Sökning: "interest rates"

Visar resultat 6 - 10 av 415 avhandlingar innehållade orden interest rates.

1. 6. 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. 7. 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

4. 8. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

   Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

5. 9. Expectations, Uncertainty, and Monetary Policy

   Författare :David Kjellberg; Annika Alexius; Nils Gottfries; Ulf Söderström; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Policy; Expectations; Uncertainty; Uncovered Interest Parity; Interest Rates; Economics; Nationalekonomi;

   Sammanfattning : Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0. LÄS MER

7. 10. 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