Index-Linked Debt and The Real Term Structure: New Estimates and Implications from the U.K.

Abstract In this paper we deal with the financial sector of CANDIDE 1.1. We are concerned with the determination of the short-term interest rate, the term structure equations, and the channels through which monetary policy influences the real sector. The short-term rate is determined by a straightforward application of Keynesian liquidity preference theory. A serious problem arises from the directly estimated reduced form equation, which implies that the demand for high powered money, but not the demand for actual deposits, is a stable function of income and interest rates. The structural equations imply the opposite. In the term structure equations, allowance is made for the smaller variance of the long-term rates, but insufficient explanation is given for their sharper upward trend. This leads to an overstatement of the significance of the U.S. long-term rate that must perform the explanatory role. Moreover a strong structural hierarchy, by which the long Canada rate wags the industrial rate, is imposed without prior testing. In CANDIDE two channels of monetary influence are recognized: the costs of capital and the availability of credit. They affect the business fixed investment and housing sectors. The potential of the personal consumption sector is not recognized, the wealth and real balance effects are bypassed, the credit availability proxy is incorrect, the interest rate used in the real sector is nominal rather than real, and the specification of the housing sector is dubious.

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Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate

Asia-Pacific Financial Markets ◽

10.1007/s10690-009-9098-0 ◽

2009 ◽

Vol 16 (4) ◽

pp. 347-369 ◽

Cited By ~ 3

Author(s):

Hidenori Futami

Keyword(s):

Interest Rate ◽

Term Structure ◽

Regime Shift ◽

Real Term ◽

Structure Model ◽

Affine Term Structure ◽

Term Structure Model ◽

Affine Term Structure Model

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The spark spectrum of thallium, Tl III

Proceedings of the Royal Society of London. Series A, Containing Papers of a Mathematical and Physical Character ◽

10.1098/rspa.1929.0150 ◽

1929 ◽

Vol 125 (796) ◽

pp. 50-53 ◽

Cited By ~ 7

Keyword(s):

Term Structure ◽

Electronic Spectra ◽

The Real ◽

Subsequent Investigation ◽

Doublet Structure ◽

Extensive Analysis

The term structure of the second spark spectrum of thallium, Tl III, was investigated by Carroll in 1926. He found it to be simple doublet spectrum by the identification of the first member of an S, a P and a D term sequence and of a tentative F and a G first member. Carroll also found analogous features in each of the iso-electronic spectra Hg II and Pb IV and showed that these and TI III were similar in character to that of Au I that had been analysed by Thorsen. The doublet structure of each of those spectra is now known to be built on the 1 S (5 d 10 ) state of the next higher ion. The authors examined the spark spectrum of thallium last spring and assigned a number of wave-lengths to the spectrum, Tl II, of the singly ionised atom. Two wave-lengths, namely, λ 2530·88 A. and λ 2452·00 A., that were shown to belong without doubt to Tl II, had previously been used by Carroll to establish the tentative 2 F term of Tl III mentioned above. The 2 F term therefore was invalidated and with it also the dependent 2 G. A subsequent investigation of Tl III was undertaken by us and has resulted in the identification of the real F and G first members and of members of each of the S, P and D series higher than those already located by Carroll. We also sought at the same time to extend the knowledge of the Hg II spectrum and made some progress in this direction. But the recent extensive analysis of Hg II by Paschen has made it unnecessary for us to continue our examination. Our team scheme for Hg II in so far as it was worked out corresponded to Paschen's.

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Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates

Review of Financial Studies ◽

10.1093/rfs/hhz094 ◽

2019 ◽

Vol 33 (8) ◽

pp. 3719-3765 ◽

Cited By ~ 1

Author(s):

Andrea Ajello ◽

Luca Benzoni ◽

Olena Chyruk

Keyword(s):

Interest Rates ◽

Term Structure ◽

Real Term ◽

No Arbitrage ◽

Market Participants ◽

Oxford University ◽

Term Structures ◽

Consumer Prices ◽

Real Risk ◽

Pass Through

Abstract We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants’ expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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