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Showing 1 to 20 of 114 for “"Term Structure"”.
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Tax effects and term structure measurement.
… consquence of this is that the after-tax term structure and implied tax rates may be different across different sets of bonds. The objective of this study is to test empirically for tax-induced clienteles in the market for government bonds with a regression methodology. Nonlinear least …
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Estimating dynamic affine term structure models
… some pointed problems in estimating affine term structure models when the price of risk is dynamic, that is, risk factor dependent. The risk neutral parameters are estimated with precision, while the price of risk parameters are not. For the Gaussian models they investigated, these problems …
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Variable risk and the term structure
… variable risk hypothesis is then applied to the term structure of interest rates. The empirical testing generates further support for the liquidity and term premium hypotheses, while a test of the segmented markets hypothesis using this measure of risk is not supportive.
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ESTIMATION OF THE FISHER EFFECT ON THE TERM STRUCTURE OF INTEREST RATES EMPLOYING A TERM STRUCTURE OF INFLATIONARY EXPECTATIONS
… deals with the estimation of the effect of a term structure of inflationary expectations on the term structure of interest rates. By estimating the Fisher effect over the entire term structure, this analysis captures the associational effects between values of the interest rates along a term …
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Essays on the term structure of equity returns
This dissertation contains three essays on the term structure of equity returns. In the first chapter I document substantial variation in the cross-section of the term premium of US stocks between 1996 and 2019. I introduce a model with multiple stocks and an SDF with two priced sources of risk - …
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On commodity trading strategies: momentum, term structure, maturity, indexation
… efficiency of commodity markets. First, short-term continuation and long-term reversal in commodity futures prices are examined. While contrarian strategies do not work, 13 profitable momentum strategies have been identified that generate 9.38% average return a year. On average the momentum …
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Calibrating Term Structure Models to an Initial Yield Curve
… is for a model to be calibrated to the initial term structure and to recover the bond prices observed in the market – that is, to be calibrated to the initial yield curve. Under the two exogenous models explored in this dissertation, the Hull-White and the CIR++, the effect of increasing the …
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A dynamic term structure model of Central Bank policy
… policy of the Central Bank within a Dynamic Term Structure Model (DTSM). We follow Piazzesi (2005) and implement monetary policy by including the Fed target rate as a state variable. The discontinuous target dynamics are accurately modeled via a non-linear switching process, while still …
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Expectations, risk, and the term structure of interest rates.
Massachusetts Institute of Technology. Dept. of Economics. Thesis. 1969. Ph.D.
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A hozamgörbe dinamikus becslése = Dynamic Estimation of the Term Structure
… becsli illetve jelzi előre a magyarországi kamattermékből származtatott hozamgörbét. Ez kiemelt jelentőségű, mert bár az Egyesült Államok piacaira tengernyi vizsgálatot végeztek el, sokszor hasonló, ám néhány esetben egymásnak ellentmondó következtetéseket vonva le a szerzők, a magyar …
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Expectations, Error-Learning and the Term Structure of Interest Rates
Made available in DSpace on 2014-12-14T14:17:06Z (GMT). No. of bitstreams: 1 7803943.pdf: 3595433 bytes, checksum: b2de44b77b7d17a9a8e0038de812a76c (MD5) Previous issue date: 1977
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Three essays on savings and the term structure of lending
… for capital and the insufficient supply of long term funding for productive investment. The first chapter shows how shallow or non-existent secondary markets for capital can induce a short term bias in lending, a problem observed in developing countries. A general equilibrium model is developed …
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Term structure models with unspanned factors and unspanned stochastic volatility
Certain models of the term structure of interest rates exhibit unspanned stochastic volatility (USV). A model has this property if it involves a source of stochastic variation — called an unspanned factor — that does not affect the model’s interest rates directly, but does affect the extent to …
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Linear-Rational Term Structure Models With Flexible Level-Dependent Volatility
… that the estimated state dependent volatility structure is significantly different to that of typical models, where it is set it a priori. The effect the added degree of freedom has on the model implied swaption skew is then analysed.
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Level Dependence in Volatility in Linear-Rational Term Structure Models
… volatility is analysed in the linearrational term structure model. The linear-rational square-root (LRSQ) model, where level dependence is set a priori, is compared to a specification where the factor process follows CEV-type dynamics which allows a more flexible degree of level dependence. …
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Monetary policy, gradualism, and the term structure of interest rates
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1997.
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The term structure of interest rates: U.S. government bonds, 1955-1989
The behavior of the term structure of interest rates in government bonds parallels that of the behavior in high-grade corporate bonds. Previous studies have demonstrated that there are synchronous changes in different maturities in high-grade corporate bonds. Results of statistical tests and …
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