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Term structure of government bond yields : a macro-finance approach
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index.pdf
Date
2006
Author
Artam, Halil
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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.
Subject Keywords
Rate of Interest.
,
Interest
URI
http://etd.lib.metu.edu.tr/upload/12607565/index.pdf
https://hdl.handle.net/11511/16323
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Graduate School of Applied Mathematics, Thesis
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H. Artam, “ Term structure of government bond yields : a macro-finance approach,” M.S. - Master of Science, Middle East Technical University, 2006.
