The Yield Curve and Financial Risk Premia (eBook)

Implications for Monetary Policy

Felix Geiger (Autor)

eBook Download: PDF

2011 | 2011
XIII, 260 Seiten
Springer Berlin (Verlag)
978-3-642-21575-9 (ISBN)

Infos

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.

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.

Inhalt

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.

Produkt-Details

• Erscheint lt. Verlag: 17.8.2011
• Reihe/Serie: Lecture Notes in Economics and Mathematical Systems
• Reihe/Serie: Lecture Notes in Economics and Mathematical Systems
• Zusatzinfo: XIII, 260 p. 31 illus.
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Sozialwissenschaften ► Politik / Verwaltung
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Financial stability • Macro-finance models • monetary policy • systemic risk • Term Structure of Interest Rates
• ISBN-10: 3-642-21575-0 / 3642215750
• ISBN-13: 978-3-642-21575-9 / 9783642215759