A Macroeconomic Approach to the Term Premium is popular PDF and ePub book, written by Emanuel Kopp in 2018-06-15, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, A Macroeconomic Approach to the Term Premium can be Read Online from any device for your convenience.
A Macroeconomic Approach to the Term Premium Book PDF Summary
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 the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Detail Book of A Macroeconomic Approach to the Term Premium PDF
- Author : Emanuel Kopp
- Release : 15 June 2018
- Publisher : International Monetary Fund
- ISBN : 9781484363676
- Genre : Business & Economics
- Total Page : 22 pages
- Language : English
- PDF File Size : 11,9 Mb
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