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Wednesday, July 22, 2020 | History

4 edition of Changes in the cyclical behavior of interest rates. found in the catalog.

Changes in the cyclical behavior of interest rates.

Phillip Cagan

Changes in the cyclical behavior of interest rates.

by Phillip Cagan

  • 284 Want to read
  • 40 Currently reading

Published by National Bureau of Economic Research; distributed by Columbia University Press, New York in New York .
Written in English

    Places:
  • United States.
    • Subjects:
    • Interest rates -- United States.,
    • Business cycles -- United States.

    • Classifications
      LC ClassificationsH11 .N2432 no. 100
      The Physical Object
      Pagination32 p.
      Number of Pages32
      ID Numbers
      Open LibraryOL5997403M
      LC Control Number66029954

      involving interest rates and the price level. The primary goal of this paper is to evaluate three models that explain the link between money, prices, interest rates and the business cycle. We do this in three steps. First, we document the cyclical behavior of money, prices and interest rates in . changes in the tax code can raise or lower the net-of-tax return to saving. The effect of these changes on the amount of saving may play an important role in tax policymaking. The interest elasticity of saving is defined as the percent change in saving that results from a one-percent change in the interest rate.

      Chapter 5: The Behavior of Interest Rates. STUDY. PLAY. Determinants of Asset Demand. Changes in Equilibrium Interest Rates. When quantity demanded (or supplied) changes as a result of a change in the price of the bond, we have a MOVEMENT ALONG the demand (or supply) curve when income is rising during a business cycle expansion. Search the world's most comprehensive index of full-text books. My library.

      cyclical variations in the interest rate differentials (hereafter, risk spreac~~) economic behavior in the sense either of changing risk aversion by individuals or of a changing flow of funds to different investors over the business cycle. Rather, the changes are a technical feature .   Octo Interest on Excess Reserves and U.S. Commercial Bank Lending. Marcelo Rezende, Judit Temesvary, and Rebecca Zarutskie 1. Over the past decade, the interest on excess reserves (IOER) rate has become a key administered rate used by the Federal Reserve to control short-term interest rates. 2 IOER is likely to remain an important rate used in monetary policy .


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Changes in the cyclical behavior of interest rates by Phillip Cagan Download PDF EPUB FB2

Changes in the cyclical behavior of interest rates. New York, National Bureau of Economic Research; distributed by Columbia University Press, New York, (OCoLC) Document Type: Book: All Authors / Contributors: Phillip Cagan.

Changes in the Cyclical Behavior of Interest Rates Phillip Cagan. Chapter in NBER book Essays on Interest Rates, Volume 2 (), Jack M. Guttentag, editor (p. 3 - 34) Published in by NBERCited by: Chart shows the cyclical behavior of interest rates on a reference cycle basis.

The patterns suggest two tendencies to be examined in detail: a shift toward earlier turning points in relation to reference turns and a greater amplitude of fluctuation in the 's than earlier.

TIMING The generally lagged timing of interest rates at reference turns, evident. Phillip Cagan, "Changes in the Cyclical Behavior of Interest Rates," NBER Chapters, in: Essays on Interest Rates, Volume 2, pagesNational Bureau of Economic Research, Inc.

This article investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, we consider the deviation of aggregate economic activity from its potentially stochastic by: The Cyclical Behavior of the Term Structure of Interest Rates Reuben A.

Kessel EXPLANATIONS OF THE TERM STRUCTURE OF INTEREST RATES It is the thesis of this investigation that the term structure of interest rates can be explained better by a combination of the expectations and liquidity preference hypotheses than by either hypothesis alone.

Alter. THE NOTION OF SYSTEMATIC variation in interest rates over the business cycle is a familiar one. Beginning with the work of Kessel (), which describes the behavior of long- and short-term interest rates with respect to aggregate economic activity, numerous authors have investigated the relation of.

expected return and the interest rate are identical, so nothing besides today’s interest rate affects the expected return. CHAPTER 5 The Behavior of Interest Rates 95 FIGURE 3 Shift in the Demand Curve for Bonds When the demand for bonds increases, the demand curve shifts to the right as shown.

(Note: Pand i increase in oppo-site directions. There is evidence that the volatility of interest rates changes through time, and the variation seems to be related to the level of interest rates [for example, Ang and Bekaert ()].

Thus, there is a potential heteroscedasticity problem in regressions like those in Table 1, which suggests that the method of Newey and West () should be.

Nominal Interest Rates Nominal interest rate is the rate of interest that is accrued at some time in the future. It is the rate of exchange between RM now and RM in the future.

For example, if the nominal interest rate is 10% per annum, then a sum of RM10 borrowed this year, is payable for a sum of RM11 next year.

Nominal interest rate makes no. This paper investigates the behavior of the term structure of interest rates over the business cycle. In contrast to the simple change in aggregate economic activity used in previous research, we use a more appropiate measure of the business cycle: the deviation of aggregate economic activity from its potentially stochastic trend.

century, changes have occurred in the cyclical behavior of interest rates. This paper describes changes in the behavior of a broad group of rates and, in Part III, presents some evidence on the contribution to these changes of cycles in the growth rate of the money stock.

The long-term interest rates covered are yields on U.S. bonds. price P moves inversely to the market interest rate (yield to maturity) i on this type of bond.

In most of the following slides, attention will be focused on the bond price P rather than on the interest rate i. But all findings stated in terms of P could equivalently be stated in terms of i. Downloadable (with restrictions). This article investigates the behavior of the term structure of interest rates over the business cycle.

In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, the authors consider the deviation of aggregate economic activity from its potentially stochastic trend. behavior. We learned in Chapter 4 that interest rates are negatively related to the price of bonds, so if we can explain why bond prices change, we can also explain why inter-est rates fluctuate.

To do this, we make use of supply and demand analysis for bond markets and money markets to examine how interest rates change.

The effect of the single Eurozone interest rate on the relatively high-inflation countries in the Eurozone periphery is also pro-cyclical, leading to very low or even negative real interest rates during an upturn which magnifies the boom (e.g.

'Celtic Tiger' upturn in Ireland) and property and asset price bubbles whose subsequent bust magnifies. Therefore, long-term bonds have the highest volatility (along with the highest interest rates). Generally, that means higher risk with the expectation of higher returns.

You can see that as the maturity of these funds increases (along with the importance of interest rate movements) so too does the behavior gap. SupplyLower+Interest+Rates.

• Liquidity preference framework leads to the conclusion that an increase in the money supply will lower interest rates: the liquidity effect. • Income effect finds interest rates rising because increasing the money supply is an expansionary influence on the economy (the demand curve shifts to the right).

ECON Chapter 5: The Behavior of Interest Rates. When the quantity demanded (or supplied) changes as a result of a change i the price a the bond (or change in the interest rate).

What causes a change in demand for bonds if a business cycle is expanding and growing wealth. The Cyclical Behavior of the Term Structure of Interest Rates. Reuben A. Kessel. in NBER Books from National Bureau of Economic Research, Inc.

Date: Note: ME EFG References: Add references at CitEc Citations: View citations in EconPapers (58) Track citations by RSS feed There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Note: Citations are based on reference standards.

However, formatting rules can vary widely between applications and fields of interest or study. The specific requirements or preferences of your reviewing publisher, classroom teacher, institution or organization should be applied. Monetarist Theory: The monetarist theory is an economic concept which contends that changes in the money supply are the most significant determinants of the rate .the policy rate is set by implicitly taking into account the life-cycle savings behavior of the population to determine the equilibrium policy rate.

Linking the target policy rates to demographics makes Taylor-type rule of monetary policy capable of generating observed persistence in interest rates (Diebold and Li, ; Diebold and Rudebush.