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
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 ter...
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| Format: | Others |
| Language: | English en |
| Published: |
2009
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| Online Access: | http://tuprints.ulb.tu-darmstadt.de/1313/1/Endabgabe_ASchulan.pdf Schulan, Alexander <http://tuprints.ulb.tu-darmstadt.de/view/person/Schulan=3AAlexander=3A=3A.html> : 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, Darmstadt [Ph.D. Thesis], (2009) |
| Summary: | 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. |
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