Developments in Macro-Finance Yield Curve Modelling
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Om bidragsyterne
Jagjit 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. Durré 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 IÉSEG-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.'The term structure of interest rates has always been at the nexus of monetary policy, macroeconomics and finance. The historic lows in policy interest rates since the onset of the crisis have exposed gaps in earlier models of the term structure, leading to new promising research that significantly enhances our understanding. This volume collects state of the art research on the term structure from the academic and policy communities, making it indispensable for both practitioners and policymakers who seek to deepen their knowledge of macro-finance during these challenging times.' Athanasios Orphanides, MIT Sloan School of Management
'This volume examines the challenges posed by the global financial crisis for policymakers and macro-financial economists and shows how they have risen to these. Contributors focus upon the money and bond markets that lay at the centre of this crisis, playing an increasingly important role in the communication and transmission of monetary policy. They suggest new non-linear yield curve models and methods for extracting about future inflation, output and default risk. This volume provides essential reading for policymakers, practitioners and academics interested in the financial sector and the economy.' Peter Spencer, University of York
'This timely conference volume addresses issues that are central to both the research agenda for macroeconomics and finance and to the decisions that policymakers will face as we emerge from the crisis.' Paul Tucker, Former Deputy Governor of the Bank of England