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Essays on the term structure of the ...

Columbia University.

Essays on the term structure of the interest rates.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on the term structure of the interest rates.
Author:	Pasaogullari, Mehmet.
Description:	243 p.
Notes:	Source: Dissertation Abstracts International, Volume: 70-08, Section: A, page: 3117.
Notes:	Adviser: Michael Woodford.
Contained By:	Dissertation Abstracts International70-08A.
Subject:	Economics, General.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3373545
ISBN:	9781109345889

Essays on the term structure of the interest rates.
Pasaogullari, Mehmet.

Essays on the term structure of the interest rates. - 243 p.

Source: Dissertation Abstracts International, Volume: 70-08, Section: A, page: 3117.

Thesis (Ph.D.)--Columbia University, 2009.

This dissertation investigates whether structural macroeconomic models can explain empirical facts about the term structure of interest rates.

ISBN: 9781109345889Subjects--Topical Terms:

212429
Economics, General.

Essays on the term structure of the interest rates.
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100 1 $a Pasaogullari, Mehmet. $3 384299
245 1 0 $a Essays on the term structure of the interest rates.
300 $a 243 p.
500 $a Source: Dissertation Abstracts International, Volume: 70-08, Section: A, page: 3117.
500 $a Adviser: Michael Woodford.
502 $a Thesis (Ph.D.)--Columbia University, 2009.
520 $a This dissertation investigates whether structural macroeconomic models can explain empirical facts about the term structure of interest rates.
520 $a In the first chapter we investigate the observed slope of inflation compensation in nominal government bond yields and demonstrate that it is very difficult to explain by the existence of large inflation risk premia. Using data from the UK and the US we show that a large class of micro-founded models fails to produce such premia in a way that is consistent with data. We propose a DSGE model with regime switching in the central bank's inflation target. Taking advantage of the well documented change in UK monetary policy to adopt inflation targeting, we estimate our model using nominal and inflation-linked Treasury bond data from the UK from 1985 to 2007. We find that this model can account for the term structure of inflation compensation in the nominal yield curve by generating regime dependent conditional expectations of future inflation.
520 $a In the second chapter we investigate the ability of DSGE models with heteroskedastic shocks to account for the time variation of excess returns on default-free bonds that has been observed in US postwar data. We find that a suitably calibrated simple model can produce sufficiently volatile bond risk premia for certain parameter values. Such calibrations however produce some implausible implications for the behavior of real interest rates and macroeconomic variables. Moreover, the calibrated parameters cannot be recovered from an estimation of the model using US data.
520 $a In the third chapter I use a DSGE model with recursive utility to study whether such a model can create a sizeable slope in nominal term structure. I estimate this model with a time-varying inflation target of the monetary authority. Although the fit of those models to the data is quite good, these data does not support a high and positive population-implied average slope of the nominal yield curve under such a model.
590 $a School code: 0054.
650 4 $a Economics, General. $3 212429
650 4 $a Economics, Finance. $3 212585
650 4 $a Economics, Theory. $3 212740
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710 2 $a Columbia University. $3 212899
773 0 $t Dissertation Abstracts International $g 70-08A.
790 1 0 $a Woodford, Michael, $e advisor
790 $a 0054
791 $a Ph.D.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3373545