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Developments in macro-finance yield curve modelling

Contributor(s): Publication details: Cambridge University Press 2016 LondonDescription: 545 pISBN:
  • 9781316623169
Subject(s): DDC classification:
  • 332.46 D3
Summary: Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists. • Proposes new methods for modelling the behaviour of interest rates and analyses how the recent financial crises have changed the role of central banks in managing monetary policy • Features reflections from top academics and central bankers on the possible limitations of existing models and how to remedy them • Provides a picture of the current state of macro-finance research and suggests areas where new research is likely to be most productive http://www.cambridge.org/catalogue/catalogue.asp?isbn=9781107044555
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Books Vikram Sarabhai Library Rack 18-B / Slot 683 (0 Floor, West Wing) Non-fiction General Stacks 332.46 D3 (Browse shelf(Opens below)) Available 194641

Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.

• Proposes new methods for modelling the behaviour of interest rates and analyses how the recent financial crises have changed the role of central banks in managing monetary policy • Features reflections from top academics and central bankers on the possible limitations of existing models and how to remedy them • Provides a picture of the current state of macro-finance research and suggests areas where new research is likely to be most productive


http://www.cambridge.org/catalogue/catalogue.asp?isbn=9781107044555

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