McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
نویسندگان
چکیده
منابع مشابه
Term Structure of Interest Rates
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
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In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
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Despite its important role in macroeconomics and finance, the expectations hypothesis (EH) of the term structure of interest rates has received little empirical support. While the EH’s poor performance has been attributed to a variety of sources, none appear to account for the EH’s poor performance. Recent evidence (Diebold and Li, 2003; Duffee, 2002; and Carriero, et al., 2003) suggests the po...
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After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government intervent...
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Recent articles of Sánchez and Gómez (2003a, 2003b, 2004) addressed the subject of fuzzy regression (FR) and the term structure of interest rates (TSIR). Following Tanaka et. al. (1982), their regression models included a fuzzy output, fuzzy coefficients and an non-fuzzy input vector. The fuzzy components were assumed to be triangular fuzzy numbers (TFNs). The basic idea was to minimize the fuz...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1292698