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 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 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: "This dissertation is formed of three essays on the term structure of interest rates. The first essay compares Kalman filter and GMM methodologies for parameter estimation of log-linear term structure models. The second essay develops the maximum likelihood estimation of a deposit insurance pricing model with stochastic interest rates. The third essay examines the empirical performance of an equilibrium model of nominal bond prices with changing inflation regimes." --

Download or read book Three Essays on the Modeling of the Term Structure of Interest Rates written by Julius Taehoon Kim and published by . This book was released on 1995 with total page 0 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 Essays on the Term Structure of Interest Rates Monetary Policy and Business Cycle written by Tong-hŏn Kim and published by . This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Term Structure of Interest Rates written by Basma Z. Bekdache and published by . This book was released on 1994 with total page 132 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 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 Three Essays on the Interaction of Monetary Policy and Long term Interest Rates written by Yuan Xiao and published by . This book was released on 2000 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Term Structure written by Robin James Brenner and published by . This book was released on 1989 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Term Structure of the Interest Rates written by Mehmet Pasaogullari and published by . This book was released on 2009 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Term Structure of Interest Rates written by Lance Alexander Fisher and published by . This book was released on 1988 with total page 392 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 Essays on the Information Content of the Term Structure of Interest Rates written by Erika Iulia Gulyás and published by . This book was released on 2006 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Term Structure of Interest Rates written by Shuo Cao and published by . This book was released on 2016 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Asset Pricing written by Ji Zhou and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays. In the first essay, we derive a pricing kernel for a continuous-time long-run risks (LRR) economy with the Epstein-Zin utility function, non-i.i.d. consumption growth, and incomplete information about fundamentals. In equilibrium, agents learn about latent conditional mean of consumption growth and price equity simultaneously. Since the pricing kernel is endogenous and affected by learning, uncertainty about unobserved conditional mean of consumption growth affects risk prices corresponding to shocks in both consumption and dividend growth. We demonstrate our analytical results by applying the model to a profitability-based equity valuation model proposed by Pastor and Veronesi (2003). Calibration of the model demonstrates that the LRR model with learning has potential to fit levels of price-dividend ratios of the S&P 500 Composite Index, equity premium, and the short term interest rate simultaneously. In essay two, we extend the LRR model with incomplete information proposed in essay one by incorporating inflation and applying the model to the valuation of nominal term structure of interest rate. We estimate the processes of state variables and latent variables using a Bayesian Markov-Chain Monte Carlo method. In the estimation, we rely only on the information in macro-economic data on aggregate consumption growth, inflation, and dividend growth on S&P 500 Composite Index. In this way, parameters and latent state variables are estimated outside the model. Estimation results suggest a mildly persistent LRR component. However, both real and nominal yield curves implied by the LRR model are downward-sloping. We show that the inverted yield curve is due to a negative risk premium, which is determined jointly by covariance between shocks in state variables and shocks in the nominal pricing kernel. Incorporating learning about the mean consumption growth flattens the yield curve but does not change the sign of the yield curve slope. In essay three, we study the critique of the conditional affine factor asset pricing models proposed by Lewellen and Nagel (2006). They suggest that two important economic constraints are overlooked in cross-sectional regressions. First, the estimated unconditional slope associated with a risk factor should equal the average risk premium on that factor in a conditional model. Second, the estimated slope associated with the product of a risk factor and an instrument should be equal to the covariance of the factor risk premium with the instrument. We test both constraints on conditional models with time-varying betas and our results confirm the proposition. Also, from the functional relationship between conditional and unconditional betas, we identify an unconditional constraint on unconditional betas for time-varying beta models and develop a testing procedure subject to this constraint. We show that imposing this unconditional constraint changes estimates of unconditional betas and risk prices significantly.