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Macrofinance Model of the Czech Economy

Macrofinance Model of the Czech Economy »

Source: Macrofinance Model of the Czech Economy : Asset Allocation Perspective

Volume/Issue: 2012/78

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502305

Keywords: yield curve modeling, macrofinance modeling, vector auto-regression model, bond, bond yield, government bond, bond yields, correlation, Econometric Modeling: General,

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10 »

Source: The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-10

Volume/Issue: 2011/84

Series: IMF Working Papers

Author(s): Marco Rodriguez Waldo , and Carlos Medeiros

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226047

Keywords: Term structure of interest rates, yield curve, U.S. Treasury security yields, interest rates, macroeconomic variables, treasury securities, inflation, monetary policy, macroeconomic factors, Financial Markets and the Macroeconomy,

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U....

Official Demand for U.S. Debt

Official Demand for U.S. Debt »

Source: Official Demand for U.S. Debt : Implications for U.S. Real Interest Rates

Volume/Issue: 2014/66

Series: IMF Working Papers

Author(s): Iryna Kaminska , and Gabriele Zinna

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2014

ISBN: 9781475590081

Keywords: Term structure of interest rates, Large Scale Asset Purchases (LSAP), real yield curve, Bayesian estimation, bond, treasury bond, bond yields, bond prices, General,

By constructing and estimating a structural arbitrage-free model of demand pressures on US real rates, we find that recent purchases of US government debt securities by the Fed and foreign officials have significan...

Financing Growth in the WAEMU Through the Regional Securities Market

Financing Growth in the WAEMU Through the Regional Securities Market »

Source: Financing Growth in the WAEMU Through the Regional Securities Market : Past Successes and Current Challenges

Volume/Issue: 2012/249

Series: IMF Working Papers

Author(s): Mame Astou Diouf , and Francois Boutin-Dufresne

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 October 2012

ISBN: 9781475548204

Keywords: WAEMU, bond market, yield curve, principal component analysis, bond, securities market, t-bonds, Financial Markets and the Macroeconomy,

The West African Economic and Monetary Union (WAEMU) regional securities market saw increasing activity in the last decade, but still fell short of supplying sufficient long-term financing for growth-enhancing publ...

Monetary Transmission

Monetary Transmission »

Source: Monetary Transmission : Are Emerging Market and Low Income Countries Different?

Volume/Issue: 2015/239

Series: IMF Working Papers

Author(s): Ales Bulir , and Jan Vlcek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 November 2015

ISBN: 9781513554235

Keywords: Monetary transmission, yield curve, interest, inflation, market, Monetary Policy (Targets, Instruments, and Effects), Asset Pricing, All Countries,

We use two alternative representations of the yield curve to test the functioning of the interest rate transmission mechanism along the yield curve based on government paper in a sample of emerging market and low-i...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...

Yield Spread as a Leading Indicator of Real Economic Activity

Yield Spread as a Leading Indicator of Real Economic Activity »

Source: Yield Spread as a Leading Indicator of Real Economic Activity : An Empirical Exercise on the Indian Economy

Volume/Issue: 2002/91

Series: IMF Working Papers

Author(s): Rajan Goyal , and K. Kanagasabapathy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2002

ISBN: 9781451851526

Keywords: Yield curve, yield spread, leading indicators, working capital, probability, government securities, equation, forecasting, Prices, Business Fluctuations

There is growing evidence that the yield spread could serve as a leading indicator of real economic activity. This paper is an attempt to test this hypothesis for the Indian economy by relating movements in the yie...

Guidelines for Public Debt Management -- Amended

Guidelines for Public Debt Management -- Amended »

Source: Guidelines for Public Debt Management -- Amended

Volume/Issue: 2003/044

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2003

ISBN: 9781498328920

Keywords: Debt management, Fund, IBRD, Public debt, Financial crises, Access to international capital markets, Financial markets, Domestic debt, Balance of payments, PP

...

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment*

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment* »

Source: Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

ISBN: 9781513531861

Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...