The Yield Curve and Financial Risk Premia: Implications for Monetary Policy
- ISBN-10
- 3642215750
- ISBN-13
- 9783642215759
- Category
- Business & Economics
- Pages
- 260
- Language
- English
- Published
- 2011-08-17
- Publisher
- Springer Science & Business Media
- Author
- Felix Geiger
Description
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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