We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new Member States of the European...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

In the first chapter, I estimate dynamic factors from the term structure of credit spreads and the term structure of equity option implied volatilities, and I provide a comprehensive characterization of the dynamic relationships among those credit spread factors and equity volatility factors. I...

This dissertation investigates whether U.S. commercial banks substitute fee-based income for the decreases in net interest income brought about by a flattening term structure of interest rates. Given the current economic climate, the fee-based activity of interest is asset securitization, though...

Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied 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 takes...

The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a...

The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...

Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor...

Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To...