Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that...
This article offers a tractable monetary asset pricing model. In monetary economies, the price level...
The thesis analyzes the feedback effects between the real economy and the term structure of interest...
This paper presents an essentially affine model of the term structure of interest rates making use o...
During the past decade, much new research has combined elements of finance, monetary economics and m...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
This dissertation consists of three essays on the term structure of interest rates. In the first ess...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
textabstractThis paper presents an essentially affine model of the term structure of interest rates ...
This work consists of three essays investigating the ability of structural macroeconomic models to p...
Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using...
This paper formulates an affine term structure model of bond yields from a dynamic stochastic genera...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
Since the appearance of the Radcliffe Report, the general liquidity attracts much attention in a fie...
This article offers a tractable monetary asset pricing model. In monetary economies, the price level...
The thesis analyzes the feedback effects between the real economy and the term structure of interest...
This paper presents an essentially affine model of the term structure of interest rates making use o...
During the past decade, much new research has combined elements of finance, monetary economics and m...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
This dissertation consists of three essays on the term structure of interest rates. In the first ess...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
This dissertation bundles five studies in financial econometrics that are related to the theme of mo...
textabstractThis paper presents an essentially affine model of the term structure of interest rates ...
This work consists of three essays investigating the ability of structural macroeconomic models to p...
Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using...
This paper formulates an affine term structure model of bond yields from a dynamic stochastic genera...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
Since the appearance of the Radcliffe Report, the general liquidity attracts much attention in a fie...
This article offers a tractable monetary asset pricing model. In monetary economies, the price level...
The thesis analyzes the feedback effects between the real economy and the term structure of interest...
This paper presents an essentially affine model of the term structure of interest rates making use o...