Term structure of government bond yields : a macro-finance approach

Download
2006
Artam, Halil
Interactions between macroeconomic fundamentals and term structure of interest rates be stronger according to the way of changes in structure of worldwide economy. Combined macro-finance analysis determines the joint dynamics of term structure of interest rates and macroeconomic fundamentals. This thesis provides analysis of two existing macro-finance models and an original one. Parameter estimations for these three macro-finance term structure models are done for monthly Turkish data by use of an efficient recursive estimator Kalman filter. In spite of the small scale application the results are satisfactory except first model but with longer sets of macroeconomic variables and interest rate data models provide more encouraging results.

Suggestions

Monetary Policy in The General Theory
Ekinci, Nazım Kadri (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2008-6)
The theory of interest rate is central to Keynesian macroeconomics. This paper provides an interpretation of Keynes’ conventional theory of the interest rate. Accordingly, the interest rate can only be determined in the market, if expectations converge. The central bank is a market-maker, because of its capacity to manage expectations and to affect market outcomes. On the other hand, interest rate and asset prices determine the rate at which wealth is converted into income. This may be a crucial considerati...
Frequency domain approach and short run and long run causality test: Evidence from Turkey for interest rate and exchange rate relationship
Tarı, Recep; Abasız, Tezcan (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009-12-1)
Relationship between short term nominal interest rates and nominal exchange rates that the Central Bank in Turkey used as a means of monetary policy tool during the period of 1987:1-2008:1 was analysed by using frequency domain approach within the framework of spectral analysis. According to the findings, the causal relationship from the exchange rate to the interest rate was valid only for the short run, whereas this relationship was effective for totally 45 months before, during and after the crisis. The ...
Investigation of smooth breaks and nonlinear mean reversion in real interest parity: evidence from asian countries
Gülcü, Abdullah; Yıldırım Kasap, Dilem; Department of Economics (2017)
This study explores the empirical validity of long run Real Interest Parity (RIP) for a set of Asian countries for the period of January 1984 and August 2016 by taking Japan as a base country. We apply unit root test of Christopoulos and Leon-Ledesma (2010) which enables us to measure infrequent smooth temporary breaks and nonlinear mean reversion in the real interest rate differential (rid) series simultaneously. We model the smooth breaks by Fourier function while nonlinearity in rids series are model by ...
Actuarial present value and variance for changing mortality and stochastic interest rates
Yıldırım, Bükre; Kestel, Sevtap Ayşe; Coşkun-Ergökmen, N. Gülden (2017-01-01)
Stochastic modeling of interest rates is expected to lead a better risk management in long-term investments due to the rapid changes and random fluctuations in the economies. Considering the fact that deterministic interest rate approach does not yield realistic future values, a country-specific stochastic model is aimed to fit the interest rates based on the United States Treasury Inflation Protected Securities (TIPS) at 10-year constant maturity by using time series techniques. Under the assumption that i...
Asset-backed stable numeraire approach for sustainable valuation
Aydin, Nadi Serhan; Rainer, Martin (2020-05-01)
Interest rates underpin almost every instrument/transaction in conventional financial markets. Valuation of the instruments in relation to interest rates remains meaningful only ifcashcan be attributed a worth of its own (which is generally assumed to accumulate over time). The relevant concepts such as the stochastic short rate and the conventional numeraire (i.e. the money market account) not only become restrictive when one attempts to build more realistic models in quantitative finance, but also - as we...
Citation Formats
H. Artam, “ Term structure of government bond yields : a macro-finance approach,” M.S. - Master of Science, Middle East Technical University, 2006.