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

DOI10.1007/978-3-642-21575-9zbMATH Open1247.91002OpenAlexW2506978659MaRDI QIDQ549280FDOQ549280

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

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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)

Cited In (3)

• 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

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