Repository logo
  • Log In
    New user? Click here to register.Have you forgotten your password?
University College Dublin
  • Colleges & Schools
  • Statistics
  • All of DSpace
  • Log In
    New user? Click here to register.Have you forgotten your password?
  1. Home
  2. College of Business
  3. School of Business
  4. Centre for Financial Markets Working Papers
  5. Conundrum or complication : a study of yield curve dynamics under unusual economic conditions and monetary policies
 
  • Details
Options

Conundrum or complication : a study of yield curve dynamics under unusual economic conditions and monetary policies

File(s)
FileDescriptionSizeFormat
Download WP-08-02.pdf143.34 KB
Author(s)
Cripwell, Peter 
Edelman, David 
Uri
http://hdl.handle.net/10197/1176
Date Issued
04 March 2008
Date Available
11T16:04:28Z June 2009
Abstract
The definition of the decline of long term yields in the light of increasing short term yields as a conundrum by Chairman Greenspan in February 2005 has generated a significant amount of research. This paper presents a study of yield curve dynamics over this period using economic surprise data as the diagnostic tool. Results are presented for both US and Japanese data which indicate a non-linear response of the yield curve to economic data and monetary policy over the period in question. Further, a limited model is presented that is consistent with the observations. This can lead to an explanation of the conundrum in terms of a non-linear yield response to expected long term inflation and a variable expected long term real rate.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-08-02
Copyright (Published Version)
2008, Centre for Financial Markets
Keywords
  • Federal Reserve

  • Term structure of int...

  • Inflation

Classification
E43
E44
E52
E58
Subject – LCSH
Interest rates
Monetary policy
Federal Reserve banks
Web versions
http://www.ucd.ie/bankingfinance/docs/wp/WP-08-02.pdf
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
Owning collection
Centre for Financial Markets Working Papers
Views
1446
Last Week
1
Last Month
1
Acquisition Date
Mar 24, 2023
View Details
Downloads
233
Acquisition Date
Mar 24, 2023
View Details
google-scholar
University College Dublin Research Repository UCD
The Library, University College Dublin, Belfield, Dublin 4
Phone: +353 (0)1 716 7583
Fax: +353 (0)1 283 7667
Email: mailto:research.repository@ucd.ie
Guide: http://libguides.ucd.ie/rru

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science

  • Cookie settings
  • Privacy policy
  • End User Agreement