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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

Schulan, Alexander :
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.
TU Darmstadt
[Ph.D. Thesis], (2009)

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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
Language: English
Abstract:

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.

Alternative Abstract:
Alternative AbstractLanguage
Die Dissertation analysiert die Wechselwirkungen zwischen der Realwirtschaft und der Zinsstrukturkurve für Staatsanleihen. Ein empirisches Macro-Finance Modell für die Zinsstrukturkurve untersucht die mittelfristigen makroökonomischen Determinan-ten der Zinsstrukturkurve und zeigt, dass die realisierte makroökonomische Volatilität (zweites Moment) einen Einfluss auf die Auswirkungen der Makroökonomie (erstes Moment) auf die Zinsstrukturkurve hat. Eine Ereignisstudie quantifiziert die kurzfristi-gen Ankündigungseffekte von makroökonomischen Indikatoren auf das Niveau ein-zelner Zinssätze und auf die Steigung und Krümmung der Zinsstrukturkurve. Eine weitere Analyse beleuchtet die Wechselwirkungen zwischen einzelnen Vermögens-klassen und der realwirtschaftlichen Aktivität. Dabei wird die relative Attraktivität der Vermögensklassen im Verlauf des Konjunkturzyklus empirisch untersucht.UNSPECIFIED
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
Alternative keywords:
Alternative keywordsLanguage
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 CycleEnglish
Classification DDC: 300 Sozialwissenschaften > 330 Wirtschaft
Divisions: Fachbereich Rechts- und Wirtschaftswissenschaften
Date Deposited: 09 Feb 2009 08:29
Last Modified: 07 Dec 2012 11:54
URN: urn:nbn:de:tuda-tuprints-13135
License: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0
Referees: Entorf, Prof. Dr. Horst and Barens, Prof. Dr. Ingo
Refereed: 16 December 2008
URI: http://tuprints.ulb.tu-darmstadt.de/id/eprint/1313
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