Three Essays In The Term Structure Of Interest Rates
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Three Essays In The Term Structure Of Interest Rates
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Author : Chun Won Yi
language : en
Publisher:
Release Date : 2003
Three Essays In The Term Structure Of Interest Rates written by Chun Won Yi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Three Essays On The Term Structure Of Interest Rates
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Author : Hyoung-Seok Lim
language : en
Publisher:
Release Date : 2004
Three Essays On The Term Structure Of Interest Rates written by Hyoung-Seok Lim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Interest rates categories.
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.
Three Essays On The Term Structure Of Interest Rates
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Author : Jean-Guy Simonato
language : en
Publisher:
Release Date : 1994
Three Essays On The Term Structure Of Interest Rates written by Jean-Guy Simonato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Interest rates categories.
"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." --
Three Essays On The Expectations Theory For Term Structure Of Interest Rates
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Author : Erdenebat Bataa
language : en
Publisher:
Release Date : 2006
Three Essays On The Expectations Theory For Term Structure Of Interest Rates written by Erdenebat Bataa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle
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Author : Tong-hŏn Kim
language : en
Publisher:
Release Date : 2000
Essays On The Term Structure Of Interest Rates Monetary Policy And Business Cycle written by Tong-hŏn Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business forecasting categories.
Three Essays In Policy Regime Changes Interest Rate Volatility And Federal Reserve Credibility
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Author : Gikas Angelos Hardouvelis
language : en
Publisher:
Release Date : 1985
Three Essays In Policy Regime Changes Interest Rate Volatility And Federal Reserve Credibility written by Gikas Angelos Hardouvelis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Interest rates categories.
Three Essays On The Term Structure
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Author : Robin James Brenner
language : en
Publisher:
Release Date : 1989
Three Essays On The Term Structure written by Robin James Brenner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Interest rates categories.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Essays On The Term Structure Of Interest Rates
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Author : Nisha Aroskar
language : en
Publisher:
Release Date : 2003
Essays On The Term Structure Of Interest Rates written by Nisha Aroskar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Interest rates categories.
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.
Essays On The Term Structure Of Interest Rates
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Author : Andrew Christopher Meldrum
language : en
Publisher:
Release Date : 2012
Essays On The Term Structure Of Interest Rates written by Andrew Christopher Meldrum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.