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The Dynamics of Interest Rates in CEE-3: A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland - Couverture souple
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Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language.
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- ÉditeurVDM Verlag
- Date d'édition2009
- ISBN 10 3639179412
- ISBN 13 9783639179415
- ReliureBroché
- Nombre de pages196
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The Dynamics of Interest Rates in CEE-3
Edité par
VDM Verlag
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
Couverture souple
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Description du livre Etat : New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. N° de réf. du vendeur ria9783639179415_lsuk
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The Dynamics of Interest Rates in CEE-3: A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
Couverture souple
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Description du livre Etat : New. N° de réf. du vendeur ABLING22Oct2817100450318
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The Dynamics of Interest Rates in CEE-3
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
Taschenbuch
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Description du livre Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. 196 pp. Englisch. N° de réf. du vendeur 9783639179415
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EUR 68
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The Dynamics of Interest Rates in CEE-3
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
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Description du livre Kartoniert / Broschiert. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Brechtken Gunnaris with the Financial Stability and Banking Inspections Department of the Austrian National Bank. He holds a degree in Finance from the University of Vienna and has gained experience in the Emerging Market Fixed Incom. N° de réf. du vendeur 4964603
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The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
PAP
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Vendeur :
Evaluation vendeur
Description du livre PAP. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639179415
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The Dynamics of Interest Rates in CEE-3 : A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
Taschenbuch
Quantité disponible : 2
Vendeur :
Evaluation vendeur
Description du livre Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. N° de réf. du vendeur 9783639179415
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EUR 68,82
Autre devise
Image d'archives
The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Edité par
VDM Verlag Dr. Müller
(2009)
ISBN 10 : 3639179412
ISBN 13 : 9783639179415
Neuf
PAP
Quantité disponible : > 20
Vendeur :
Evaluation vendeur
Description du livre PAP. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639179415
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