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  • Book
  • © 2011

The Yield Curve and Financial Risk Premia

Implications for Monetary Policy

Authors:

  • 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

  • Includes supplementary material: sn.pub/extras

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 654)

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eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-642-21575-9
  • Instant PDF download
  • Readable on all devices
  • Own it forever
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  • Tax calculation will be finalised during checkout
Softcover Book USD 139.99
Price excludes VAT (USA)

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Table of contents (13 chapters)

  1. Front Matter

    Pages i-xiii
  2. Introduction

    • Felix Geiger
    Pages 1-6
  3. Conclusion and Outlook

    • Felix Geiger
    Pages 265-268
  4. Dynamic Optimization

    • Felix Geiger
    Pages 269-272
  5. Derivation of Affine Coefficient Loadings

    • Felix Geiger
    Pages 279-281
  6. Optimal Monetary Policy

    • Felix Geiger
    Pages 283-288
  7. Theoretical Foundations for Policy Analysis

    1. Front Matter

      Pages 7-7
    2. Financial Markets and Asset Pricing

      • Felix Geiger
      Pages 9-41
    3. A Systematic View on Term Premia

      • Felix Geiger
      Pages 83-114
  8. The Term Structure of Interest Rates and Monetary Policy Rules

    1. Front Matter

      Pages 115-115
  9. Financial Stability and Monetary Policy

    1. Front Matter

      Pages 195-195
    2. Financial Risk and Boom-Bust Cycles

      • Felix Geiger
      Pages 197-263
  10. Back Matter

    Pages 289-314

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.

  

Keywords

  • Financial stability
  • Macro-finance models
  • Monetary policy
  • Systemic risk
  • Term structure of interest rates

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)

Authors and Affiliations

  • , Department of Economics, University of Hohenheim, Stuttgart, Germany

    Felix Geiger

About the author

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.

Bibliographic Information

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-642-21575-9
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 139.99
Price excludes VAT (USA)