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  1. 1. The Macroeconomics of the Term Structure of Interest Rates

    Författare :Paolo Zagaglia; Matthew Lindquist; Refet S. Gurkaynak; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; term structure of interest rates; monetary policy; money market; Economics; Nationalekonomi; Economics; nationalekonomi;

    Sammanfattning : This thesis consists of four papers, summarized as follows. "The Term Structure of Interest Rates and the Monetary Transmission Mechanism" This paper provides empirical evidence that the term structure of interest rates is an integral part of the monetary transmission mechanism. LÄS MER

  3. 2. Essays on the term structure of interest rates

    Författare :Magnus Hyll; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This volume contains five essays on topics related to interest rate theory.The first essay, Affine Term Structures and Short-Rate Realizations of Forward Rate Models Driven by Jump-Diffusion Processes, examines the problem of determining when a given forward rate model has a short-rate realization, and when a short-rate model gives rise to an affine term structure. LÄS MER

  4. 3. On the term structure of forwards, futures and interest rates

    Författare :Camilla Landén; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Term structure; Markovian realizations; affine term structures.; Optimization; systems theory; Optimeringslära; systemteori;

    Sammanfattning : .... LÄS MER

  5. 4. 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

  7. 5. No Arbitrage Pricing and the Term Structure of Interest Rates

    Författare :Thomas Gustavsson; Jan Söderström; Peter Sehlin; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Sammanfattning : This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. LÄS MER