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Thèses sur le sujet « Interest rates »

Auteur : Grafiati

Publié le 4 juin 2021

Mis à jour le 25 juillet 2025

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1

Bottazzi, Laura. "Essays on exchange rate targets and interest rates." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12879.

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2

Alexius, Annika. "Essays on exchange rates, prices and interest rates." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1997. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-862.

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3

Chantapacdepong, Pornpinun. "Essays in interest rates, exchange rates and savings." Thesis, University of Bristol, 2007. http://hdl.handle.net/1983/2ca48335-de06-42e6-a9fe-05e13bfdc6ab.

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This thesis studies the behaviour of interest rates in government bonds markets, foreign exchange rates and national savings. There are three main chapters in the thesis. The first chapter consists of a comparative study of government securities and risk. It generates monthly interest rate risk premium data and examines their determinants. The results show that the risk premia are time varying and also vary considerably across sample countries. In particular, countries with better financial development and higher income generally have lower risk premia of government assets. Additionally, the r

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4

Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.

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5

Jitmaneeroj, Boonlert. "Survey Expectations ot Interest Rates." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.522080.

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6

MIAO, ZAN. "CIR Modeling of Interest Rates." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-79154.

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Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. By using an ordinary least squares method we can find an initial start value for implementation of a numerical estimate of parameters that maximize the likelihood. Similarly applying those methods to the Vaˇs ́ıˇcek model, we compare the two models with empir

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7

Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.

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In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefor

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8

Lekkos, Ilias. "Empirical evidence on interest rate dynamics : evidence from USD, DM, GBP and JPY interest rates." Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268125.

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9

Hyll, Magnus. "Essays on the term structure of interest rates." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2000. http://www.hhs.se/efi/summary/548.htm/.

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10

Gruber, Peter. "Market expectations of short interest rates." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03608056001/$FILE/03608056001.pdf.

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11

Kulish, Mariano. "Money, interest rates, and monetary policy." Thesis, Boston College, 2005. http://hdl.handle.net/2345/49.

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Thesis advisor: Peter N. Ireland<br>This dissertation contains two independent and self contained essays in monetary economics. Chapter 1: "The New Keynesian Model and The Term Structure of Interest Rates" The first essay studies the ability of a standard New Keynesian model to reproduce the behavior of the term structure of interest rates for the U.S. economy. The model is consistent with important features of the data. The version of the expectations hypothesis embodied in the model does a good job in explaining the patterns of correlations between nominal interest rates of various maturitie

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12

Nikolic, Marko, and Miriam Homsi. "Negative Interest Rates Effect Economic Stability." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40911.

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Today's monetary policy is a historic one, where the introduction of negative interest rates has started a new "age" of unconventional monetary policy and some argue that there is a need for further unconventional monetary tools. The purpose of this thesis is to analyze negative interest rates, how they came to be, what long-term eect they have on economic stability and if its possible to get out. We do this by analyzing existing theoretical and empirical research, including a theoretical model based on household consumption, a cost of money function and an illustration of the liquidity trap.

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13

O???Brien, Peter Banking &amp Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.

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This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a

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14

Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.

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This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that

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15

Ho, Raymond Wai Ming. "Fixed rate mortgage prepayment and the term structure of interest rates." Thesis, Imperial College London, 1998. http://hdl.handle.net/10044/1/7384.

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16

Fendel, Ralf. "Monetary policy, interest rate rules, and the term structure of interest rates : theoretical considerations and empirical implications /." Frankfurt am Main [u.a.] : Lang, 2007. http://www.loc.gov/catdir/toc/fy0709/2007416149.html.

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17

Gogala, Jaka. "Low-factor market models of interest rates." Thesis, University of Warwick, 2015. http://wrap.warwick.ac.uk/81986/.

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In this thesis we study three different, but interconnected low-factor market models: LIBOR market model, Markov-functional model, and two-currency Markov-functional model. The LIBOR market model (LMM) is one of the most popular term structure models. However, it suffers from a major drawback, it is high-dimensional. The problem of highdimensionality can be in part solved imposing a separability condition. We will be interested how the separability condition interacts with time-homogeneity, a desirable property of an LMM. We address this question by parametrising two- and three-factor separabl

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18

Hutton, Jay. "The term structure of Canadian interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ38534.pdf.

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19

Roszbach, Kasper. "Essays on banking, credit and interest rates." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1998. http://www.hhs.se/efi/summary/488.htm.

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20

Calvert, Paul Wesley. "The effect of inflation on interest rates." Thesis, Montana State University, 1988. http://etd.lib.montana.edu/etd/1988/calvert/CalvertP1988.pdf.

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This thesis addresses the effect of expected inflation on interest rates, and in so doing attempts to., replicate the findings of John Makin. In order to obtain an unbiased estimate of the effect of expected inflation on interest rates, other variables, such as inflation uncertainty, Federal budget deficits, the state of the business cycle and Federal Reserve policy, were included in the model. The model is a reduced form, modified IS-LM macroeconomic model with a money sub-model to separate expected from unexpected monetary policy. The regressions showed that a 1% change in expected inflation

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21

Baker, Lesley J. "Life annuities under random rates of interest." [Johnson City, Tenn. : East Tennessee State University], 2001. http://etd-submit.etsu.edu/etd/theses/available/etd-0716101-164302/unrestricted/bakerl0809.pdf.

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22

Zhang, Hua 1962. "The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168.

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This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-factor empirical term structure model, based on 22 years of cross-maturity time series data. The results show that the price differences, between the well-known Vasicek, and Cox, Ingersoll and Ross models and the three-factor empirical model, for interest-rate sensitive securities are of substantial

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23

Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.

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This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The

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24

Begum, Jahanara. "A theoretical and empirical study of real exchange rates and interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ31916.pdf.

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25

Galindo-Paliza, Luis Miguel Alejandro. "The demand for money, interest rates and the exchange rate in Mexico." Thesis, University of Newcastle Upon Tyne, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.241548.

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26

Bekdache, Basma Z. "Essays on the Term Structure of Interest Rates." Thesis, Boston College, 1994. http://hdl.handle.net/2345/1754.

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Thesis advisor: Christopher Baum<br>In the first essay, a multiprocess mixture model (MM) is used to explain the time variation in the relationship between forward rates and future spot rates. I find considerable support for modeling the relationship between one-month spot rates and forward rates in a timevarying framework using data for the U.S. Treasury Bill market for the period 1959 to 1991. The posterior probabilities from the MM model confirm that the period between October 1979 to 1982 represents a change in policy regime for the U.S. Federal Reserve. More specifically, the probabilitie

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27

Aroskar, Nisha. "Essays on the term structure of interest rates." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1064238845.

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Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains x, 143 p. : ill. Advisor: Paul Evans, Dept. of Economics. Includes bibliographical references (p. 136-143).

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28

Huang, Shuhui. "Target zones and dynamic properties of interest rates." Thesis, Georgia Institute of Technology, 1995. http://hdl.handle.net/1853/28665.

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29

Han, Liang. "Collateralisation, interest rates and signalling in entrepreneurial finance." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/51523/.

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Berger and Udell (1990) made an important distinction between sorting-byobserved- risk (SBOR) and sorting-by-private-information (SBPI) as responses to asymmetric information in financing entrepreneurial ventures. The current research seeks not to distinguish, but to integrate, these responses in what is called Signalling and Self-Selection (SASS) model. By developing Bester’s (1985) model, the SASS model is one in which the type (high or low) of the entrepreneur is private information known only to the entrepreneur and the bank offers a menu of contracts as a self-selection mechanism. The SAS

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30

GAMBIRASIO, RICARDO FIBE. "HIGH INTEREST RATES IN BRAZIL: A THEORETICAL APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9127@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>FUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO<br>Esta dissertação visa propor e analisar, no contexto de modelos dinâmicos estocásticos de equilíbrio geral com rigidez de preços, possíveis explicações para o fato estilizado de que o juro no Brasil é excessivamente alto. As implicações de diferentes hipóteses aplicadas aos modelos serão analisadas através de funções de resposta a impulso (FRIs). Será analisada, quando possível, a evidência empírica disponível na literatura a favor ou contra cada hipótese, e as FRI

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31

MONTEIRO, ANA PAULA QUEIROGA. "WHO FORECASTS INTEREST RATES BETTER: TRADERS OR ECONOMISTS?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=17995@1.

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As taxas de juros representam uma das variáveis macroeconômicas mais importantes, em especial para a condução da política monetária, ao influenciar diretamente na determinação do custo do dinheiro e na formação de preço de diversos produtos financeiros. Embora tenham sido desenvolvidos modelos de previsão de taxas de juros, pouco ainda se apurou no sentido da medição da capacidade preditiva das expectativas dos agentes de mercado quanto à taxa de juros e sua interação com as taxas de juros futuros praticadas no mercado de derivativos no Brasil. Nesse contexto surge o questionamento de quem pre

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32

Straub, Ludwig (Ludwig Wilhelm). "Essays on inequality, interest rates and macroeconomic policies." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118064.

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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2018.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references.<br>This thesis consists of three chapters on inequality, interest rates and macroeconomic policies. The first chapter explores the macroeconomic consequences of the recent rise in permanent income inequality. First, I show that in many common macroeconomic models consumption is a linear function of permanent (labor) income. This implies that macroeconomic aggregates are neutral with respect to shifts in the distribution of perman

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33

Meldrum, Andrew Christopher. "Essays on the term structure of interest rates." Thesis, University of Cambridge, 2012. https://www.repository.cam.ac.uk/handle/1810/283903.

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34

Cavaco, Francisco Ferreira. "Are negative interest rates on bank credit possible?" Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20570.

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Mestrado em Economia Monetária e Financeira<br>Na atual estrutura monetária, os bancos centrais estão limitados no seu objetivo de assegurar estabilidade de preços e pleno emprego devido ao limite inferior zero nas taxas de juro nominais. Isto acontece porque taxas de juro nominais negativas nos depósitos bancários - condição necessária para alcançar taxas de juro nominais negativas no crédito bancário - causariam uma fuga de depósitos para dinheiro físico, pois o dinheiro físico paga uma taxa de juro nominal igual a zero. Para contrariar esta restrição, propomos uma nova arquitetura monetária

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35

Aroskar, Nisha suhas. "Essays on the term structure of interest rates." The Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=osu1064238845.

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36

Kwon, Heon-Chul. "The time variant term premium of interest rates." The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1278525146.

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37

Croce, Roberto Maria. "Essays on Interest Rates and the Housing Market." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1305127738.

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38

Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.

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Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage ass

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Cao, Shuo. "Essays on the term structure of interest rates." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7324/.

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This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying pa

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Souza-Sobrinho, Nelson Ferreira. "Essays on interest rates, growth and business cycles." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1428847721&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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41

Au, Chi Kwong. "Instant calibration to the stochastic volatility LIBOR market model /." View abstract or full-text, 2008. http://library.ust.hk/cgi/db/thesis.pl?MATH%202008%20AU.

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42

Chan, Kam Fong. "Modelling short-term interest rates and electricity spot prices /." [St. Lucia, Qld.], 2006. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe19289.pdf.

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43

Simonato, Jean-Guy. "Three essays on the term structure of interest rates." Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=28924.

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This dissertation is formed of three essays on the term structure of interest rates. The first essay compares Kalman filter and GMM methodologies for parameter estimation of log-linear term structure models. The second essay develops the maximum likelihood estimation of a deposit insurance pricing model with stochastic interest rates. The third essay examines the empirical performance of an equilibrium model of nominal bond prices with changing inflation regimes.

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Frank, Jean-Thomas. "The Dependence of Small European Countries' Interest Rates of the Development of European Interest Rate Switzerland and Denmark by Comparison /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00421669001/$FILE/00421669001.pdf.

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45

Chan, Lai Yee. "The influences of external factors on interest rates and exchange rates in industrialized countries." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/430.

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46

Skallsjö, Sven. "Essays on term structure and monetary policy." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-548.

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This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates.The pricing of interest rate swaps An interest rate swap is an agreement between two parties to exchange fix for floating interest rate payments for a certain period of time. Floating rate payments are made at a floating-rate index, e.g. the three-month interbank rate, while the fixed rate payment, the swap rate, is determined on the ma

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Tse, Ching-biu Alan. "The Hong Kong Government's interest rate policy : a political and economic perspective /." [Hong Kong : University of Hong Kong], 1986. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12323378.

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48

Hörmann, Markus [Verfasser]. "Liquidity, interest rates and optimal monetary policy / Markus Hörmann." Dortmund : Universitätsbibliothek Technische Universität Dortmund, 2011. http://d-nb.info/1011568276/34.

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49

Tung, Hsiang-ting, and 童湘婷. "Asymmetric Adjustment of Interest Rates." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/39za7r.

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碩士<br>僑光科技大學<br>企業管理研究所<br>103<br>This study investigates of asymmetric adjustment of retail interest rates in short, medium and long terms take Taiwan area as example. The samples of this paper taken from the Taiwan Economic Report database, by monthly frequency data for the analysis, were used by ADF unit root test, Johansen co-integration test, Threshold co-integration test and Error-correction model, and so on for the purpose of this study. The empirical results show that all interest rates are integrated of order one non-steady state. Using the regression analysis and finding that re

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Pipatchaipoom, Onsurang Norrbin Stefan C. "The robustness of real interest rate parity tests to alternative measures of real interest rates." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-05262005-140851.

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Thesis (Ph. D.)--Florida State University, 2005.<br>Advisor: Dr. Stefan Norrbin, Florida State University, College of Social Sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 21, 2005). Document formatted into pages; contains xii,163 pages. Includes bibliographical references.

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