|
|
|
|
| LEADER |
02130cas a2200253 a 4500 |
| 001 |
AALejournalIMF018549 |
| 008 |
230101c9999 xx r poo 0 0eng d |
| 020 |
|
|
|c 5.00 USD
|
| 020 |
|
|
|z 9781484362150
|
| 022 |
|
|
|a 1018-5941
|
| 040 |
|
|
|a BD-DhAAL
|c BD-DhAAL
|
| 100 |
1 |
|
|a Kopp, Emanuel.
|
| 245 |
1 |
2 |
|a A Macroeconomic Approach to the Term Premium /
|c Emanuel Kopp, Peter Williams.
|
| 264 |
|
1 |
|a Washington, D.C. :
|b International Monetary Fund,
|c 2018.
|
| 300 |
|
|
|a 1 online resource (22 pages)
|
| 490 |
1 |
|
|a IMF Working Papers
|
| 500 |
|
|
|a <strong>Off-Campus Access:</strong> No User ID or Password Required
|
| 500 |
|
|
|a <strong>On-Campus Access:</strong> No User ID or Password Required
|
| 506 |
|
|
|a Electronic access restricted to authorized BRAC University faculty, staff and students
|
| 520 |
3 |
|
|a 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.
|
| 538 |
|
|
|a Mode of access: Internet
|
| 700 |
1 |
|
|a Williams, Peter.
|
| 830 |
|
0 |
|a IMF Working Papers; Working Paper ;
|v No. 2018/140
|
| 856 |
4 |
0 |
|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2018/140/001.2018.issue-140-en.xml
|z IMF e-Library
|