Sökning: "Nominal interest rates"

Visar resultat 1 - 5 av 20 avhandlingar innehållade orden Nominal interest rates.

  1. 1. Markov Regime Switching in Economic Time Series

    Författare :Ulf Erlandsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; forecasting; Markov switching; exchange rates; interest rates; business cycle; economic policy; economic systems; economic theory; econometrics; Economics; currency crisis;

    Sammanfattning : This dissertation studies statistical properties and applications of the Markov switching models for economic time series in five separate papers. The two main statistical themes are (i) the task of choosing the number of states to use in the model, and (ii) inference on time-varying transition probabilities. LÄS MER

  3. 2. Essays on the term structure of interest rates and monetary policy

    Författare :Magnus Dahlquist; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Penningpolitik; Ränta;

    Sammanfattning : This thesis consists of four empirical essays, summarized below.In “On Alternative Interest Rate Processes'' the interest rate dynamics for four European countries are studied. There seems to be a positive relation between the interest rate level and the volatility of interest rate changes. LÄS MER

  4. 3. Essays on the term structure of interest rates and long-run risks

    Författare :Henrik Hasseltoft; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Stocks, Bonds, and Long-Run Consumption Risks. Bansal and Yaron (2004) show that long-run consumption risks and time-varying economic uncertainty in conjunction with recursive preferences can account for important features of equity markets. LÄS MER

  5. 4. Essays in option pricing and interest rate models

    Författare :Irina Slinko; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : .... LÄS MER

  7. 5. Essays on Trade, Growth and Exchange Rates

    Författare :Jerker Stefan Göran Lundbäck; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; International commerce; Internationell ekonomi;

    Sammanfattning : In the first chapter we test if Purchasing Power Parity, PPP, is empirically valid and when that is not the case we test if productivity growth differences can account for the deviations from PPP by co-integration analysis. Interestingly, the results lend support in favour of PPP in several cases and when PPP is rejected GDP per capita growth rate differences seem to explain the long-run deviations from PPP. LÄS MER