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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...
Persistent link: https://www.econbiz.de/10009464960
We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi nancial crisis. Since the restrictive mean reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...
Persistent link: https://www.econbiz.de/10012530393
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...
Persistent link: https://www.econbiz.de/10009439200
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...
Persistent link: https://www.econbiz.de/10009439439
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...
Persistent link: https://www.econbiz.de/10009440749
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...
Persistent link: https://www.econbiz.de/10009442351
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...
Persistent link: https://www.econbiz.de/10009442390
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...
Persistent link: https://www.econbiz.de/10009442986
In my dissertation, I explore the relationship between capital controls and the choiceof the maturity structure of external debt in a general equilibrium setup, incorporatingexplicitly the role of international lenders. I look at specific types of capital controlswhich take the form of...
Persistent link: https://www.econbiz.de/10009465028
The time horizon of decision-making is an essential dimension of economic problemsbut is difficult to explicitly define. In this thesis, we use time series analysisaugmented by wavelet transform methods to precisely identify distinct time horizonsin economic data and measure their explanatory...
Persistent link: https://www.econbiz.de/10009466260