The term structure of interest rates and monetary policy: an empirical assessment
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Nebentitel: Zinsstruktur und Geldpolitik |
| Beschreibung: | XIII, 126 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | CONTENTS
GENERAL INTRODUCTION AND RESULTS V
ALLGEMEINE EINFIIHRUNG UND ERGEBNISSE IX
1 MEAN-VARIANCE COINTEGRATION AND THE EXPECTATIONS HYPOTHESIS 1
1.1 INTRODUCTION 1
1.2 TERM PREMIUM MODELS AND THE EXPECTATIONS HYPOTHESIS 4
1.2.1 THE STOCHASTIC DISCOUNT FACTOR MODEL AND A
CAPM-MOTIVATED PRICING KERNEL 5
1.2.2 STATIONARITY PROPERTIES OF SPREADS AND PREMIA: TESTABLE
HYPOTHESES 7
1.2.3 LINKAGE TO THE LINEARIZED EXPECTATIONS HYPOTHESIS 9
1.3 ECONOMETRIC MODELING 11
1.3.1 TESTING FOR INTEGRATED INTEREST RATE SPREADS 12
1.3.2 TESTING FOR INTEGRATED HOLDING PREMIA 13
1.3.3 TESTING FOR MEAN-VARIANCE COINTEGRATION 14
1.4 EMPIRICAL RESULTS 16
1.4.1 DATA 16
I
HTTP://D-NB.INFO/1047551187
CONTENTS II
1.4.2 UNIT ROOT TESTS FOR INTEREST RATE SPREADS 18
1.4.3 IGARCH TESTS FOR HOLDING PREMIA 19
1.4.4 MEAN-VARIANCE COINTEGRATION TESTS 21
1.5 ROBUSTNESS CHECKS 24
1.5.1 ENDOGENOUS STRUCTURAL BREAKS AND PERSISTENCE IN VARIANCE . 25
1.5.2 INITIAL VALUES AND THE SHAPE OF THE VARIANCE SERIES 25
1.5.3 DISTRIBUTIONAL ASSUMPTION 26
1.6 CONCLUSION 26
L.A THE LINKAGE FROM THE HOLDING PREMIUM IN THE SDF-CAPM MODEL
TO THE ROLLOVER PREMIUM IN THE LINEARIZED EXPECTATIONS MODEL . . 30
1.B THE MEAN-VARIANCE COINTEGRATION TEST: SIMULATING THE DISTRIBU
TION OF THE TEST STATISTIC 33
2 ASSESSING THE ANCHORING OF INFLATION EXPECTATIONS 35
2.1 INTRODUCTION 35
2.2 ASSESSING THE DEGREE OF ANCHORING 38
2.3 BREAK-EVEN INFLATION RATES 40
2.4 EMPIRICAL RESULTS ON THE ANCHORING OF INFLATION EXPECTATIONS ... 43
2.4.1 STRENGTH AND LEVEL OF THE ANCHOR 43
2.4.2 IMPULSE RESPONSE ANALYSIS 46
2.5 CONCLUSION 49
2.A TERM STRUCTURE ESTIMATION 50
2.B ESTAR SPECIFICATION TESTS 51
2.C NEWS VARIABLES 52
CONTENTS III
2.C.1 NEWS DATA 52
2.C.2 ESTIMATION RESULTS FOR NEWS VARIABLES 53
2.D GENERALIZED IMPULSE RESPONSE AND X-LIFE 55
2.D.1 IMPULSE RESPONSE 55
2.D.2 X-LIFE 55
3 TESTING THE PREFERRED-HABITAT THEORY: THE ROLE OF TIME-
VARYING RISK AVERSION 56
3.1 INTRODUCTION 56
3.2 THE PREFERRED-HABITAT THEORY 59
3.2.1 THE MODEL GREENWOOD AND VAYANOS (2012) 59
3.2.2 TESTABLE HYPOTHESES 60
3.3 ECONOMETRIC METHODOLOGY .. 64
3.3.1 THE STATIC REGRESSION 64
3.3.2 INTRODUCING DYNAMICS 64
3.3.3 HOW TO PROXY RISK AVERSION . . ^ 65
3.4 DATA: YIELD SPREADS AND THE MATURITY STRUCTURE OF DEBT 68
3.5 EMPIRICAL RESULTS 71
3.5.1 STATIC REGRESSIONS 71
3.5.2 DYNAMIC REGRESSIONS AND STATE-DEPENDENT COEFFICIENTS ... 73
3.6 CONCLUSION 76
3.A RESULTS FROM THE EXTENDED SAMPLE 78
3.B RESULTS FOR THE LIMITING CASE: NON-STATIONARITY OF TERM SPREADS
AND DEBT SUPPLY 82
CONTENTS
IV
3.C ADDITIONAL RESULTS AND SPECIFICATION TESTS 85
4 THE SIGNAL OF VOLATILITY 86
4.1 INTRODUCTION *. 86
4.2 VOLATILITY SIGNALS IN A STYLIZED MODEL ECONOMY 90
4.2.1 THE MARKET PARTICIPANT: SIGNAL EXTRACTION PROBLEM .... 90
4.2.2 THE ECONOMETRICIAN: TESTABLE HYPOTHESES 92
4.3 EMPIRICAL APPROACH: MEASURING INVESTORS REACTION TO OBSERVED
RETURNS 93
4.3.1 SIMULTANEOUS MODEL AND IDENTIFICATION 93
4.3.2 TIME-VARYING COEFFICIENTS 95
4.4 APPLICATION: THE SIGNAL OF INTERNATIONAL STOCK MARKET VOLATILITY .
98
4.4.1 DATA 98
4.4.2 SPECIFICATION TESTS 99
4.4.3 RESULTS 102
4.4.4 CRISIS, CORRELATION AND COEFFICIENTS 108
4.5 CONCLUSION 110
4.A CONSTANT, LINEAR AND NON-LINEAR SPILLOVER ILL
BIBLIOGRAPHY 112
|
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| spelling | Strohsal, Till Verfasser aut The term structure of interest rates and monetary policy an empirical assessment vorgelegt von Till Strohsal Zinsstruktur und Geldpolitik 2013 XIII, 126 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Nebentitel: Zinsstruktur und Geldpolitik Berlin, Freie Univ., Diss., 2013 Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstrukturtheorie (DE-588)4117720-4 s Geldpolitik (DE-588)4019902-2 s DE-188 Erscheint auch als Online-Ausgabe urn:nbn:de:kobv:188-fudissthesis000000095935-9 http://www.diss.fu-berlin.de/diss/receive/FUDISS_thesis_000000095935 kostenfrei Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027000705&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Strohsal, Till The term structure of interest rates and monetary policy an empirical assessment Zinsstrukturtheorie (DE-588)4117720-4 gnd Geldpolitik (DE-588)4019902-2 gnd |
| subject_GND | (DE-588)4117720-4 (DE-588)4019902-2 (DE-588)4113937-9 |
| title | The term structure of interest rates and monetary policy an empirical assessment |
| title_alt | Zinsstruktur und Geldpolitik |
| title_auth | The term structure of interest rates and monetary policy an empirical assessment |
| title_exact_search | The term structure of interest rates and monetary policy an empirical assessment |
| title_full | The term structure of interest rates and monetary policy an empirical assessment vorgelegt von Till Strohsal |
| title_fullStr | The term structure of interest rates and monetary policy an empirical assessment vorgelegt von Till Strohsal |
| title_full_unstemmed | The term structure of interest rates and monetary policy an empirical assessment vorgelegt von Till Strohsal |
| title_short | The term structure of interest rates and monetary policy |
| title_sort | the term structure of interest rates and monetary policy an empirical assessment |
| title_sub | an empirical assessment |
| topic | Zinsstrukturtheorie (DE-588)4117720-4 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Zinsstrukturtheorie Geldpolitik Hochschulschrift |
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