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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 (2009)
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
Ph.D. Thesis, Primary publication

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Item Type: Ph.D. Thesis
Type of entry: Primary publication
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
Referees: Entorf, Prof. Dr. Horst ; Barens, Prof. Dr. Ingo
Date: 5 February 2009
Place of Publication: Darmstadt
Date of oral examination: 16 December 2008
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.

German
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
URN: urn:nbn:de:tuda-tuprints-13135
Classification DDC: 300 Social sciences > 330 Economics
Divisions: 01 Department of Law and Economics
Date Deposited: 09 Feb 2009 08:29
Last Modified: 03 Aug 2016 07:12
URI: https://tuprints.ulb.tu-darmstadt.de/id/eprint/1313
PPN: 213595192
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