Essays on expectations:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2003
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| Schriftenreihe: | Berichte aus der Volkswirtschaft
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 151 S. graph. Darst. |
| ISBN: | 3832217150 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | ESSAYS ON EXPECTATIONS INAUGURAL-DISSERTATION ZUR ERLANGUNG DES
AKADEMISCHEN GRADES EINES DOKTORS DER WIRTSCHAFTSWISSENSCHAFT DES
FACHBEREICHS WIRTSCHAFTSWISSENSCHAFT DER FREIEN UNIVERSITAT BERLIN
VORGELEGT VON DIPLOM-VOLKSWIRTIN HANNAH S. NIELSEN A 237163 2003
CONTENTS 1 INTRODUCTION 1 2 EXPECTATIONS FORMATION 5 2.1 AUTOREGRESSIVE
EXPECTATIONS 5 2.2 RATIONAL EXPECTATIONS 8 2.2.1 RATIONAL EXPECTATIONS
HYPOTHESIS 9 2.2.2 CHARACTERISTICS AND TESTS 11 3 INFLATION EXPECTATIONS
15 3.1 INTRODUCTION 15 3.2 METHODS FOR QUANTIFICATION 17 3.2.1
PROBABILITY METHOD 17 3.2.2 BALANCE STATISTIC 31 3.3 EMPIRICAL
APPLICATION 33 3.3.1 DATA 33 3.3.2 DISTRIBUTION FUNCTION 38 3.3.3 TIME
HORIZON 41 3.3.4 SCALING PARAMETER 43 3.3.5 COMPARISON WITH BALANCE
STATISTIC 47 3.4 CONCLUDING REMARKS 48 4 RATIONALITY OF INFLATION
EXPECTATIONS 49 4.1 INTRODUCTION 49 VN VIII CONTENTS 4.2 TESTING THE
RATIONALITY OF INFLATION EXPECTATIONS 50 4.2.1 STATIONARY VARIABLES 50
4.2.2 NONSTATIONARY VARIABLES 56 4.3 EMPIRICAL APPLICATION 62 4.3.1 UNIT
ROOT TESTS 62 4.3.2 SHORT SAMPLE 65 4.3.3 LONG SAMPLE 72 4.4 CONCLUDING
REMARKS 84 5 INTEREST RATE EXPECTATIONS 87 5.1 INTRODUCTION 87 5.2
PRELIMINARIES 89 5.2.1 OPTIONS 89 5.2.2 RISK-NEUTRAL PRICING 90 5.3
EXTRACTION OF EXPECTATIONS VIA IMPLIED DENSITY FUNCTIONS 92 5.3.1
OVERVIEW OF DIFFERENT TECHNIQUES 92 5.4 MIXTURE OF LOGNORMAL DENSITY
FUNCTIONS 97 5.4.1 THE LOGNORMAL DISTRIBUTION 97 5.4.2 THE MIXTURE OF
LOGNORMALS AND PARAMETER ESTIMATION . . 98 5.4.3 COMPUTATION OF STANDARD
ERRORS . 102 5.5 EMPIRICAL APPLICATION 103 5.5.1 DATA 104 5.5.2 DATES OF
INTEREST 107 5.5.3 RESULTS AND INTERPRETATION 107 5.5.4 COMPARISON WITH
ONE LOGNORMAL DISTRIBUTION 113 5.6 CONCLUDING REMARKS 115 6 CONCLUSION
117 APPENDIX 119 APPENDIX A. INVARIANCE TO THE AGGREGATION METHOD 120
CONTENTS IX APPENDIX B. EXTRACTION OF MOMENTS 123 B.I DERIVATION OF
MOMENTS 123 B.2 STANDARD ERRORS 126 B.3 MOMENTS OF THE MATURITIES 128
B.4 COMPARISON OF THE MOMENTS 133 APPENDIX C. OPTIMIZATION PROCEDURE 135
LIST OF FIGURES 137 LIST OF TABLES 139 BIBLIOGRAPHY 141
|
| any_adam_object | 1 |
| author | Nielsen, Hannah |
| author_facet | Nielsen, Hannah |
| author_role | aut |
| author_sort | Nielsen, Hannah |
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| building | Verbundindex |
| bvnumber | BV017371506 |
| classification_rvk | QC 020 |
| ctrlnum | (OCoLC)53425389 (DE-599)BVBBV017371506 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV017371506 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:17:14Z |
| institution | BVB |
| isbn | 3832217150 |
| language | English |
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| physical | IX, 151 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
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| series2 | Berichte aus der Volkswirtschaft |
| spelling | Nielsen, Hannah Verfasser aut Essays on expectations Hannah S. Nielsen Aachen Shaker 2003 IX, 151 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Berlin, Freie Univ., Diss., 2003 Inflationsrate (DE-588)4120485-2 gnd rswk-swf Erwartungsbildung (DE-588)4193073-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Zinsänderung (DE-588)4117718-6 gnd rswk-swf Inflation (DE-588)4026887-1 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Rationale Erwartung (DE-588)4121553-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Erwartungsbildung (DE-588)4193073-3 s Zinsänderung (DE-588)4117718-6 s Ökonometrisches Modell (DE-588)4043212-9 s DE-188 Inflationsrate (DE-588)4120485-2 s Inflation (DE-588)4026887-1 s Zinsstrukturtheorie (DE-588)4117720-4 s Rationale Erwartung (DE-588)4121553-9 s GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010469941&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nielsen, Hannah Essays on expectations Inflationsrate (DE-588)4120485-2 gnd Erwartungsbildung (DE-588)4193073-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zinsänderung (DE-588)4117718-6 gnd Inflation (DE-588)4026887-1 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Rationale Erwartung (DE-588)4121553-9 gnd |
| subject_GND | (DE-588)4120485-2 (DE-588)4193073-3 (DE-588)4043212-9 (DE-588)4117718-6 (DE-588)4026887-1 (DE-588)4117720-4 (DE-588)4121553-9 (DE-588)4113937-9 |
| title | Essays on expectations |
| title_auth | Essays on expectations |
| title_exact_search | Essays on expectations |
| title_full | Essays on expectations Hannah S. Nielsen |
| title_fullStr | Essays on expectations Hannah S. Nielsen |
| title_full_unstemmed | Essays on expectations Hannah S. Nielsen |
| title_short | Essays on expectations |
| title_sort | essays on expectations |
| topic | Inflationsrate (DE-588)4120485-2 gnd Erwartungsbildung (DE-588)4193073-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zinsänderung (DE-588)4117718-6 gnd Inflation (DE-588)4026887-1 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Rationale Erwartung (DE-588)4121553-9 gnd |
| topic_facet | Inflationsrate Erwartungsbildung Ökonometrisches Modell Zinsänderung Inflation Zinsstrukturtheorie Rationale Erwartung Hochschulschrift |
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