Verfügbarkeit: On interest rate dynamics and change in persistence

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Titel:	On interest rate dynamics and change in persistence
Von:	Jan Scheithauer
Person:	Scheithauer, Jan Verfasser aut
Hauptverfasser:	Scheithauer, Jan (VerfasserIn)
Format:	Hochschulschrift/Dissertation Buch
Sprache:	Englisch
Veröffentlicht:	Aachen Shaker 2008
Schriftenreihe:	Berichte aus der Volkswirtschaft
Schlagwörter:	EU-Staaten Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration Schätzung Theorie Volatilität Zeitreihenanalyse Zins Geldpolitik Zinsänderung Hochschulschrift
Medienzugang:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017316631&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XXII, 95 S. graph. Darst. 21 cm, 176 gr.
ISBN:	9783832276690

Internformat

MARC


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Datensatz im Suchindex

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adam_text	CONTENTS LIST OF FIGURES IX LIST OF TABLES IX DANKSAGUNG XI OVERVIEW XIII DEUTSCHE ZUSAMMENFASSUNG XVII PARTI 1 1 P-VALUE SURFACES FOR TIME SERIES ECONOMETRICS * WITH AN APPLICATION TO LONG-TERM INTEREST RATES 3 1.1 INTRODUCTION 4 1.2 A COINTEGRATED VAR MODEL FOR BOND YIELDS 5 1.3 P-VALUE SURFACES I: COINTEGRATION RANK TEST FOR EXPECTATIONS HYPOTHESIS . 8 1.4 P-VALUE SURFACES II: COINTEGRATION RANK AND WEAK EXOGENEITY IN A FOUR- VARIABLE SYSTEM 15 1.5 CONCLUSION 18 PART II 25 2 MONETARY POLICY IMPLEMENTATION AND OVERNIGHT RATE PERSISTENCE 27 2.1 INTRODUCTION 28 2.2 LONG MEMORY MODELS 29 2.2.1 FRACTIONAL INTEGRATION AND PERSISTENCE 29 2.2.2 ESTIMATING FRACTIONALLY INTEGRATED PROCESSES 31 2.3 MONETARY POLICY IMPLEMENTATION AND THE PERSISTENCE OF POLICY SPREADS... 32 V BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/991378970 DIGITALISIERT DURCH VI CONTENTS 2.3.1 RESERVE REQUIREMENTS 32 2.3.2 OPEN MARKET OPERATIONS 33 2.3.3 STANDING FACILITIES 33 2.3.4 THE IMPLEMENTATION OF THE POLICY RATE 34 2.4 THE PERSISTENCE OF POLICY SPREADS 36 2.4.1 DATA 36 2.4.2 EMPIRICAL RESULTS 38 2.5 CONCLUSION 40 3 ADDITIVE OUTLIERS, OUTLIER CORRECTION AND FRACTIONAL INTEGRATION * A SIM- ULATION STUDY 43 3.1 INTRODUCTION 44 3.2 SEMI-PARAMETRIC ESTIRNATORS FOR THE LONG MEMORY PARAMETER 45 3.3 SIMULATION SETUP: OUTLIER PROCESS AND CORRECTION 46 3.4 SIMULATION RESULTS 47 3.5 CONCLUSION 48 PART III 51 4 ON CRITICAL VALUES OF TESTS AGAINST A CHANGE IN PERSISTENCE 53 4.1 INTRODUCTION 55 4.2 TEST STATISTICS 55 4.3 A PUZZLING DIFFERENCE 56 4.4 ASYMPTOTIC CONSIDERATIONS 58 4.5 THE MEAN-EXPONENTIAL STATISTIC 58 4.6 SUMMARY 59 5 TESTING AGAINST A CHANGE FROM SHORT TO LONG MEMORY 61 5.1 INTRODUCTION 62 5.2 HYPOTHESES AND ASSUMPTIONS 62 5.3 KIM S RATIO TESTS 64 5.4 LBI TYPE TESTS BY BUSETTI K TAYLOR 67 5.5 MONTE CARLO EVIDENCE 68 5.5.1 EMPIRICAL SIZE 69 5.5.2 POWER 69 5.6 CONCLUSIONS 72 VII CONTENTS 6 BREAK POINT ESTIMATION OF CHANGES IN PERSISTENCE 79 6.1 INTRODUCTION 80 6.2 COMPETING CHANGE POINT ESTIMATORS 80 6.3 MONTE CARLO EVIDENCE 82 6.4 CONCLUSION 87 REFERENCES 89
any_adam_object	1
author	Scheithauer, Jan
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dewey-ones	332 - Financial economics
dewey-raw	332.46
dewey-search	332.46
dewey-sort	3332.46
dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
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indexdate	2024-12-20T13:31:32Z
institution	BVB
isbn	9783832276690
language	English
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owner	DE-12 DE-188
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physical	XXII, 95 S. graph. Darst. 21 cm, 176 gr.
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spellingShingle	Scheithauer, Jan On interest rate dynamics and change in persistence EU-Staaten stw Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration stw Schätzung stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zins stw Zeitreihenanalyse (DE-588)4067486-1 gnd Geldpolitik (DE-588)4019902-2 gnd Zinsänderung (DE-588)4117718-6 gnd
subject_GND	(DE-588)4067486-1 (DE-588)4019902-2 (DE-588)4117718-6 (DE-588)4113937-9
title	On interest rate dynamics and change in persistence
title_auth	On interest rate dynamics and change in persistence
title_exact_search	On interest rate dynamics and change in persistence
title_full	On interest rate dynamics and change in persistence Jan Scheithauer
title_fullStr	On interest rate dynamics and change in persistence Jan Scheithauer
title_full_unstemmed	On interest rate dynamics and change in persistence Jan Scheithauer
title_short	On interest rate dynamics and change in persistence
title_sort	on interest rate dynamics and change in persistence
topic	EU-Staaten stw Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration stw Schätzung stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zins stw Zeitreihenanalyse (DE-588)4067486-1 gnd Geldpolitik (DE-588)4019902-2 gnd Zinsänderung (DE-588)4117718-6 gnd
topic_facet	EU-Staaten Geldpolitik - Zinsänderung - Zeitreihenanalyse Kointegration Schätzung Theorie Volatilität Zeitreihenanalyse Zins Geldpolitik Zinsänderung Hochschulschrift
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017316631&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT scheithauerjan oninterestratedynamicsandchangeinpersistence

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