Author: Feng ZhaoPublisher:
ISBN:
Category :
Languages : en
Pages : 238
Book Description
Essays on Empirical Term Structure Modeling
Essays On The Theory And Estimation Of Term Structure Models
Author: Pedro Santa-ClaraEssays on the Term Structure of Interest Rates
Author: Nisha AroskarPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages :
Book Description
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.
Modeling the Term Structure of Interest Rates Across Countries
Author: Stan MaesPublisher: LAP Lambert Academic Publishing
ISBN: 9783838301181
Category :
Languages : en
Pages : 264
Book Description
An understanding of the stochastic behaviour of yields is important for the conduct of monetary policy, the financing of public debt, the expectations of real economic activity and inflation, the risk management of a portfolio of securities, and the valuation of interest rate derivatives. It is, therefore, not surprising that the study of yield curve dynamics is occupying such a prominent and unique place in theoretical and empirical macroeconomics and finance.
Three Essays on the Term Structure
Author: Robin James BrennerPublisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 508
Book Description
Essays on the Term Structure of Interest Rates
Author: Wei ShiEmpirical Essays on Financial Economics
Author: Henrik DegrérPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 156
Book Description
Essays on Macro-finance Affine Term Structure Models
Author: Biancen XiePublisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 111
Book Description
In my dissertation, I focus on theoretical affine term structure models and the development of Bayesian econometric methods to estimate them.In the first Chapter, we address the question of which unspanned macroeconomic factors are the best in the class of macro-finance Gaussian affine term structure models. To answer this question, we extend Joslin, Priebsch, and Singleton (2014) in two dimensions. First, following Ang and Piazzesi (2003) and Chib and Ergashev (2009), three latent factors, instead of the first three principal components of the yield curve, are used to represent the level, slope and curvature of the yield curve. Second we postulate a grand affine model that includes all the macro-variables in contention. Specific models are then derived from this grand model by letting each of the macro-variables play the role of a relevant macro factor (i.e. by affecting the time-varying market price of factor risks), or the role of an irrelevant macro factor (having no effect on the market price of factor risks). The Bayesian marginal likelihoods of the resulting models are computed by an efficient Markov chain Monte Carlo algorithm and the method of Chib (1995) and Chib and Jeliazkov (2001). Given eight common macro factors, our comparison of 28=256 affine models shows that the most relevant macro factors for the U.S. yield curve are the federal funds rate, industrial production, total capacity utilization, and housing sales. We also show that the best supported model substantially improves out-of-sample yield curve forecasting and the understanding of term-premium.The second Chapter considers the question of which unspanned macro factors can improve prediction in arbitrage-free affine term structure models and convert return forecasts into economic gains. To achieve this, we develop a Bayesian framework for incorporating different combinations of macro variables within an affine term structure framework. Then each specific model within the framework is evaluated statistically and economically. For the statistical evaluation, we examine its out-of-sample yield density forecasting. The economic value of each model is compared in terms of the bond portfolio choice of a Bayesian risk- averse investor. We consider two main kinds of macro factors: representative macro factors in Chib et al. (2019) and principal component macro factors in Ludvigson and Ng (2009b). Our empirical results show that regardless of macro dataset we use(either Chib et al. (2019) or Ludvigson and Ng (2009b)), macro factor in real economic activity, financial sector and price index will help generate notable gains in out-of-sample forecast. Such gains in predictive accuracy translate into higher portfolio returns after accounting for estimation error and model uncertainty. In contrast, incorporating redundant macro variables into the affine term structure models can even decrease utility and prediction accuracy for investors. In addition, given the data sample we consider in the Chapter, we also find that principle component factors can perform relatively better than representative macro factors in terms of certainty equivalence return (CER).The third Chapter compares the posterior sampling performance of No-U-Turn sam- pler(NUTS) algorithm and tailored randomized-blocking Metropolis-Hastings (TaRB-MH) for macro-finance affine Term structure models. We conduct empirical experiments on 3 affine term structure models with the U.S. yield curve data. For each experiment, we examine the sampling efficiency of model parameters, factors, term premium, predictive yields,etc. Our emprical results indicate that the TaRB-MH substantially outperforms the NUTS methodin terms of the convergence and efficiency in posterior sampling. Furthermore, we show that NUTS' inefficiency in simulating the affine term structure models will be robust given different initial values for the algorithm.
Essays on Dynamic Term Structure Models
Author: Thomas Mogensbjerg JensenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Author: Sarah Mouabbi