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...

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...

This paper examines the impact that a currency target zone has on short-term interest rates. For a number of countries in the European Monetary System, we characterize the short rate using a regime-switching model that allows fbr a differently parameterized mean-reverting square-root process in...

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates-the so-called level effect. This paper examines the interaction between the estimated level effect and...

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates?the so-called level effect. This paper examines the interaction between the estimated level effect and...