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Books on the topic 'Optimal interest rate'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Parrado, Eric. Optimal interest rate policy in a small open economy. Cambridge, MA: National Bureau of Economic Research, 2002.

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2

Lahiri, Amartya. Delaying the inevitable: Optimal interest rate policy and BOP crises. Cambridge, MA: National Bureau of Economic Research, 2000.

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3

Martini, Christine. When is it optimal to transfer to a lower interest rate loan? Melbourne: University of Melbourne, Graduate School of Management, 1990.

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4

Chugh, Sanjay K. Does monetary policy keep up with the Joneses?: Optimal interest-rate smoothing with consumption externalities. Washington, D.C: Federal Reserve Board, 2004.

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5

Giannoni, Marc Paolo. Optimal interest-rate rules in a forward-looking model, and inflation stabilization versus price-level stabilization. Cambridge, MA: National Bureau of Economic Research, 2010.

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6

Thomas, Ted. A comprehensive approach to mortgage pipeline hedging: Using a variety of instruments for optimal hedge protection. Chicago (141 W. Jackson Blvd., Chicago 60604-2994): Chicago Board of Trade, 1999.

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7

Philippopoulos, Apostolis. Optimal seigniorage, interest rates and public debts. [Colchester]: University of Essex, Dept. of Economics, 1990.

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8

Gylfason, Thorvaldur. Optimal saving, interest rates, and endogenous growth. Stockholm: Stockholm University, Institute for International Economic Studies, 1993.

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9

Drudi, Francesco. Real interest rates, sovereign risk and optimal debt management. Rome: Banca d'Italia, 1996.

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10

Kraft, Holger. Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17041-6.

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11

Michael, Woodford. Optimal monetary policy inertia. Cambridge, MA: National Bureau of Economic Research, 1999.

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12

Martin, Antoine. Optimal pricing of intra-day liquidity. Kansas City [Mo.]: Research Division, Federal Reserve Bank of Kansas City, 2002.

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13

Adam, Klaus. Optimal monetary policy under commitment with a zero bound on nominal interest rates. Kansas City [Mo.]: Research Division, Federal Reserve Bank of Kansas City, 2005.

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14

Lahiri, Amartya. Living with the fear of floating: An optimal policy perspective. Cambridge, MA: National Bureau of Economic Research, 2001.

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15

Schmitt-Grohe, Stephanie. Optimal operational monetary policy in the Christiano-Eichenbaum-Evans model of the U.S. business cycle. Cambridge, MA: National Bureau of Economic Research, 2004.

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16

Amato, Jeffery D. Implications of habit formation for optimal monetary policy. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 2002.

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17

Clarida, Richard H. Optimal monetary policy in closed versus open economies: An integrated approach. Cambridge, MA: National Bureau of Economic Research, 2001.

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18

Choi, Woon Gyu. Optimal monetary policy in a small open economy with habit formation and nominal rigidities. [Washington, D.C.]: International Monetary Fund, IMF Institute, 2003.

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19

Jeanne, Olivier. Credible commitment to optimal escape from a liquidity trap: The role of the balance sheet of an independent central bank. Cambridge, MA: National Bureau of Economic Research, 2004.

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20

Jeanne, Olivier. Credible commitment to optimal escape from a liquidity trap: The role of the balance sheet of an independent central bank. [Washington D.C.]: International Monetary Fund, Research Dept., 2004.

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21

Brick, Ivan E. Interest rate uncertainty and the optimal debt maturity structure. 1991.

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22

Sargent, Thomas J. Interpreting the Reagan Deficits. Princeton University Press, 2017. http://dx.doi.org/10.23943/princeton/9780691158709.003.0006.

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This chapter examines the large net-of-interest deficits in the U.S. federal budget that have marked the administration of Ronald Reagan. It explains the fiscal and monetary actions observed during the Reagan administration as reflecting the optimal decisions of government policymakers. The discussion is based on an equation whose validity is granted by all competing theories of macroeconomics: the intertemporal government budget constraint. The chapter first considers the government budget balance and the optimal tax smoothing model of Robert Barro before analyzing monetary and fiscal policy during the Reagan years: a string of large annual net-of-interest government deficits accompanied by a monetary policy stance that has been tight, especially before February 1985, and even more so before August 1982. Indicators of tight monetary policy are high real interest rates on government debt and pretax yields that exceed the rate of economic growth.

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23

Horneff, Vanya, Raimond Maurer, and Olivia S. Mitchell. How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198827443.003.0008.

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This chapter explores how an environment of persistent low returns influences saving, investing, and retirement behaviors, compared to what in the past had been conceived of as ‘normal’ financial conditions. Using a calibrated life cycle dynamic model with realistic tax, minimum distribution, and social security benefit rules, we can mimic the large peak at the earliest claiming age at 62 that is seen in the data. Also in line with the evidence, our baseline results show a smaller second peak at the (system-defined) Full Retirement Age of 66. In the context of a zero-return environment, we show that workers will optimally devote more of their savings to non-retirement accounts and less to 401(k) accounts, since the relative appeal of investing in taxable versus tax-qualified retirement accounts is lower in a low return setting. Finally, we show that people claim social security benefits later in a low interest rate environment.

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24

Berg, Andrew, Rafael Portillo, and Filiz Unsal. On the Role of Money Targets in the Monetary Policy Framework in SSA. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198785811.003.0008.

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Many low-income countries continue to describe their monetary policy framework in terms of targets on monetary aggregates. This chapter extends the New Keynesian model to provide a role for ‘M’ in the conduct of monetary policy, and examine the conditions under which some adherence to money targets is optimal. In the spirit of Poole (1970), this role is based on the incompleteness of information available to the central bank, a pervasive issue in these countries. Ex ante announcements and forecasts for money growth are consistent with a Taylor rule for the relevant short-term interest rate. Ex post, the policymaker must choose his relative adherence to interest rate and money growth targets. The chapter shows that some adherence to previously set money targets can emerge endogenously from the signal extraction problem faced by the central bank. The chapter also provides an analytical representation of the factors influencing the degree of optimal target adherence.

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25

Alichi, Ali, Marshall Mills, Douglas Laxton, and Hans Weisfeld. Inflation Forecast Targeting in a Low-Income Country. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198785811.003.0019.

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A model in which monetary policy pursues fully fledged inflation targeting is adapted to Ghana. Model features include: endogenous policy credibility; non-linearities in the inflation process; and a policy loss function that aims to minimize the variability of output and the interest rate, as well as deviations of inflation from the long-term low-inflation target. The optimal approach from initial high inflation to the ultimate target is gradual; and transitional inflation-reduction objectives are flexible. Over time, as policy earns credibility, expectations of inflation converge towards the long-run target, the output-inflation variability trade-off improves, and optimal policy responses to shocks moderate.

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26

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets. Springer, 2004.

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27

Fund, International Monetary, ed. Japanese effective exchange rates and determinants: Prices, real interest rates, and actual and optimal current accounts. Washington, D.C: International Monetary Fund, 1998.

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28

Andrle, Michal, Andrew Berg, Enrico Berkes, R. Armando Morales, Rafael Portillo, and Jan Vlcek. Do Money Targets Matter for Monetary Policy in Kenya? Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198785811.003.0016.

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The framework in Chapter 15 is extended to incorporate an explicit role for money aggregates, with an application to Kenya. The chapter provides a general specification that can nest various types of money targeting (ranging from targets based on optimal money demand forecasts to those derived from simple money growth rules), interest-rate based frameworks, and intermediate cases. A novel interpretation of target misses in terms of structural shocks (aggregate demand, policy, shocks to money demand, etc.) is presented. In the case of Kenya, the authors find that: (i) the setting of money targets is consistent with money demand forecasting, (ii) targets have not played a systematic role in monetary policy, and (iii) target misses mainly reflect shocks to money demand. Simulations of the model under alternative policy specifications show that the stronger the ex post target adherence, the greater the macroeconomic volatility.

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29

Björk, Tomas. Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.001.0001.

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The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but the mathematical theory is also always supplemented with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. There is also an entirely new part of the book presenting dynamic equilibrium theory. This includes several chapters on unit net supply endowments models, and the Cox–Ingersoll–Ross equilibrium factor model (including the CIR equilibrium interest rate model). Providing two full treatments of arbitrage theory—the classical delta hedging approach and the modern martingale approach—the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.

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30

Arthurson, Kathy. Social Mix and the City. CSIRO Publishing, 2012. http://dx.doi.org/10.1071/9780643104440.

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Concern about rising crime rates, high levels of unemployment and anti-social behaviour of youth gangs within particular urban neighbourhoods has reinvigorated public and community debate into just what makes a functional neighbourhood. The nub of the debate is whether concentrating disadvantaged people together doubly compounds their disadvantage and leads to 'problem neighbourhoods'. This debate has prompted interest by governments in Australia and internationally in 'social mix policies', to disperse the most disadvantaged members of neighbourhoods and create new communities with a blend of residents with a variety of income levels across different housing tenures (public and private rental, home ownership). What is less well acknowledged is that interest in social mix is by no means new, as the concept has informed new town planning policy in Australia, Britain and the US since the post Second World War years. Social Mix and the City offers a critical appraisal of different ways that the concept of ‘social mix’ has been constructed historically in urban planning and housing policy, including linking to 'social inclusion'. It investigates why social mix policies re-emerge as a popular policy tool at certain times. It also challenges the contemporary consensus in housing and urban planning policies that social mix is an optimum planning tool – in particular notions about middle class role modelling to integrate problematic residents into more 'acceptable' social behaviours. Importantly, it identifies whether social mix matters or has any real effect from the viewpoint of those affected by the policies – residents where policies have been implemented.

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