Essays on financial econometrics: modeling the term structure of interest rates

Bouwman, K. E., 2008, Enschede: PrintPartners Ipskamp B.V., Enschede, The Netherlands. 124 p.

Research output: ThesisThesis fully internal (DIV)Academic

  • Kees Evert Bouwman
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.
Original languageEnglish
QualificationDoctor of Philosophy
Place of PublicationEnschede
Print ISBNs9789078249078
Publication statusPublished - 2008


  • Proefschriften (vorm), Rente, Termijnen, Obligaties, methoden en technieken van de economie

ID: 14599104