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Dynamic Risk Profile of the US Term Structure by Wavelet MRA

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...

Persistent link: https://www.econbiz.de/10005125063

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

Heidari, Massoud; Wu, Liuren - EconWPA - 2002

Dynamic term structure models (DTSMs) price interest rate derivatives based on the model implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often...

Persistent link: https://www.econbiz.de/10005134665

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Heidari, Massoud; WU, Liuren - EconWPA - 2002

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are...

Persistent link: https://www.econbiz.de/10005134877

The Term Structure of Interest Rates and Future Inflation

Kotlán, Viktor - EconWPA - 2000

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations...

Persistent link: https://www.econbiz.de/10005412621

Phenomenology of the interest curve

BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...

Persistent link: https://www.econbiz.de/10005413172

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...

Persistent link: https://www.econbiz.de/10005413218

ACTIVE AND PASSIVE SEIGNIORAGE REVENUES: THE CASE FOR TURKEY 1970-1997

Halicioglu, Ferda - EconWPA - 2005

This study is concerned with the components of the total seigniorage revenues that have been collected by the Turkish governments during the years 1970-1997. Traditionally, a government can increase the monetary base in order to finance its expenditures partially. This form of monetary finance...

Persistent link: https://www.econbiz.de/10005076728

EMU, EURO and EU-Membership: An Evaluation from the Turkish Macroeconomic Perspective

Kibritcioglu, Aykut - EconWPA - 2003

Section of Cyprus are preparing their economy for a full-membership to the EU while Turkey, as an associate- member of the … Union since 1963 and as a part of customs union between Turkey and the EU since 1996, seems to be excluded from the next EU … Turkey different than the 11 membership candidate countries and the EU countries in terms of the ten selected macroeconomic …

Persistent link: https://www.econbiz.de/10005076843

Turkiye'nin dunya ekonomisine entegrasyon sureci ( The integration process of Turkey into the world economy) (IN TURKISH)

HALICIOGLU, Ferda - EconWPA - 2005

This study brifly looks into the process of Turkey into the world economy and concludes that this process has been …

Persistent link: https://www.econbiz.de/10005124899

PUBLICATION PERFORMANCE OF ECONOMISTS AND ECONOMICS DEPARTMENTS IN TURKEY (1999-2003)

cokgezen, murat - EconWPA - 2005

This is the first study evaluating publication performances of economists and economics departments in Turkey. Findings …

Persistent link: https://www.econbiz.de/10005124928