Showing 1 - 10 of 38
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
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
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
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
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
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
This study analyses the static effects of the customs union between Turkey and the European Union (abbreviated as CUTEU …
Persistent link: https://www.econbiz.de/10005408022
This study aims at the dynamic effects of the customs union between Turkey and the European Union (abbreviated as CUTEU …
Persistent link: https://www.econbiz.de/10005408044
This study seeks for the sustainability of budget deficits using a simple quantitative model. This work reveals that the Turkish budget deficits in 1998 are not sustainable according to the alternative scenerios are formed.
Persistent link: https://www.econbiz.de/10005408425
Following the financial crises in November 2000 and February 2001, the Turkish government canceled the 2000-2002 disinflation and economic restructuring program on February 22, 2001, and introduced a new macroeconomic-policy program on April 14, 2001. According to this new program, the annual...
Persistent link: https://www.econbiz.de/10005412705