The Yield Curve and Financial Risk Premia

Implications for Monetary Policy

Business & Finance, Economics, Macroeconomics, Nonfiction, Social & Cultural Studies, Political Science, Politics, Economic Policy
Cover of the book The Yield Curve and Financial Risk Premia by Felix Geiger, Springer Berlin Heidelberg
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Author: Felix Geiger ISBN: 9783642215759
Publisher: Springer Berlin Heidelberg Publication: August 17, 2011
Imprint: Springer Language: English
Author: Felix Geiger
ISBN: 9783642215759
Publisher: Springer Berlin Heidelberg
Publication: August 17, 2011
Imprint: Springer
Language: English

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.

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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.

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