The yield curve and financial risk premia. Implications for monetary policy.

DOI10.1007/978-3-642-21575-9MaRDI QIDQ549280zbMATH OpenOpenAlexFDO

Authors Felix Geiger

Publication date 8 July 2011

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-21575-9

zbMATH Keywords

term structureyield curveasset pricingmonetary policymacro-financefinancial risk premia, transmission mechanism, liquidity riskNew-Keynesian

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Interest rates risk-premium and shape of the yield curve
• The yield curve and the macro-economy across time and frequencies
• The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• scientific article; zbMATH DE number 1222804
• Economic policy uncertainty and the yield curve
• Macroeconomic models and the yield curve: an assessment of the fit
• Long-term interest rates, risk premia and unconventional monetary policy

Cited in

(5)

• Libor market model under the real-world measure
• Emerging market economies' challenge: managing the yield curve in a financially globalized world
• Monetary policy is not always systematic and data-driven: evidence from the yield curve
• Intelligible factors for the yield curve
• Economic policy uncertainty and the yield curve

This page was built for publication: The yield curve and financial risk premia. Implications for monetary policy.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q549280)