Topics in modeling the term structure of interest rates
Abstract/Contents
- Abstract
- This dissertation studies topics of current interest in modeling the term structure of interest rates. Chapter 1 develops and estimates a canonical arbitrage-free dynamic term structure model that incorporates macroeconomic variables. The model allows macroeconomic variables to contain information about future yields that is not reflected in the current cross section of yields ("unspanned" macro variables). Moreover, it accommodates rich feedback between macroeconomic and yield variables. Chapters 2 and 3 analyze the behavior of yields in low-interest environments. Standard Gaussian term structure models do not impose a lower bound on yields. As shown in Chapter 2, this can lead to estimation bias when a lower bound is present in the data. Chapter 3 develops a new technique for fast and accurate approximation of arbitrage-free bond yields in a class of "shadow rate" models that formally impose a lower bound on observed yields. Chapter 4 ties together the previous three chapters. It sets up and estimates a shadow rate term structure model with unspanned macro variables, and uses the model to analyze interest rate expectations before, during, and in the aftermath of the recent financial crisis.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2015 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Priebsch, Marcel A |
|---|---|
| Associated with | Stanford University, Department of Economics. |
| Primary advisor | Singleton, Kenneth J |
| Thesis advisor | Singleton, Kenneth J |
| Thesis advisor | Harding, Matthew C |
| Thesis advisor | Levin, Jonathan |
| Advisor | Harding, Matthew C |
| Advisor | Levin, Jonathan |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Marcel A. Priebsch. |
|---|---|
| Note | Submitted to the Department of Economics. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2015. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2015 by Marcel Albert Priebsch
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