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- DescriptionChanges in the shape of the yield curve have traditionally been one of the key macroecomic indicators of a likely change in ecomic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the ecomy. This volume brings together central bank ecomists and leading academic monetary ecomists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank ecomists.
- Author BiographyJagjit S. Chadha is Professor of Economics at the University of Kent and is on the Advisory Board of the Centre of International Macroeconomics and Finance at the University of Cambridge. His research involves incorporating financial factors in macroeconomic models and he has acted as an advisor to many central banks throughout the world. Alain C. J. Durre is Principal Economist in the Financial Research Division of the Directorate General Research of the European Central Bank and is Associate Professor of Finance at IESEG-School of Management at Lille Catholic University. He is also a member of the Centre National de la Recherche Scientifique (LEM-CNRS) in France and acts on occasion as Monetary Policy Advisor for the International Monetary Fund. He has published various papers on monetary and financial economics in many leading academic journals. Michael A. S. Joyce is an Adviser in the Macro Financial Analysis Division of the Bank of England and has over twenty years experience working at the Bank of England in various economics roles. His recent work has focused on modelling the term structure of interest rates and on analysing the effects of the UK's quantitative easing policy. Lucio Sarno is a Professor of Finance, Deputy Dean and Head of the Finance Faculty at Cass Business School, City University, London. His main research interests are in international finance, and he is a leading expert on exchange rates, a subject on which he writes prolifically and on which he is routinely called for advice by governments, international organizations and financial companies around the world.
- PublisherCambridge University Press
- Date of Publication01/09/2016
- SubjectFinance & Accounting
- Series TitleMacroeconomic Policy Making
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note114 b/w illus. 60 tables
- Weight750 g
- Width152 mm
- Height229 mm
- Spine29 mm
- Edited byAlain C. J. Durre,Jagjit S. Chadha,Lucio Sarno,Michael A. S. Joyce
- Format DetailsTrade paperback (US)
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