Synopsis
Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants – pricing kernel, price of risk and affine term structure of interest rates – based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l'auteur
Zbynek Stork, Ph.D. studied Finance and Economics at the University of Economics, Prague. He is a recipient of Fulbright scholarship: 2011/2012 Hubert H. Humphrey Program at Boston University. He focuses on economic modelling and macroeconomic analysis. Currently, he is a Senior Economist at the Ministry of Finance of the Czech Republic.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Term Structure of Interest Rates
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LAP LAMBERT Academic Publishing Jul 2014, 2014
ISBN 10 : 3659563889
ISBN 13 : 9783659563881
Neuf
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants pricing kernel, price of risk and affine term structure of interest rates based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field. 124 pp. Englisch. N° de réf. du vendeur 9783659563881
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Term Structure of Interest Rates
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Term Structure of Interest Rates
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VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2014
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ISBN 13 : 9783659563881
Neuf
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Term Structure of Interest Rates
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Stork ZbynekZbynek Stork, Ph.D. studied Finance and Economics at the University of Economics, Prague. He is a recipient of Fulbright scholarship: 2011/2012 Hubert H. Humphrey Program at Boston University. He focuses on economic model. N° de réf. du vendeur 5165029
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Term Structure of Interest Rates
Edité par
LAP LAMBERT Academic Publishing Jul 2014, 2014
ISBN 10 : 3659563889
ISBN 13 : 9783659563881
Neuf
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Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants - pricing kernel, price of risk and affine term structure of interest rates - based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 124 pp. Englisch. N° de réf. du vendeur 9783659563881
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Term Structure of Interest Rates : Macro-Finance Approach
Edité par
LAP LAMBERT Academic Publishing, 2014
ISBN 10 : 3659563889
ISBN 13 : 9783659563881
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants pricing kernel, price of risk and affine term structure of interest rates based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field. N° de réf. du vendeur 9783659563881
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Term Structure of Interest Rates | Macro-Finance Approach
Edité par
LAP LAMBERT Academic Publishing, 2014
ISBN 10 : 3659563889
ISBN 13 : 9783659563881
Neuf
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Taschenbuch. Etat : Neu. Term Structure of Interest Rates | Macro-Finance Approach | Zbynek Stork | Taschenbuch | 124 S. | Englisch | 2014 | LAP LAMBERT Academic Publishing | EAN 9783659563881 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. N° de réf. du vendeur 105199841
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