The Yield Curve and Financial Risk Premia : Implications for Monetary Policy
by Felix Geiger
| Year of publication: |
2011
|
|---|---|
| Authors: | Geiger, Felix |
| Publisher: |
Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg |
| Subject: | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Geldpolitik | Monetary policy | Theorie | Theory | Zinsstrukturtheorie | Konjunkturzyklus |
| Description of contents: | Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Extent: | Online-Ressource (XIII, 260p. 31 illus, digital) |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references The Yield Curve and Financial Risk Premia; Preface; Contents; List of Figures; List of Tables; Chapter 1: Introduction; 1.1 The Macro-Finance Approach to the Analysis of Monetary Policy and Financial Risk; 1.2 Plan of the Book; Part I Theoretical Foundations for Policy Analysis; Chapter 2: Financial Markets and Asset Pricing; 2.1 Asset Pricing Theory; 2.1.1 No-Arbitrage and the Stochastic Discount Factor; 2.1.2 Individual Agent Optimality and Asset Pricing Equations; 2.1.3 Representative Agent and Equilibrium Asset Pricing; 2.1.4 Asset Returns and a First Look at Risk 2.1.4.1 Returns, Pricing Kernel and Risk2.1.4.2 A Log-Normal Representation; 2.1.4.3 Pricing Nominal Returns; 2.1.4.4 Valuation of Stock Prices; 2.1.4.5 Bond Prices and the SDF; 2.2 Asset Pricing with Utility Specifications; 2.2.1 Agents and Risk Aversion; 2.2.2 Power Utility and General Equilibrium; 2.2.3 Pitfalls and the CCAPM; Chapter 3: The Theory of the Term Structure of Interest Rates; 3.1 Bond Pricing Representation and Yields; 3.1.1 Notation and Pricing Relations; 3.1.2 Coupon-Bearing Bonds and Duration; 3.2 Stylized Facts on the Yield Curve 3.2.1 Moments of the US, German and UK Yield Curve3.2.2 Common Factors Driving the Yield Curve; 3.3 Fitting Zero-Coupon Bonds; 3.4 Understanding the Term Structure of Interest Rates; 3.4.1 A Formal Representation of the Expectations Hypothesis and No-Arbitrage; 3.4.2 Empirical Tests on the Expectations Hypothesis; 3.5 Affine Term Structure Representations; 3.5.1 General Setup; 3.5.2 An Essentially Affine Term Structure Model; Chapter 4: A Systematic View on Term Premia; 4.1 Forms and Sources of Term Premia; 4.2 Evidence on Interest-Rate Risk Premia 4.2.1 A Two-Factor Affine Term Structure Model4.2.2 An International Comparison of Essentially Affine Risk Premia; 4.3 Compensation for Default Risk; 4.4 Liquidity Risk and Asset Prices; 4.4.1 Micro-Finance Approach to Liquidity; 4.4.2 Liquidity Preference and Uncertainty in Light of Financial Intermediation; Part II The Term Structure of Interest Rates and Monetary Policy Rules; Chapter 5: The Macro-Finance View of the Term Structure of Interest Rates; 5.1 On the Use of the Yield Curve for Monetary Policy; 5.1.1 The Information Content and Its Interpretation 5.1.2 Term Structure Reaction to Monetary Policy Events5.1.3 Implementation of Monetary Policy and the Yield Curve; 5.2 Joint Modeling Strategies of Interest Ratesand the Macroeconomy; 5.2.1 The Macro-Finance View of the Term Structure of Interest Rates; 5.2.2 VAR-Based Models; 5.2.3 Semi-Structural Macro-Finance Models; 5.2.4 Asset Pricing in a DSGE Model; 5.3 Term Structure Implications of New-KeynesianMacroeconomics; 5.3.1 Stylized Facts and Benchmark Results; 5.3.2 An Extension: Learning, Volatility and Persistence; Chapter 6: Monetary Policy in the Presence of Term Structure Effects 6.1 The Term Structure of Taylor Coefficients |
| ISBN: | 978-3-642-21575-9 ; 978-3-642-21574-2 |
| Other identifiers: | 10.1007/978-3-642-21575-9 [DOI] |
| Classification: | Methoden und Techniken der Betriebswirtschaft ; Numerische Mathematik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014015461