Testing the Expectations Hypothesis when Interest Rates are Near Integrated
Testing the Expectations Hypothesis when Interest Rates are Near Integrated

Author: Meredith J. Beechey

Publisher:

Published: 2008

Total Pages: 42

ISBN-13:

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"Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.

Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics
Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics

Author: Nguyen Ngoc Thach

Publisher: Springer Nature

Published: 2022-05-28

Total Pages: 865

ISBN-13: 3030986896

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This book overviews latest ideas and developments in financial econometrics, with an emphasis on how to best use prior knowledge (e.g., Bayesian way) and how to best use successful data processing techniques from other application areas (e.g., from quantum physics). The book also covers applications to economy-related phenomena ranging from traditionally analyzed phenomena such as manufacturing, food industry, and taxes, to newer-to-analyze phenomena such as cryptocurrencies, influencer marketing, COVID-19 pandemic, financial fraud detection, corruption, and shadow economy. This book will inspire practitioners to learn how to apply state-of-the-art Bayesian, quantum, and related techniques to economic and financial problems and inspire researchers to further improve the existing techniques and come up with new techniques for studying economic and financial phenomena. The book will also be of interest to students interested in latest ideas and results.

Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models

Author: G. Gregoriou

Publisher: Springer

Published: 2015-12-26

Total Pages: 229

ISBN-13: 0230295207

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This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.

A Rational Expectations Approach to Macroeconometrics
A Rational Expectations Approach to Macroeconometrics

Author: Frederic S. Mishkin

Publisher: University of Chicago Press

Published: 2007-11-01

Total Pages: 184

ISBN-13: 0226531929

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A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Term Structure of Interest Rates
Term Structure of Interest Rates

Author: Burton Gordon Malkiel

Publisher: Princeton University Press

Published: 2015-12-08

Total Pages: 294

ISBN-13: 1400879787

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Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

Monetary Policy and Interest Rates
Monetary Policy and Interest Rates

Author: Riccardo Rovelli

Publisher: Palgrave Macmillan

Published: 1998-09-14

Total Pages: 295

ISBN-13: 9780333716472

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An authoritative examination for top international policymakers and academics conducting monetary policy arising from a conference organised by the Banca d'Italia. The yield curve - the relation among market interest rates of different maturities - is a key benchmark for evaluating investment strategies in the global financial market. To a growing extent, central banks use it to evaluate, explain to the public and monitor the results of policy decisions.

Do Energy Prices Respond to U.S. Macroeconomic News? a Test of the Hypothesis of Predetermined Energy Prices
Do Energy Prices Respond to U.S. Macroeconomic News? a Test of the Hypothesis of Predetermined Energy Prices

Author: Lutz Kilian

Publisher:

Published: 2008

Total Pages: 36

ISBN-13:

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"Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since exactly identifying assumptions are inherently untestable, this approach in practice has required an act of faith in the empirical plausibility of the delay restriction used for identification. An alternative view that would invalidate such models is that energy prices respond instantaneously to macroeconomic news, implying that energy prices should be ordered last in recursively identified VAR models. In this paper, we propose a formal test of the identifying assumption that energy prices are predetermined with respect to U.S. macroeconomic aggregates. Our test is based on regressing cumulative changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and supporting the use of delay restrictions for identification"--Federal Reserve Board web site.

Introduction of a New Conceptual Framework for Government Debt Management
Introduction of a New Conceptual Framework for Government Debt Management

Author: Anja Hubig

Publisher: Springer Science & Business Media

Published: 2013-01-18

Total Pages: 228

ISBN-13: 3658009187

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​Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.