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Showing 1 to 20 of 36 for “"Term Structure of Interest Rates"”.
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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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Expectations, Error-Learning and the Term Structure of Interest Rates
… 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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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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Some Theoretical and Empirical Considerations Relative to the Term Structure of Interest Rates
… in DSpace on 2014-12-09T19:32:11Z (GMT). No. of bitstreams: 1 6901399.pdf: 7266948 bytes, checksum: ead55f691a8cf40979bd32d9ac25abb4 (MD5) Previous issue date: 1968
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An analysis of the term structure of interest rates, January 1980-March, 1994
The purpose of this study is to describe and analyze the behavior of the term structure of interest rates on a daily basis between January 2, 1980, and March 31, 1994, especially with respect to the synchronization and the relative amplitude of change of different maturities in the term structure. …
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Budget deficits and the term structure of interest rates : evidence from Mauritius (1968-1999)
Bibliography: leaves 80-85.
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Forecasting future economic growth : the term structure of interest rates, volatility and inflation as leading indicators
… documents the empirical regularity that slope of the term structure of interest rates is a reliable predictor of future real economic activity. Steeper slopes presage increasing growth, and downward sloping term structures presage declining growth or even recession. Some instances of slope's …
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ESTIMATION OF THE FISHER EFFECT ON THE TERM STRUCTURE OF INTEREST RATES EMPLOYING A TERM STRUCTURE OF INFLATIONARY EXPECTATIONS
<p>This study 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 …
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The term structure of interest rates: a comparative analysis of zero-coupon bond forward rates and Eurodollar futures rates
Forward rates and futures rates are conceptually identical in theory. In previous studies, the term structure has been used to demonstrate that there are synchronous changes among different maturities of coupon and zero-coupon bonds. Evidence has also been found that the magnitude of these …
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies …
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Expectations, risk aversion, and the term structure of interest rates in Australia : an analysis of the effect of alternative methods of constructing yield curves on the results of the error learning model, and of the extent of central bank control over the yield curve
xii, 235 leaves : ill. ; 27 cm.
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Empirical essays in macroeconomics and finance
This work provides an empirical examination of the relationship between macroeconomics and finance. In particular, we exploit non linear econometric methods to analyse the information content of the term structure of interest rates. We find that both monetary and financial variables are useful to …
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Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
… models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. …
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Variable risk and the term structure
… then it seems plausible to include some measure of risk as a variable in empirical studies where risk is a factor. Some reasonable measures of risk are proposed based on the concept of a moving information set where the information used to evaluate risk is changing.over time. The resulting …
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Forecasting the Yield Curve of Government Bonds: A Comparative Study
… filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a …
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