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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
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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
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Financial Frictions and Credit Spreads
Pang, Ke - 2012
This paper uses the credit-friction model developed by C'urdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at...
Persistent link: https://www.econbiz.de/10013115635
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Financial Frictions and Credit Spreads
Pang, Ke - 2012
This paper uses the credit-friction model developed by Curdia and Woodford, in a series of papers, as the basis for attempting to mimic the behavior of credit spreads in moderate as well as in times of crisis. We are able to generate movements in representative credit spreads that are, at times,...
Persistent link: https://www.econbiz.de/10013115751
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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
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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
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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
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A Portfolio-Balance Approach to the Nominal Term Structure
King, Thomas B. - 2015
I examine how the maturity structure of outstanding government liabilities affects the nominal yield curve under a variety of assumptions about investor objectives. In the class of models I consider, equilibria are arbitrage free, expectations are rational, and assets are valued only for their...
Persistent link: https://www.econbiz.de/10013034572
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Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect
Burgess, Nicholas - 2021
Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...
Persistent link: https://www.econbiz.de/10013213650
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Inflation Expectations and Term Premium
Lukmanova, Elizaveta; Wouters, Rafael - 2022
Over the past decades, returns on the long-term financial assets as well as the long-run inflation expectations were persistently falling. Moreover, the natural rate was in decline dropping significantly in 2008. We build a model capable to replicate these empirical facts to study the role of...
Persistent link: https://www.econbiz.de/10013403256