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 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 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 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 390 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 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 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 written by Magnus Hyll and published by . This book was released on 2000 with total page 130 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 Volatility of the Term Structure of Interest Rates in the U K Market written by Christine Budd and published by . This book was released on 1982 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Download or read book Essays on asset liabilty modelling written by David Frederik Schrager and published by Rozenberg Publishers. This book was released on 2007 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Yield Curve Its Predictive Power and Monetary Policy written by Hibiki Ichiue and published by . This book was released on 2005 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: