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Friday, May 8, 2020 | History

2 edition of On the predictive power of interest rates and interest rate spreads found in the catalog.

On the predictive power of interest rates and interest rate spreads

Ben Bernanke

On the predictive power of interest rates and interest rate spreads

by Ben Bernanke

  • 6 Want to read
  • 16 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Interest rate futures -- Mathematical models.

  • Edition Notes

    StatementBen Bernanke.
    SeriesNBER working paper series -- working paper no. 3486, Working paper series (National Bureau of Economic Research) -- working paper no. 3486.
    The Physical Object
    Pagination35 p. :
    Number of Pages35
    ID Numbers
    Open LibraryOL22438132M

      Equity values and credit spreads: the inflation effect. Equity values and credit spreads: the inflation effect. A slowdown in consumer prices reduces short-term interest rates but does not immediately reduce earnings growth by the same rate, thus increasing the discounted present value of future earnings. The predictive power score is a. First, our model matches well the post nominal upward-sloping U.S. Treasury yield curve. Second, consistent with our model's implication, variance risk premium based on the U.S. interest rate derivatives data emerges as a strong predictor for short-horizon Treasury excess returns, above and beyond the predictive power of other popular factors.

    Although their predictive power is somewhat limited, these spreads indicate some concern about inflation over the short run. Suggested citation: "Interest Rates," Federal Reserve Bank of Cleveland, Economic Trends, no. , pp. 06,   This difference between that corporate bond yield and U.S. Treasury yield is also known as the “spread” between corporate interest rates and U.S. Government interest rates. At the peak in , the spread for BBB rated companies was around %. In other words, those companies had to borrow at a rate % HIGHER than the U.S. Government.

      Looking for some Rates PDFs (Originally Posted: 11/15/) Hello guys, I am looking for 3 PDFs that I have lost due to my stupidity. Over the years I have sent these to some of you, so if someone is still around any help would be greatly appreciated. Pricing and Hedging Swaps - Miron & Swannell Interest Rate Swaps and their Derivatives - Amir Sadr. determine the relationship between interest rates spread and the performance of commercial banks in Kenya. This was a census study of all registered 43 commercial banks in Kenya and relied heavily on documentary secondary data for 6 year study period (). The study found that interest rates spreads are higher for larger banks than.


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On the predictive power of interest rates and interest rate spreads by Ben Bernanke Download PDF EPUB FB2

On the Predictive Power of Interest Rates and Interest Rate Spreads Ben Bernanke. NBER Working Paper No. Issued in October NBER Program(s):Economic Fluctuations and Growth, Monetary Economics A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy.

On the predictive power of interest rates and interest rate spreads. Cambridge, MA: National Bureau of Economic Research, [] (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Ben.

A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate.

Downloadable. Economists have long understood that financial market variables contain considerable information about the future of the economy. Recently a number of researchers have pointed out that interest rates and interest rate spreads--that is, differences between interest rates on alternative financial assets--can be effective predictors of the economy.

On the Predictive Power of Interest Rates and Interest Rate Spreads This finding raises a number of questions, possibly the most important being why interest rates and spreads predict the course of the economy so well. The author's tentative conclusion is that the spread between commercial paper and Treasury bill rates has historically been.

Downloadable. A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate. Our results are consistent with those of Stock and Watson () and Friedman and Kuttner (), who found that.

document the significant relationship between interest rate spreads and future output growth. Unfortunately, one of the spread’s major predictive failures occurred im-mediately after the publication of these influential articles.

Namely, the spread failed to predict the –91 recession. In light of that occurrence, a numberCited by: EUROPEAN ECONOMIC REVIEW ELSEVIER European Economic Review 41 () The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank Arturo Estrella '* Frederic S.

Mishkin a.b.c, * Cited by:   Because of this trend, credit spreads often move ahead of the economy, offering the intelligent investor some predictive power they can use to profit and avoid losses. Changes in. Numerous empirical studies for the U. demonstrate that interest rate spreads (measured as the difference between long-and short-term nominal interest rates) are good predictors of future.

Again, we don’t see any support for the hypothesis that spreads systematically rise with interest rates. Depending on the period and on whether you look at levels or changes, you can see a slightly stronger relationship of the Federal Funds rate with either bank lending rates of funding costs; but none of these differences would pass a standard significance test.

Net Interest Rate Spread: The net interest rate spread is the difference between the average yield a financial institution receives from loans, along with.

A detailed primer, Interest Rate Markets starts from the first principles to acquaint newcomers with interest rate products, mathematical tools, and intuitive understanding of market concepts.

It then expands upon these basics and provides an in-depth understanding of the drivers of rates markets and interest rate volatility/5(28). Interest Rate Spreads, Credit Constraints, and Investment Fluctuations: An Empirical Investigation: Bernanke: w On the Predictive Power of Interest Rates and Interest Rate Spreads: Chetty: w Interest Rates and Backward-Bending Investment: Stock and Watson: New Indexes of Coincident and Leading Economic Indicators.

Release: Interest Rate Spreads, 36 economic data series, FRED: Download, graph, and track economic data. ICE Spreads, A.M. (London Time), Based on U.S. Dollar, 7 Year Tenor Percent, Daily, Not Seasonally Adjusted to (Mar 5) Total Spread of Interest Rates for Slovenia.

The interest rate spread broke the 10 percent barrier in when the rates reached 19 percent and fluctuated below the 25 percent level until when the spread shot up to 27 percent before reaching 33 percent in   Figure 1: A tale of two two-thirds (or “most” if you like) of the last 37 years, S&P earnings yields were less than year Treasury bond yields, but sincethe opposite Author: Nathan Rines.

Predictive Ability of the Interest Rate Spread Using Neural Networks Article (PDF Available) in Procedia Computer Science December with 42 Reads How we measure 'reads'. Figures 3 and 4 show that in the period between Q1 and Q3, bank-specific interest rate spreads in Solomon Islands remained high regardless of the adopted methodology to measure them.

Figure 3 shows some persistence of bank spreads, which may indicate low competition in the banking industry. Interest rate parity is the fundamental equation that governs the relationship between interest rates and currency exchange rates.

The basic premise of interest rate parity is Author: Elvis Picardo. Junk obligations, which tend to have shorter maturities than high-grade debt, have stronger cushions for interest-rate risk and, as such, have typically outperformed when Treasury yields have.

Predicting Mortgage Rates. Mortgage interest rates change constantly. Some days, mortgage rates rise. Other days, mortgage rates fall. Most .