The effects of the macroeconomy on the yield curve in the short and medium term and on the relative attractiveness of the main asset classes : three empirical essays.
Technische Universität, Darmstadt
[Ph.D. Thesis], (2009)
Available under Creative Commons Attribution Non-commercial No Derivatives, 2.5.
Download (1MB) | Preview
|Item Type:||Ph.D. Thesis|
|Title:||The effects of the macroeconomy on the yield curve in the short and medium term and on the relative attractiveness of the main asset classes : three empirical essays|
The thesis analyzes the feedback effects between the real economy and the term structure of interest rates of government bonds. An empirical macro-finance model of the term structure of interest rates focuses on the macroeconomic determinants of the term structure of interest rates in the medium term. The estimation of the model shows that realized macroeconomic volatility (second moment) has an impact on the influence of the macroeconomy (first moment) on the term structure of interest rates. An empirical event study quantifies short term announcement effects of the release of macroeconomic indicators on the level of interest rates of government bonds as well as on the slope and curvature of the term structure of interest rates. A further re-search deals with the feedback effects between the main asset classes and real eco-nomic activity, whereas the relative attractiveness of the main asset classes during the business cycle is empirically analyzed.
|Place of Publication:||Darmstadt|
|Uncontrolled Keywords:||Term Structure of Interest Rates, Government Bonds, Macroeconomic Determinants, Macro-Finance Model, Macroeconomic Volatility, Event Study, Announcement Ef-fects, Macroeconomic Indicators, Relative Attractiveness of Asset Classes, Business Cycle|
|Classification DDC:||300 Sozialwissenschaften > 330 Wirtschaft|
|Divisions:||01 Law and Economics|
|Date Deposited:||09 Feb 2009 08:29|
|Last Modified:||03 Aug 2016 07:12|
|Referees:||Entorf, Prof. Dr. Horst and Barens, Prof. Dr. Ingo|
|Refereed:||16 December 2008|