Download or read book Essays on the Term Structure of Interest Rates written by Nisha Aroskar and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation contributes to the study of the term structure of interest rates by addressing some of the gaps in this literature. The term structure is an important channel of monetary transmission. It also contains information about the intertemporal choices made by economic agents. The expectations Hypothesis is the primary explanation in economics that links short term interest rates to long term interest rates. In the first essay I extend the literature by examining the expectations hypothesis in the newly developed financial markets. I find that the expectations theory is not rejected in these markets. This evidence is in sharp contrast to the evidence earlier presented for industrialized countries. Further, contrary to the simple expectations theory, the term premium has high persistence, which is reflected in significantly autoregressive error terms. The evidence also supports the longstanding suggestion that the term premium could be related to the liquidity in the economy. The next essay investigates the forecasting ability of the term spread for future output growth. There appears to be a sharp decline in the predictive power of the term spread in countries that have adopted monetary policy with a stronger response to inflation. To explore the underlying economic reasons for these findings, I explicitly model the information content of the term spread for future output growth based on a structural model. Model calibrations suggest that the forecasting ability of the term spread changes with a change in the persistence and the variance of the underlying economic shocks and in the monetary policy preferences. The last essay focuses on the term structure as a link between short term and long term interest rates in macroeconomic models. I integrate the New Keynesian model and the model of the term structure based on the Intertemporal Consumption Asset Pricing Model. This is a more plausible description of the economy compared to the earlier models. In this model, output responds to an interest rate that includes a time varying term premium which, in turn is associated with economic agents expectations about the future economic variables. Empirical results provide confidence for future research in this direction.
Download or read book Essays on the Term Structure of Interest Rates written by Andrew Christopher Meldrum and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Term Structure of Interest Rates written by Thong Huy Nguyen and published by . This book was released on 2001 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the term structure of interest rates written by Peter R. MacMillan and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in the Term Structure of Interest Rates written by Chun Won Yi and published by . This book was released on 2003 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Term Structure of Interest Rates and Long run Risks written by Henrik Hasseltoft and published by . This book was released on 2009 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Term Structure of Interest Rates written by Hyoung-Seok Lim and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates play an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
Download or read book Essays on Multifactor Models of the Term Structure of Interest Rates written by Adrian Luis Eterovic and published by . This book was released on 1994 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Expectations Theory for Term Structure of Interest Rates written by Erdenebat Bataa and published by . This book was released on 2006 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three essays on the term structure of interest rates written by Jean-Guy Simonato and published by . This book was released on 1994 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Term Structure of Interest Rates and Long Run Variance of Stock Returns written by Ting Wu and published by . This book was released on 2010 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In Chapter 1, I propose a term structure model based on risk-sensitive preferences. Following Hansen and Sargent (2008), I model a risk-sensitive consumer who shows aversion to uncertainties, and evaluates his utility using the max-min utility function. He considers three types of uncertainties: (a) uncertainty of future states; (b) uncertainty about current states; and (c) uncertainty about the model generating the data. I use a parameter to represent his aversion to the each uncertainty. The max-min utility function implies multiplicative adjustments to the standard pricing kernel.
Download or read book Essays on the Volatility of the Term Structure of Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2000 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Interest Rates written by Jack M. Guttentag and published by . This book was released on 1971 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Models of the Term Structure of Interest Rates and Econometric Methods for Continuous Time Stochastic Processes written by Hao Zhou and published by . This book was released on 2000 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Term Structure of Interest Rates and Monetary Policy written by Magnus Dahlquist and published by . This book was released on 1995 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Dynamic Interaction of Expectations Monetary Policy and the Term Structure of Interest Rates written by Albert Lee Chun and published by . This book was released on 2007 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Financial Econometrics written by Kees Evert Bouwman and published by . This book was released on 2008 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
