Author : J. C. Dodds
Publisher :
Page : 336 pages
File Size : 23,88 MB
Release : 1974
Category : Business & Economics
ISBN :
[PDF] Expectations Uncertainty And The Term Structure Of Interest Rates eBook
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Expectations, Uncertainty, and the Term Structure of Interest Rates
Author : J. Colin Dodds
Publisher :
Page : 314 pages
File Size : 25,1 MB
Release : 1992
Category : Interest
ISBN :
Expectations, Uncertainty and the Term Structure of Interest Rates
Author : J. C. Dodds
Publisher : Ashgate Publishing
Page : 314 pages
File Size : 35,38 MB
Release : 1992
Category : Interest
ISBN : 9780751200973
Provides a critical, analytical base for the major theories on the term structure of interest rates. The authors establish guidelines with which to subject individual theories to empirical evaluation, and provide a survey of the evidence to accompany the procedural aspects of the evaluation.
Expectations, Uncertainty and the Term Structure of Interest Rates [By] J. C. Dodds [And] J. L. Ford
Author : J. C. Dodds
Publisher :
Page : 314 pages
File Size : 23,4 MB
Release : 1974
Category : Interest
ISBN :
Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates
Author : Carlo A. Favero
Publisher :
Page : 28 pages
File Size : 19,42 MB
Release : 2001
Category : Interest rates
ISBN :
Term Structure of Interest Rates
Author : Burton Gordon Malkiel
Publisher : Princeton University Press
Page : 294 pages
File Size : 12,12 MB
Release : 2015-12-08
Category : Business & Economics
ISBN : 1400879787
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
The Japanese Term Structure of Interest Rates
Author : Gary Stephen Shea
Publisher :
Page : 286 pages
File Size : 43,78 MB
Release : 1982
Category : Debt
ISBN :
New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates
Author :
Publisher :
Page : 28 pages
File Size : 34,22 MB
Release : 1987
Category :
ISBN :
The Term Structure of Interest Rates
Author : David Meiselman
Publisher :
Page : 96 pages
File Size : 44,89 MB
Release : 1962
Category : Business & Economics
ISBN :
Predicting the Term Structure of Interest Rates
Author : Michiel De Pooter
Publisher :
Page : 52 pages
File Size : 20,88 MB
Release : 2010
Category :
ISBN :
We assess the relevance of parameter uncertainty, model uncertainty, and macroeconomic information for forecasting the term structure of interest rates. We study parameter uncertainty by comparing Bayesian inference with frequentist estimation techniques, and model uncertainty by combining forecasts from individual models. We incorporate macroeconomic information in yield curve models by extracting common factors from a large panel of macro series. Our results show that accounting for parameter uncertainty does not improve the forecast performance of individual models. The predictive accuracy of single models varies over time considerably and we demonstrate that mitigating model uncertainty by combining forecasts leads to substantial gains in predictability. Combining forecasts using a weighting method that is based on relative historical performance results in highly accurate forecasts. The gains in terms of forecast performance are substantial, especially for longer maturities, and are consistent over time. In addition, we find that adding macroeconomic factors generally is beneficial for improving out-of-sample forecasts.