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Why Does the Yield Curve Predict Economic Activity? : Dissecting the Evidence for Germany and the United States

Smets, Frank; Tsatsaronis, Kostas - 2013

This paper investigates why the slope of the yield curve predicts future economic activity in Germany and the United … spread in that country. However, the main reason for the stronger leading indicator property in Germany is the positive … at lag four in Germany and almost nothing in the United States …

Persistent link: https://www.econbiz.de/10014224209

Applying a macro-finance yield curve to UK quantitative easing

Chadha, Jagjit; Waters, Alex - 2014

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of...

Persistent link: https://www.econbiz.de/10010472895

A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a "portfolio balance" mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010211019

The Effect of Monetary Policy on Credit Spreads

Cenesizoglu, Tolga - 2014

We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between...

Persistent link: https://www.econbiz.de/10013070170

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

Hamilton, James D. - 2016

This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse...

Persistent link: https://www.econbiz.de/10013008627

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Wu, Jing Cynthia - 2015

This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be...

Persistent link: https://www.econbiz.de/10013035103

Switching Monetary Policy Regimes and the Nominal Term Structure

Ferman, Marcelo - 2011

In this paper I propose a regime switching approach to explain why the US nominal yield curve has been on average steeper since the mid-1980's than during the Great Inflation of the 1970's. I show that, once the possibility of regime switches in the short-rate process is incorporated into...

Persistent link: https://www.econbiz.de/10013130049

Term Structure, Forecast Revision and the Signaling Channel of Monetary Policy

Zhang, Donghai - 2019

Monetary policy shocks affect interest rates at long horizons (10 years or more). Furthermore, the private sector's real GDP forecasts are revised upward in response to a monetary tightening. These facts challenge the prevailing theories in academic and policy circles. In this paper, I propose a...

Persistent link: https://www.econbiz.de/10012890145

Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

Ahokpossi, Calixte - 2016

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...

Persistent link: https://www.econbiz.de/10012977868

Central bank policy paths and market forward rates : a simple model

De Graeve, Ferre; Iversen, Jens - 2015

Increasingly many central banks announce likely paths for future policy rates. Recent experience suggest that market forward rates can differ substantially from those announced. Models commonly adopted in policy analysis ignore such differences. This paper studies a simple model that can capture...

Persistent link: https://www.econbiz.de/10011287505

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