skip to content
A Macroeconomic Approach to the Term Premium. Preview this item
ClosePreview this item
Checking...

A Macroeconomic Approach to the Term Premium.

Author: Emanuel Kopp; Peter D Williams
Publisher: Washington, D.C. : International Monetary Fund, 2018.
Series: IMF Working Papers; Working Paper, no. 18/140.
Edition/Format:   eBook : Document : English
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Kopp, Emanuel.
A Macroeconomic Approach to the Term Premium.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Emanuel Kopp; Peter D Williams
ISBN: 9781484363713 148436371X 1484362152 9781484362150
OCLC Number: 1046614834
Description: 1 online resource (23 pages).
Contents: Cover; CONTENTS; ABSTRACT; I. INTRODUCTION; II. MODELING THE TERM STRUCTURE OF INTEREST RATES; A. Data and Variables; B. Model Specification; III. MACROECONOMIC IMPLICATIONS; IV. CONCLUSION; REFERENCES; FIGURES; 1. Term Structure of Interest Rates; 2. Term Premium Estimates; 3. Unit Roots and Mean-Reverting Variables; 4. Macroeconomic Outputs; 5. Trends in Interest Rates; 6. Cyclical components of interest rates; 7. Comparison of 10-year Term Premium Estimates; 8. Average Term Premia; 9. Survey-based Long Horizon Interest Rate Forecasts; 10. Expected Risk-Free Rates in the Longer-Term. 11. Survey-Based Long Horizon Interest Rate ForecastsTABLES; 1: Destriptive Statistics of the Input Data; 2. Correlation between Yield Curve Factors and Macroeconomic Variables.
Series Title: IMF Working Papers; Working Paper, no. 18/140.

Abstract:

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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1046614834> # A Macroeconomic Approach to the Term Premium.
    a schema:Book, schema:MediaObject, schema:CreativeWork ;
    library:oclcnum "1046614834" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/5361291337#Place/washington_d_c> ; # Washington, D.C.
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/dcu> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/5361291337#Topic/public_goods> ; # Public Goods
    schema:about <http://experiment.worldcat.org/entity/work/data/5361291337#Topic/general> ; # General
    schema:about <http://experiment.worldcat.org/entity/work/data/5361291337#Topic/asymmetric_and_private_information> ; # Asymmetric And Private Information
    schema:about <http://experiment.worldcat.org/entity/work/data/5361291337#Topic/externalities> ; # Externalities
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/5361291337#Person/williams_peter_d> ; # Peter D. Williams
    schema:creator <http://experiment.worldcat.org/entity/work/data/5361291337#Person/kopp_emanuel> ; # Emanuel Kopp
    schema:datePublished "2018" ;
    schema:description "Cover; CONTENTS; ABSTRACT; I. INTRODUCTION; II. MODELING THE TERM STRUCTURE OF INTEREST RATES; A. Data and Variables; B. Model Specification; III. MACROECONOMIC IMPLICATIONS; IV. CONCLUSION; REFERENCES; FIGURES; 1. Term Structure of Interest Rates; 2. Term Premium Estimates; 3. Unit Roots and Mean-Reverting Variables; 4. Macroeconomic Outputs; 5. Trends in Interest Rates; 6. Cyclical components of interest rates; 7. Comparison of 10-year Term Premium Estimates; 8. Average Term Premia; 9. Survey-based Long Horizon Interest Rate Forecasts; 10. Expected Risk-Free Rates in the Longer-Term."@en ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/5361291337> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/5361291337#Series/imf_working_papers> ; # IMF Working Papers
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/5361291337#Series/imf_working_papers_working_paper> ; # IMF Working Papers; Working Paper ;
    schema:isSimilarTo <http://worldcat.org/entity/work/data/5361291337#CreativeWork/a_macroeconomic_approach_to_the_term_premium> ;
    schema:name "A Macroeconomic Approach to the Term Premium."@en ;
    schema:productID "1046614834" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/1046614834#PublicationEvent/washington_d_c_international_monetary_fund_2018> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/5361291337#Agent/international_monetary_fund> ; # International Monetary Fund
    schema:url <http://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=5455356> ;
    schema:url <http://elibrary.imf.org/view/IMF001/25249-9781484362150/25249-9781484362150/25249-9781484362150.xml> ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=5455356> ;
    schema:workExample <http://worldcat.org/isbn/9781484363713> ;
    schema:workExample <http://dx.doi.org/10.5089/9781484362150.001> ;
    schema:workExample <http://worldcat.org/isbn/9781484362150> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1046614834> ;
    .


Related Entities

<http://elibrary.imf.org/view/IMF001/25249-9781484362150/25249-9781484362150/25249-9781484362150.xml>
    rdfs:comment "IMF e-Library" ;
    rdfs:comment "IMF eLibrary (Restricted to University of Ottawa)" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Agent/international_monetary_fund> # International Monetary Fund
    a bgn:Agent ;
    schema:name "International Monetary Fund" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Person/kopp_emanuel> # Emanuel Kopp
    a schema:Person ;
    schema:familyName "Kopp" ;
    schema:givenName "Emanuel" ;
    schema:name "Emanuel Kopp" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Person/williams_peter_d> # Peter D. Williams
    a schema:Person ;
    schema:familyName "Williams" ;
    schema:givenName "Peter D." ;
    schema:name "Peter D. Williams" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Place/washington_d_c> # Washington, D.C.
    a schema:Place ;
    schema:name "Washington, D.C." ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Series/imf_working_papers> # IMF Working Papers
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1046614834> ; # A Macroeconomic Approach to the Term Premium.
    schema:name "IMF Working Papers" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Series/imf_working_papers_working_paper> # IMF Working Papers; Working Paper ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1046614834> ; # A Macroeconomic Approach to the Term Premium.
    schema:name "IMF Working Papers; Working Paper ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/5361291337#Topic/asymmetric_and_private_information> # Asymmetric And Private Information
    a schema:Intangible ;
    schema:name "Asymmetric And Private Information"@en ;
    .

<http://worldcat.org/entity/work/data/5361291337#CreativeWork/a_macroeconomic_approach_to_the_term_premium>
    a schema:CreativeWork ;
    rdfs:label "A Macroeconomic Approach to the Term Premium." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/1046614834> ; # A Macroeconomic Approach to the Term Premium.
    .

<http://worldcat.org/isbn/9781484362150>
    a schema:ProductModel ;
    schema:isbn "1484362152" ;
    schema:isbn "9781484362150" ;
    .

<http://worldcat.org/isbn/9781484363713>
    a schema:ProductModel ;
    schema:isbn "148436371X" ;
    schema:isbn "9781484363713" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.