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The Yield Curve and Financial Risk Premia

Implications for Monetary Policy

Felix Geiger (Autor)

Buch | Softcover

XIII, 260 Seiten

2011 | 2011
Springer Berlin (Verlag)
978-3-642-21574-2 (ISBN)

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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.

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 Ris 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.

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 author's 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)

Erscheint lt. Verlag	17.8.2011
Reihe/Serie	Lecture Notes in Economics and Mathematical Systems
Zusatzinfo	XIII, 260 p. 31 illus.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	502 g
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
	Wirtschaft ► Volkswirtschaftslehre ► Wirtschaftspolitik
Schlagworte	Financial stability • Macro-finance models • monetary policy • systemic risk • Term Structure of Interest Rates
ISBN-10	3-642-21574-2 / 3642215742
ISBN-13	978-3-642-21574-2 / 9783642215742
Zustand	Neuware