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Understanding Chinese Bond Yields and their Role in Monetary Policy

Understanding Chinese Bond Yields and their Role in Monetary Policy »

Source: Understanding Chinese Bond Yields and their Role in Monetary Policy

Volume/Issue: 2011/225

Series: IMF Working Papers

Author(s): Nathan Porter , and Nuno Cassola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463904937

Keywords: Term Structure of Interest Rates, bond, bonds, inflation, treasury bonds, Financial Markets and the Macroeconomy,

China's financial prices are informative enough for the PBC to introduce a monetary policy framework centered around interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and s...

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,...

Yield Curve Dynamics and Spillovers in Central and Eastern European Countries1

Yield Curve Dynamics and Spillovers in Central and Eastern European Countries1 »

Source: Yield Curve Dynamics and Spillovers in Central and Eastern European Countries

Volume/Issue: 2010/51

Series: IMF Working Papers

Author(s): Alexander Hoffmaister , Jorge Roldos , and Anita Tuladhar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451963328

Keywords: Term structure of interest rates, financial markets and the macroeconomy, VAR, inflation, correlation, monetary policy, correlations, monetary fund,

This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2...

On Brazil’s Term Structure

On Brazil’s Term Structure »

Source: On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions

Volume/Issue: 2011/113

Series: IMF Working Papers

Author(s): Rodrigo Cabral , Richard Munclinger , Luiz Alves , and Marco Rodriguez Waldo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261420

Keywords: Term structure models of interest rates, interest rates, yields on bonds, macroeconomic variables, central bank, macroeconomic factors, interest, Financial Markets and the Macroeconomy,

This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a soft...

A Macroeconomic Approach to the Term Premium

A Macroeconomic Approach to the Term Premium »

Source: A Macroeconomic Approach to the Term Premium

Volume/Issue: 2018/140

Series: IMF Working Papers

Author(s): Emanuel Kopp , and Peter Williams

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 June 2018

ISBN: 9781484362150

Keywords: United States, Western Hemisphere, term structure of interest rates, term premium, yield curve, State Space, General, Externalities, Asymmetric and Private Information

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to th...

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....

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Source: On the Estimation of Term Structure Models and An Application to the United States

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...

Monetary Transaction Costs and the Term Premium

Monetary Transaction Costs and the Term Premium »

Source: Monetary Transaction Costs and the Term Premium

Volume/Issue: 2013/85

Series: IMF Working Papers

Author(s): Raphael Espinoza , and Dimitrios P. Tsomocos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

ISBN: 9781484392331

Keywords: Liquidity, Cash-in-advance constraints, Term structure of interest rates, money supply, quantity theory of money, central bank, quantity theory, theory of money, Asset Pricing,

We show that, in a monetary equilibrium, trade and asset prices depend on both the supply of the liquidity by the Central Bank and the liquidity of assets and commodities. As a result, monetary aggregates are infor...

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...

Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?

Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons? »

Source: Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons?

Volume/Issue: 2014/37

Series: IMF Working Papers

Author(s): Fabian Lipinsky , and Li Lian Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 February 2014

ISBN: 9781484320143

Keywords: arbitrage pricing theory, Asian financial crisis, fundamentals, global financial crisis, idiosyncratic factors, integration, IOSCO, securities regulation, stock market, stock pricing

Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more 'idiosyn...