The yield curve and financial risk premia: implications for monetary policy

The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback betweenmonetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy andthe underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervisionof how to cope with evolving financial imbalances. Analyzes the macroeconomy and financial markets within an integrated macro-finance approach. Systematically works out macroeconomic factors that shape the yield curve and financial risk premia. Revisits monetary policy and financial stability against the background of the latest financial crisis. INDICE: Introduction. Theoretical Foundations for Policy Analysis: Financial Markets and Asset Pricing. The Theory of the Term Structure of Interest Rates. A Systematic View on Term Premia. The Term Structure of Interest Rates andMonetary Policy Rules: The Macro-Finance View of the Term Structure of Interest Rates. Monetary Policy in the Presence of Term Structure Effects. FinancialStability and Monetary Policy: Financial Ris and Boom-Bust Cycles. Conclusionand Outlook. Dynamic Optimization. State-Space Model and Maximum Likelihood Estimation. Recursive Nature of the Expectations Hypothersis. Derivation of Affine Coefficient Loadings. Optimal Monetary Policy.

• ISBN: 978-3-642-21574-2
• Editorial: Springer Berlin Heidelberg
• Encuadernacion: Rústica
• Páginas: 260
• Fecha Publicación: 30/09/2011
• Nº Volúmenes: 1
• Idioma: Inglés