Essays on financial econometrics: modeling the term structure of interest ratesBouwman, K. E., 2008, Enschede: PrintPartners Ipskamp B.V., Enschede, The Netherlands. 124 p.
Research output: Thesis › Thesis fully internal (DIV) › Academic
This dissertation bundles five studies in financial econometrics that are related to the theme of modeling the term structure of interest rates. The main contribution of this dissertation is a new arbitrage-free term structure model that is applied in an empirical analysis of the US term structure. The model has a simple but flexible structure and uses factors that have a clear economic interpretation. The empirical analysis indicates that time-varying risk premia are a dominating factor in the relation between the term structure and the business cycle. Furthermore, a comparison of the short rate implied by the model and the Federal Funds target rate shows that the implied short rate leads the target.
|Qualification||Doctor of Philosophy|
|Place of Publication||Enschede|
|Publication status||Published - 2008|
- Proefschriften (vorm), Rente, Termijnen, Obligaties, methoden en technieken van de economie