The Yield Curve and Financial Risk Premia
ISBN:
978-3-642-21574-2
Auflage:
2011
Verlag:
Springer, Springer Berlin
Land des Verlags:
Deutschland
Erscheinungsdatum:
17.08.2011
Reihe:
Lecture Notes in Economics and Mathematical Systems
Format:
Softcover
Seitenanzahl:
260
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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.
Biografische Anmerkung
Felix Geiger is currently working as research and teaching assistant at the Department of Economics, University of Hohenheim. His research spans a wide range of topics including the linkages between financial markets and monetary policy, banking systems, heterogeneous agent models, as well as economic policy coordination within currency unions.
