On interest rate dynamics and change in persistence:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2008
|
| Series: | Berichte aus der Volkswirtschaft
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXII, 95 S. graph. Darst. 21 cm, 176 gr. |
| ISBN: | 9783832276690 |
Staff View
MARC
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Record in the Search Index
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| adam_text | CONTENTS LIST OF FIGURES IX LIST OF TABLES IX DANKSAGUNG XI OVERVIEW
XIII DEUTSCHE ZUSAMMENFASSUNG XVII PARTI 1 1 P-VALUE SURFACES FOR TIME
SERIES ECONOMETRICS * WITH AN APPLICATION TO LONG-TERM INTEREST RATES 3
1.1 INTRODUCTION 4 1.2 A COINTEGRATED VAR MODEL FOR BOND YIELDS 5 1.3
P-VALUE SURFACES I: COINTEGRATION RANK TEST FOR EXPECTATIONS HYPOTHESIS
. 8 1.4 P-VALUE SURFACES II: COINTEGRATION RANK AND WEAK EXOGENEITY IN A
FOUR- VARIABLE SYSTEM 15 1.5 CONCLUSION 18 PART II 25 2 MONETARY POLICY
IMPLEMENTATION AND OVERNIGHT RATE PERSISTENCE 27 2.1 INTRODUCTION 28 2.2
LONG MEMORY MODELS 29 2.2.1 FRACTIONAL INTEGRATION AND PERSISTENCE 29
2.2.2 ESTIMATING FRACTIONALLY INTEGRATED PROCESSES 31 2.3 MONETARY
POLICY IMPLEMENTATION AND THE PERSISTENCE OF POLICY SPREADS... 32 V
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/991378970 DIGITALISIERT
DURCH VI CONTENTS 2.3.1 RESERVE REQUIREMENTS 32 2.3.2 OPEN MARKET
OPERATIONS 33 2.3.3 STANDING FACILITIES 33 2.3.4 THE IMPLEMENTATION OF
THE POLICY RATE 34 2.4 THE PERSISTENCE OF POLICY SPREADS 36 2.4.1 DATA
36 2.4.2 EMPIRICAL RESULTS 38 2.5 CONCLUSION 40 3 ADDITIVE OUTLIERS,
OUTLIER CORRECTION AND FRACTIONAL INTEGRATION * A SIM- ULATION STUDY 43
3.1 INTRODUCTION 44 3.2 SEMI-PARAMETRIC ESTIRNATORS FOR THE LONG MEMORY
PARAMETER 45 3.3 SIMULATION SETUP: OUTLIER PROCESS AND CORRECTION 46 3.4
SIMULATION RESULTS 47 3.5 CONCLUSION 48 PART III 51 4 ON CRITICAL VALUES
OF TESTS AGAINST A CHANGE IN PERSISTENCE 53 4.1 INTRODUCTION 55 4.2 TEST
STATISTICS 55 4.3 A PUZZLING DIFFERENCE 56 4.4 ASYMPTOTIC CONSIDERATIONS
58 4.5 THE MEAN-EXPONENTIAL STATISTIC 58 4.6 SUMMARY 59 5 TESTING
AGAINST A CHANGE FROM SHORT TO LONG MEMORY 61 5.1 INTRODUCTION 62 5.2
HYPOTHESES AND ASSUMPTIONS 62 5.3 KIM S RATIO TESTS 64 5.4 LBI TYPE
TESTS BY BUSETTI K TAYLOR 67 5.5 MONTE CARLO EVIDENCE 68 5.5.1 EMPIRICAL
SIZE 69 5.5.2 POWER 69 5.6 CONCLUSIONS 72 VII CONTENTS 6 BREAK POINT
ESTIMATION OF CHANGES IN PERSISTENCE 79 6.1 INTRODUCTION 80 6.2
COMPETING CHANGE POINT ESTIMATORS 80 6.3 MONTE CARLO EVIDENCE 82 6.4
CONCLUSION 87 REFERENCES 89
|
| any_adam_object | 1 |
| author | Scheithauer, Jan |
| author_facet | Scheithauer, Jan |
| author_role | aut |
| author_sort | Scheithauer, Jan |
| author_variant | j s js |
| building | Verbundindex |
| bvnumber | BV035395910 |
| ctrlnum | (OCoLC)300461832 (DE-599)DNB991378970 |
| dewey-full | 332.46 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.46 |
| dewey-search | 332.46 |
| dewey-sort | 3332.46 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T21:34:16Z |
| institution | BVB |
| isbn | 9783832276690 |
| language | English |
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| physical | XXII, 95 S. graph. Darst. 21 cm, 176 gr. |
| publishDate | 2008 |
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| publisher | Shaker |
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| series2 | Berichte aus der Volkswirtschaft |
| spelling | Scheithauer, Jan Verfasser aut On interest rate dynamics and change in persistence Jan Scheithauer Aachen Shaker 2008 XXII, 95 S. graph. Darst. 21 cm, 176 gr. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Frankfurt (Main), Univ., Diss., 2008 EU-Staaten stw Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration stw Schätzung stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zins stw Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Zinsänderung (DE-588)4117718-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Geldpolitik (DE-588)4019902-2 s Zinsänderung (DE-588)4117718-6 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017316631&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Scheithauer, Jan On interest rate dynamics and change in persistence EU-Staaten stw Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration stw Schätzung stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zins stw Zeitreihenanalyse (DE-588)4067486-1 gnd Geldpolitik (DE-588)4019902-2 gnd Zinsänderung (DE-588)4117718-6 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4019902-2 (DE-588)4117718-6 (DE-588)4113937-9 |
| title | On interest rate dynamics and change in persistence |
| title_auth | On interest rate dynamics and change in persistence |
| title_exact_search | On interest rate dynamics and change in persistence |
| title_full | On interest rate dynamics and change in persistence Jan Scheithauer |
| title_fullStr | On interest rate dynamics and change in persistence Jan Scheithauer |
| title_full_unstemmed | On interest rate dynamics and change in persistence Jan Scheithauer |
| title_short | On interest rate dynamics and change in persistence |
| title_sort | on interest rate dynamics and change in persistence |
| topic | EU-Staaten stw Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration stw Schätzung stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zins stw Zeitreihenanalyse (DE-588)4067486-1 gnd Geldpolitik (DE-588)4019902-2 gnd Zinsänderung (DE-588)4117718-6 gnd |
| topic_facet | EU-Staaten Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration Schätzung Theorie Volatilität Zeitreihenanalyse Zins Geldpolitik Zinsänderung Hochschulschrift |
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