Search for dissertations about: "Interest rate volatility"

Showing result 6 - 10 of 24 swedish dissertations containing the words Interest rate volatility.

  2. 6. Expectations, Uncertainty, and Monetary Policy

    Author : David Kjellberg; Annika Alexius; Nils Gottfries; Ulf Söderström; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Policy; Expectations; Uncertainty; Uncovered Interest Parity; Interest Rates; Economics; Nationalekonomi;

    Abstract : Essay 1 - To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0. READ MORE

  4. 7. The Macroeconomics of the Term Structure of Interest Rates

    Author : Paolo Zagaglia; Matthew Lindquist; Refet S. Gurkaynak; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; term structure of interest rates; monetary policy; money market; Economics; Nationalekonomi; Economics; nationalekonomi;

    Abstract : This thesis consists of four papers, summarized as follows. "The Term Structure of Interest Rates and the Monetary Transmission Mechanism" This paper provides empirical evidence that the term structure of interest rates is an integral part of the monetary transmission mechanism. READ MORE

  5. 8. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

  6. 9. Essays on Empirical Macroeconomics

    Author : Martin W Johansson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; structural breaks.; output volatility; threshold autoregression; fiscal policy; real exchange rates; Aggregate consumption; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : The first essay reexamines the proposed presence of so-called loss aversion in aggregate consumption. Recent empirical and theoretical studies have suggested, that consumption growth reacts asymmetrically to positive and negative expected income growth. READ MORE

  7. 10. Unconventional Monetary Policy at the International, National and Local Level

    Author : Martin Nordström; Pär Österholm; Niclas Kreuger; Lars Hultkrantz; Jesper Lindé; Örebro universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian VAR; Cointegration; Forecast evaluation; Municipal debt; Spread; Stochastic volatility; Sveriges Riksbank; Time-varying parameters; Unconventional monetary policy;

    Abstract : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. READ MORE