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 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 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 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 Lance Alexander Fisher and published by . This book was released on 1993 with total page 138 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 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 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 Essays on the Term Structure of Interest Rates written by Wei Shi and published by . This book was released on 1995 with total page 198 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 the Pricing of Equity Options written by Sadayuki Ono and published by . This book was released on 2004 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Term Structure of Interest Rates and Exchange Rates written by Julieta Yung and published by . This book was released on 2014 with total page 129 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 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 Essays on the Term Structure of Interest Rates and Federal Reserve Decision Making written by Todd Andrew Vermilyea and published by . This book was released on 1998 with total page 352 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.