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Evolving Macroeconomic Perceptions and the Term Structure of Interest Rates
Wei, Min - 2011
We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States...
Persistent link: https://www.econbiz.de/10013128863
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Term Structure Estimation with Survey Data on Interest Rate Forecasts
Kim, Don H. - 2006
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as...
Persistent link: https://www.econbiz.de/10012734818
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The Bond Market Term Premium : What is it, and How Can We Measure it?
Kim, Don H. - 2013
We review the concept of the term premium, examine alternative methods used to estimate it and discuss some of the challenges encountered in such efforts. We also explain how survey forecasts could be useful for providing an informal, model-free cross-check on simple regression-based forecasting...
Persistent link: https://www.econbiz.de/10013094779
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The bond market term premium: what is it, and how can we measure it?
Kim, Don H; Orphanides, Athanasios - In: BIS Quarterly Review (2007) June
We review the concept of the term premium, examine alternative methods used to estimate it and discuss some of the challenges encountered in such efforts. We also explain how survey forecasts could be useful for providing an informal, model-free cross-check on simple regression-based forecasting...
Persistent link: https://www.econbiz.de/10005063304
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Term Structure Estimation with Survey Data on Interest Rate Forecasts
Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...
Persistent link: https://www.econbiz.de/10005067482
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Evolving macroeconomic perceptions and the term structure of interest rates
Orphanides, Athanasios; Wei, Min - In: Journal of Economic Dynamics and Control 36 (2012) 2, pp. 239-254
We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States...
Persistent link: https://www.econbiz.de/10010574009
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New challenges in central banking : monetary policy governance and macroprudential issues
Gnan, Ernest; Masciandaro, Donato; Cerutti, Eugenio M.; … - New Challenges in Central Banking: Monetary Policy and …; … - 2017
Which are the new frontiers in central banking? Which things have changed in the aftermath of the financial, economic and sovereign debt crisis? These are questions raised frequently by central bankers, academics and interested observers alike. There are quite a few areas to cover in answering...
Persistent link: https://www.econbiz.de/10011754571
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Inflation Scares and Monetary Policy
Williams, John C.; Orphanides, Athanasios - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345644
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Inflation Uncertainty and Disagreement in Bond Risk Premia
D'Amico, Stefania - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10013040031
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10010441139