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Lecture Notes in Economics and Mathematical Systems

The Yield Curve and Financial Risk Premia

Implications for Monetary Policy

Authors: Geiger, Felix

  • Analyzes the macroeconomy and financial markets within an integrated macro-finance approach
  • Systematically works out macroeconomic factors that shape the yield curve and financial risk premia
  • Revisits monetary policy and financial stability against the background of the latest financial crisis
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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-642-21575-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-642-21574-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

In recognition of his excellent thesis, the author received the Suedwestbank Award 2011.

  

About the authors

Felix Geiger is currently working as research and teaching assistant at the Department of Economics, University of Hohenheim. His research spans a wide range of topics including the linkages between financial markets and monetary policy, banking systems, heterogeneous agent models, as well as economic policy coordination within currency unions.

Reviews

From the reviews:

“This book is a really interesting and valuable source for all those who are interested in broad and deep look to the financial side of economy. The structure of the book is clear and allows a reader to easily follow the author’s considerations and conclusions. … It is well written and in a clear way presents both theoretical and empirical approach to the topic. … a useful source for all those determined to understand the reality beyond the mathematical models of term structure.” (Malgorzata Doman, Zentralblatt MATH, Vol. 1247, 2012)


Table of contents (13 chapters)

  • Introduction

    Geiger, Dr. Felix

    Pages 1-6

  • Financial Markets and Asset Pricing

    Geiger, Dr. Felix

    Pages 9-41

  • The Theory of the Term Structure of Interest Rates

    Geiger, Dr. Felix

    Pages 43-82

  • A Systematic View on Term Premia

    Geiger, Dr. Felix

    Pages 83-114

  • The Macro-Finance View of the Term Structure of Interest Rates

    Geiger, Dr. Felix

    Pages 117-157

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-642-21575-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-642-21574-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
The Yield Curve and Financial Risk Premia
Book Subtitle
Implications for Monetary Policy
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
654
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-21575-9
DOI
10.1007/978-3-642-21575-9
Softcover ISBN
978-3-642-21574-2
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XIII, 260
Number of Illustrations and Tables
31 b/w illustrations
Topics