Anticipated Budget Deficits And The Term Structure Of Interest Rates PDF Download
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Author | : Daniel Valente Dantas |
Publisher | : |
Total Pages | : 40 |
Release | : 1984 |
Genre | : Budget |
ISBN | : |
Download Anticipated Budget Deficits and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
This paper investigates the implications of government deficits in an overlapping generations consumption loan model with longterm assets. The only asset in the economy is a real consol issued by the government and serviced by lumpsum taxes on the young. We explore here the time path of short and longterm interest rates following the announcement of a future,transitory budget deficit under two alternative assumptions. In one case the deficit arises from transitory government spending, in the other case from a transfer.We show that a deficit policy ultimately raises longterm interest rates and lowers consol prices. The exact shape of the path of short-term rates depends on the source of the deficit and on the saving response to interestrates. In general, though, the term structure will be v-shaped. The interest of the model resides in the fact that the prices of longterm assets link the current generations to future disturbances. Because future disturbances affect future interest rates they affect the current value of debt outstanding and hence equilibrium short-term rates. The exact manner in which the disturbances are transmitted to prior periods depends on the extent to which consumers substitute easily across time or, on the contrary, have a strong preference for consumption smoothing.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1984 |
Genre | : |
ISBN | : |
Download Anticipated Budget Deficits and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Klaas Knot |
Publisher | : Edward Elgar Publishing |
Total Pages | : 232 |
Release | : 1996-01-01 |
Genre | : Business & Economics |
ISBN | : 9781781959657 |
Download Fiscal Policy and Interest Rates in the European Union Book in PDF, ePub and Kindle
This is an extensive study concerned with the potential effects of fiscal policy on financial markets in the EU. It takes into account the gradual liberalization of capital movements through Western Europe & the framework of the European Monetary System.
Author | : Thomas Laubach |
Publisher | : |
Total Pages | : 70 |
Release | : 2003 |
Genre | : Budget deficits |
ISBN | : |
Download New Evidence on the Interest Rate Effects of Budget Deficits and Debt Book in PDF, ePub and Kindle
Author | : José Nunes-Correia |
Publisher | : |
Total Pages | : 48 |
Release | : 1993 |
Genre | : Budget deficits |
ISBN | : |
Download Budget Deficit and Interest Rates Book in PDF, ePub and Kindle
Recoge: 1.Introduction - 2.Theoretical considerations - 3.Trends in long-term interest rates and budget deficits (1970-1990) - 4.The model - 5.Expected inflation and econometric issues - 6.Empirical evidence - 7.Conclusions.
Author | : |
Publisher | : |
Total Pages | : 944 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Federal Government Deficits and the Term Structure of Interest Rates in the United States Book in PDF, ePub and Kindle
Author | : Qiang Dai |
Publisher | : |
Total Pages | : 56 |
Release | : 2005 |
Genre | : Bonds |
ISBN | : |
Download Fiscal Policy and the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for the factors that drive the dynamics of the yield curve. To shed light on both issues, we present an empirical macro-finance model that combines a no-arbitrage affine term structure model with a set of structural restrictions that allow us to identify fiscal policy shocks, and trace the effects of these shocks on the prices of bonds of different maturities. Compared to a standard VAR, this approach has the advantage of incorporating the information embedded in a large cross-section of bond prices. Moreover, the pricing equations provide new ways to assess the model's ability to capture risk preferences and expectations. Our results suggest that (i) government deficits affect long term interest rates: a one percentage point increase in the deficit to GDP ratio, lasting for 3 years, will eventually increase the 10-year rate by 40--50 basis points; (ii) this increase is partly due to higher expected spot rates, and partly due to higher risk premia on long term bonds; and (iii) the fiscal policy shocks account for up to 12% of the variance of forecast errors in bond yields.
Author | : |
Publisher | : |
Total Pages | : 20 |
Release | : 1983 |
Genre | : Budget deficits |
ISBN | : |
Download Deficits and Interest Rates Book in PDF, ePub and Kindle
Author | : Kanhaya Lal Gupta |
Publisher | : London : Routledge |
Total Pages | : 262 |
Release | : 1996-01 |
Genre | : Business & Economics |
ISBN | : 0415101352 |
Download Interest Rates and Budget Deficits Book in PDF, ePub and Kindle
There is widespread belief that the high interest rates of the 1980s and 1990s in the developed world have been caused by high budget deficits. Yet, there is no conclusive evidence to support such a belief. This book systematically examines this and other questions relating to the behaviour of real interest rates in eleven developed countries. The results show that generalizations across the countries can be hazardous and strongly suggests that factors specific to individual countries are still of vital importance.
Author | : Charles E. Dumas |
Publisher | : |
Total Pages | : 64 |
Release | : 1985 |
Genre | : Budget deficits |
ISBN | : |
Download The Effects of Government Deficits Book in PDF, ePub and Kindle