The Yield Curve and Financial Risk Premia

The Yield Curve and Financial Risk Premia

4.11 - 1251 ratings - Source

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 booka€™s approach explicitly acknowledges the close feedback between monetary 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 and the 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 supervision of how to cope with evolving financial imbalances.NBER Working Papers 9419, National Bureau of Economic Research, Inc Giannoni MP, Woodford M(2003b) Optimal inflation ... International Economics and Economic Policy 4(4):331a€“346 Goodhart CAE (2008b) Liquidity risk management.

Title:The Yield Curve and Financial Risk Premia
Author:Felix Geiger
Publisher:Springer Science & Business Media - 2011-08-17


You Must CONTINUE and create a free account to access unlimited downloads & streaming