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Developments in macro-finance yield curve modelling / edited by Jagjit S. Chadha, Alain Durré, Michael A.S. Joyce, Lucio Sarno.

Contributor(s): Material type: TextTextSeries: Macroeconomic policy makingPublisher: Cambridge : Cambridge University Press, [2014]Description: 1 online resource (xxiv, 545 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781107694415 (electronic bk.)
  • 1107694418 (electronic bk.)
  • 9781107045149 (electronic bk.)
  • 1107045142 (electronic bk.)
  • 9781107598843 (electronic bk.)
  • 1107598842 (electronic bk.)
Subject(s): Genre/Form: Additional physical formats: Print version:: Developments in macro-finance yield curve modellingDDC classification:
  • 332.4/6 23
LOC classification:
  • HG230.3 .D48 2014eb
Online resources:
Contents:
Foreword -- Preface -- 1. Editors' introductory chapter and overview -- Part I. Keynote addresses. 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? ; 3. Sovereign debt and monetary policy in the euro area ; 4. The Federal Reserve's response to the financial crisis: what it did and what it should have done ; 5. Tail risks and contract design from a financial stability perspective -- Part II. New techniques. 6. Compound autoregressive processes and defaultable bond pricing ; 7. Yield curve dimensionality when short rates are near the zero lower bound ; 8. The intelligible factor model: international comparison and stylized facts ; 9. Estimating the policy rule from money market rates when target rate changes are lumpy ; 10. Developing a practical yield curve model: an odyssey -- Part III. Policy. 11. The repo and federal funds markets before, during, and emerging from the financial crisis ; 12. Taylor rule uncertainty: believe it or not -- Part IV. Estimating inflation risk. 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates ; 14. The predictive content of the yield curve for inflation ; 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States -- Part V. Default risk. 16. A term structure model for defaultable European sovereign bonds ; 17. Some considerations on debt and interest rates -- Index.
Summary: State-of-the-art research from academics and policy-makers on the role of and challenges to monetary policy during the ongoing financial crisis.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Description based on print version record.

Foreword -- Preface -- 1. Editors' introductory chapter and overview -- Part I. Keynote addresses. 2. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? ; 3. Sovereign debt and monetary policy in the euro area ; 4. The Federal Reserve's response to the financial crisis: what it did and what it should have done ; 5. Tail risks and contract design from a financial stability perspective -- Part II. New techniques. 6. Compound autoregressive processes and defaultable bond pricing ; 7. Yield curve dimensionality when short rates are near the zero lower bound ; 8. The intelligible factor model: international comparison and stylized facts ; 9. Estimating the policy rule from money market rates when target rate changes are lumpy ; 10. Developing a practical yield curve model: an odyssey -- Part III. Policy. 11. The repo and federal funds markets before, during, and emerging from the financial crisis ; 12. Taylor rule uncertainty: believe it or not -- Part IV. Estimating inflation risk. 13. Inflation compensation and inflation risk premia in the euro area term structure of interest rates ; 14. The predictive content of the yield curve for inflation ; 15. Inflation risk premium and the term structure of macroeconomic announcements in the euro area and the United States -- Part V. Default risk. 16. A term structure model for defaultable European sovereign bonds ; 17. Some considerations on debt and interest rates -- Index.

Includes bibliographical references and index.

State-of-the-art research from academics and policy-makers on the role of and challenges to monetary policy during the ongoing financial crisis.

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