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" Developments in macro-finance yield curve modelling / "
edited by Jagjit S. Chadha, Alain Durré, Michael A.S. Joyce, Lucio Sarno.
Document Type
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BL
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Record Number
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838896
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Title & Author
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Developments in macro-finance yield curve modelling /\ edited by Jagjit S. Chadha, Alain Durré, Michael A.S. Joyce, Lucio Sarno.
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Publication Statement
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Cambridge :: Cambridge University Press,, [2014]
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Series Statement
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Macroeconomic policy making
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Page. NO
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1 online resource (xxiv, 545 pages)
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ISBN
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1107045142
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: 1107597455
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: 1107598842
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: 1107671760
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: 1107694418
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: 1107702062
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: 1107703336
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: 1107704081
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: 1139894994
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: 1306497892
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: 9781107045149
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: 9781107597457
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: 9781107598843
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: 9781107671768
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: 9781107694415
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: 9781107702066
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: 9781107703339
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: 9781107704084
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: 9781139894999
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: 9781306497893
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1107044553
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9781107044555
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Bibliographies/Indexes
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Includes bibliographical references and index.
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Contents
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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.
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Abstract
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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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Subject
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Macroeconomics.
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Subject
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Monetary policy.
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Subject
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BUSINESS ECONOMICS-- Finance.
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Subject
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Macroeconomics.
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Subject
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Monetary policy.
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Dewey Classification
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332.4/6
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LC Classification
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HG230.3.D48 2014eb
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Added Entry
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Chadha, Jagjit
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Durré, Alain
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Joyce, Michael, (Michael Axel Stuart)
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Sarno, Lucio
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