| 036a | XA-DE‡XD-US |
| 037b | eng |
| 077a | 347961126 Buchausg. u.d.T.: ‡Geiger, Felix: ¬The¬ yield curve and financial risk premia |
| 087q | 978-3-642-21574-2 |
| 100 | Geiger, Felix |
| 331 | ¬The¬ Yield Curve and Financial Risk Premia |
| 335 | Implications for Monetary Policy |
| 410 | Berlin, Heidelberg |
| 412 | Springer-Verlag Berlin Heidelberg |
| 425 | 2011 |
| 425a | 2011 |
| 433 | Online-Ressource (XIII, 260p. 31 illus, digital) |
| 451 | Lecture Notes in Economics and Mathematical Systems ; 654 |
| 454 | Lecture notes in economics and mathematical systems |
| 455 | 654 |
| 501 | Includes bibliographical references |
| 517 | The Yield Curve and Financial Risk Premia; Preface; Contents; List of Figures; List of Tables; Chapter 1: Introduction; 1.1 The Macro-Finance Approach to the Analysis of Monetary Policy and Financial Risk; 1.2 Plan of the Book; Part I Theoretical Foundations for Policy Analysis; Chapter 2: Financial Markets and Asset Pricing; 2.1 Asset Pricing Theory; 2.1.1 No-Arbitrage and the Stochastic Discount Factor; 2.1.2 Individual Agent Optimality and Asset Pricing Equations; 2.1.3 Representative Agent and Equilibrium Asset Pricing; 2.1.4 Asset Returns and a First Look at Risk. 2.1.4.1 Returns, Pricing Kernel and Risk2.1.4.2 A Log-Normal Representation; 2.1.4.3 Pricing Nominal Returns; 2.1.4.4 Valuation of Stock Prices; 2.1.4.5 Bond Prices and the SDF; 2.2 Asset Pricing with Utility Specifications; 2.2.1 Agents and Risk Aversion; 2.2.2 Power Utility and General Equilibrium; 2.2.3 Pitfalls and the CCAPM; Chapter 3: The Theory of the Term Structure of Interest Rates; 3.1 Bond Pricing Representation and Yields; 3.1.1 Notation and Pricing Relations; 3.1.2 Coupon-Bearing Bonds and Duration; 3.2 Stylized Facts on the Yield Curve. 3.2.1 Moments of the US, German and UK Yield Curve3.2.2 Common Factors Driving the Yield Curve; 3.3 Fitting Zero-Coupon Bonds; 3.4 Understanding the Term Structure of Interest Rates; 3.4.1 A Formal Representation of the Expectations Hypothesis and No-Arbitrage; 3.4.2 Empirical Tests on the Expectations Hypothesis; 3.5 Affine Term Structure Representations; 3.5.1 General Setup; 3.5.2 An Essentially Affine Term Structure Model; Chapter 4: A Systematic View on Term Premia; 4.1 Forms and Sources of Term Premia; 4.2 Evidence on Interest-Rate Risk Premia. 4.2.1 A Two-Factor Affine Term Structure Model4.2.2 An International Comparison of Essentially Affine Risk Premia; 4.3 Compensation for Default Risk; 4.4 Liquidity Risk and Asset Prices; 4.4.1 Micro-Finance Approach to Liquidity; 4.4.2 Liquidity Preference and Uncertainty in Light of Financial Intermediation; Part II The Term Structure of Interest Rates and Monetary Policy Rules; Chapter 5: The Macro-Finance View of the Term Structure of Interest Rates; 5.1 On the Use of the Yield Curve for Monetary Policy; 5.1.1 The Information Content and Its Interpretation. 5.1.2 Term Structure Reaction to Monetary Policy Events5.1.3 Implementation of Monetary Policy and the Yield Curve; 5.2 Joint Modeling Strategies of Interest Ratesand the Macroeconomy; 5.2.1 The Macro-Finance View of the Term Structure of Interest Rates; 5.2.2 VAR-Based Models; 5.2.3 Semi-Structural Macro-Finance Models; 5.2.4 Asset Pricing in a DSGE Model; 5.3 Term Structure Implications of New-KeynesianMacroeconomics; 5.3.1 Stylized Facts and Benchmark Results; 5.3.2 An Extension: Learning, Volatility and Persistence; Chapter 6: Monetary Policy in the Presence of Term Structure Effects. 6.1 The Term Structure of Taylor Coefficients |
| 527 | Buchausg. u.d.T.: ‡Geiger, Felix: ¬The¬ yield curve and financial risk premia |
| 540a | ISBN 978-3-642-21575-9 |
| 700 | |KCBM |
| 700 | |BUS045000 |
| 700 | |KCB |
| 700 | |BUS039000 |
| 700 | |*91-02 |
| 700 | |91B64 |
| 700 | |91G30 |
| 700 | |91B25 |
| 700 | |91B30 |
| 700 | |91G70 |
| 700b | |339 |
| 700b | |332.46015118 |
| 700c | |HB172.5 |
| 700g | 1270742655 QC 320 |
| 750 | 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 and Monetary Policy Rules: The Macro-Finance View of the Term Structure of Interest Rates -- Monetary Policy in the Presence of Term Structure Effects. Financial Stability and Monetary Policy: Financial Risk and Boom-Bust Cycles -- Conclusion and Outlook -- Dynamic Optimization -- State-Space Model and Maximum Likelihood Estimation -- Recursive Nature of the Expectations Hypothersis -- Derivation of Affine Coefficient Loadings -- Optimal Monetary Policy |
| 753 | 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 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. In recognition of his excellent thesis, the author received the Suedwestbank Award 2011. |
| 902s | 209512326 Zinsstrukturtheorie |
| 902s | 209983043 Risikoprämie |
| 902s | 208995749 Konjunkturzyklus |
| 902s | 208931171 Geldpolitik |
| 907s | 208931171 Geldpolitik |
| 012 | 350230048 |
| 081 | Geiger, Felix: ¬The¬ Yield Curve and Financial Risk Premia |
| 100 | Springer E-Book |
| 125a | Elektronischer Volltext - Campuslizenz |
| 655e | $uhttp://dx.doi.org/10.1007/978-3-642-21575-9 |
