Default Risk
100(6)
4.4 Liquidity Risk and Asset Prices
106(11)
4.4.1 Micro-Finance Approach to Liquidity
106(6)
4.4.2 Liquidity Preference and Uncertainty in Light of Financial Intermediation
112(5)
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(42)
5.1 On the Use of the Yield Curve for Monetary Policy
117(9)
5.1.1 The Information Content and Its Interpretation
118(4)
5.1.2 Term Structure Reaction to Monetary Policy Events
122(2)
5.1.3 Implementation of Monetary Policy and the Yield Curve
124(2)
5.2 Joint Modeling Strategies of Interest Rates and the Macroeconomy
126(9)
5.2.1 The Macro-Finance View of the Term Structure of Interest Rates
126(3)
5.2.2 VAR-Based Models
129(2)
5.2.3 Semi-Structural Macro-Finance Models
131(1)
5.2.4 Asset Pricing in a DSGE Model
132(3)
5.3 Term Structure Implications of New-Keynesian Macroeconomics
135(24)
5.3.1 Stylized Facts and Benchmark Results
135(10)
5.3.2 An Extension: Learning, Volatility and Persistence
145(14)
6 Monetary Policy in the Presence of Term Structure Effects
159(38)
6.1 The Term Structure of Taylor Coefficients
159(5)
6.2 Incorporating Long-Term Interest Rates into Monetary Policy Analysis
164(12)
6.2.1 Determinacy with Bond Rate Transmission
164(9)
6.2.2 Optimal Simple Rules with Term Structure Information
173(3)
6.3 Selected Further Issues on Interest Rates and the Conduct of Monetary Policy
176(9)
6.3.1 Policy Inertia: What Does the Term Structure have to Say?
176(6)
6.3.2 Monetary Policy Communication and Yield Curve Reflections
182(3)
6.4 Decomposition of the Nominal Yield Curve --- BEIRs and Inflation Risk
185(12)
Part III Financial Stability and Monetary Policy
7 Financial Risk and Boom-Bust Cycles
197(68)
7.1 Traditional Transmission Channels
197(4)
7.2 The Risk-Taking Channel of Monetary Transmission
201(14)
7.2.1 Classification and Definition
201(2)
7.2.2 Risk-Taking, Financial Intermediaries and the Role of the Short-Term Interest Rate
203(6)
7.2.3 Empirical Evidence
209(6)
7.3 The Impact of the Monetary Policy Strategy on Risk Tolerance
215(20)
7.3.1 Shaping Risk Premia in Monetary Policy Regimes
215(4)
7.3.2 Optimal Monetary Policy and Bond Risk Premia
219(13)
7.3.3 Risk Premia in the New-Keynesian Model Economy
232(3)
7.4 Challenges for Monetary Policy
235(30)
7.4.1 The Debate on "Too Low for Too Long" in the Pre-Crisis Period 2002-2006
235(5)
7.4.2 Financial Intermediaries, the Yield Curve and Credit Boom-Bust Cycles
240(6)
7.4.3 Macroprudential Policy and Implications for Central Banking
246(6)
7.4.4 Addressing Financial Instability from a Monetary Policy Perspective
252(13)
8 Conclusion and Outlook
265(4)
A Dynamic Optimization 269(4)
B State-Space Model and Maximum Likelihood Estimation 273(4)
C Recursive Nature of the Expectations Hypothesis 277(2)
D Derivation of Affine Coefficient Loadings 279(4)
E Optimal Monetary Policy 283(6)
References 289
Felix Geiger is currently working as research and teaching assistant at the Department of Economics, University of Hohenheim. His research spans a wide range of topics including the linkages between financial markets and monetary policy, banking systems, heterogeneous agent models, as well as economic policy coordination within currency unions.