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Essays on Term Structure Models of Interest Rate

Author: Yaping Wang
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 216

Book Description

Essays on Term Structure Models of Interest Rate

Author: Yaping Wang
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 216

Book Description

Essays on the Term Structure of Interest Rates

Author: Nisha Aroskar
Publisher:
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.

Essays on the Term Structure of Interest Rates

Author: Wei Shi
Publisher:
ISBN:
Category :
Languages : en
Pages : 198

Book Description

Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle

Author: Tong-hŏn Kim
Publisher:
ISBN:
Category : Business forecasting
Languages : en
Pages : 166

Book Description

Modeling the Term Structure of Interest Rates

Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171

Book Description
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.

Essays on Multifactor Models of the Term Structure of Interest Rates

Author: Adrian Luis Eterovic
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 298

Book Description

Modeling the Term Structure of Interest Rates Across Countries

Author: Stan Maes
Publisher: 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.