The Term Structure and Time Series Properties of Nominal Interest Rates: Implications from Theory

1990 ◽  
Vol 22 (4) ◽  
pp. 478 ◽  
Author(s):  
Kevin D. Salyer
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Term Structure ◽  
Nominal Interest Rates

scholarly journals An Empirical Evidence of International Fisher Effect in Bangladesh with India and China: A Time-Series Approach

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Kazi Ashraful Alam ◽  
Anisuzzaman Shuvo
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Fisher Effect ◽  
Nominal Interest Rates ◽  
Trading Partners ◽  
Time Series Approach ◽  
The Relationship ◽  
Casual Relationship

This paper is an attempt to examine the empirical evidence of International Fisher Effect (IFE) between Bangladesh and its two other major trading partners, China and India. The IFE uses interest rate differentials to explain why exchange rates change over time. A time series approach is considered to trace the relationship between nominal interest rates and exchange rates in these countries. The estimated value, by applying OLS, is used to determine the casual relationship between interest rates and exchange rates for quarterly data from 4th Quarter, 1995 to the 2nd Quarter, 2008. The empirical results suggest that there is a little correlation between exchange rates and interest rates differential for Bangladesh with China and Bangladesh with India, and the relationship between the variables is also not noteworthy for Bangladesh. Further, the trends advocate that the forecasting of exchange rates with the hypothesis of IFE is not realistic for these countries.

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

2020 ◽  
Author(s):  
Patrick Augustin ◽  
Roméo Tédongap
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Dynamic Equilibrium ◽  
Time Varying ◽  
State Variables ◽  
Expectations Hypothesis ◽  
Macroeconomic Uncertainty ◽  
Disappointment Aversion ◽  
Nominal Interest Rates ◽  
Continuous State

We solve a dynamic equilibrium model with generalized disappointment-aversion preferences and continuous state-endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward-sloping term structure of nominal interest rates and a downward-sloping term structure of real interest rates and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation, and inflation uncertainty. This paper was accepted by Karl Diether, finance.

Time Series Analysis of the Term Structure of Australian Interest Rates*

1975 ◽  
Vol 51 (1) ◽  
pp. 19-30 ◽  
Author(s):  
D. J. Jüttner ◽  
G. M. Madden ◽  
R. H. Tuckwell
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Interest Rates ◽  
Term Structure ◽  
Series Analysis

A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS

2003 ◽  
Vol 06 (08) ◽  
pp. 885-903 ◽  
Author(s):  
CAIO IBSEN RODRIGUES DE ALMEIDA ◽  
ANTONIO MARCOS DUARTE ◽  
CRISTIANO AUGUSTO COELHO FERNANDES
Keyword(s):  
Principal Component Analysis ◽  
Time Series ◽  
Emerging Markets ◽  
Interest Rates ◽  
Term Structure ◽  
Principal Component ◽  
Component Analysis ◽  
Bond Yields ◽  
Term Structures ◽  
Time Term

Principal Component Analysis (PCA) has been traditionally used for identifying the most important factors driving term structures of interest rates movements. Once one maps the term structure dynamics, it can be used in many applications. For instance, portfolio allocation, Asset/Liability models, and risk management, are some of its possible uses. This approach presents very simple implementation algorithm, whenever a time series of the term structure is disposable. Nevertheless, in markets where there is no database for discount bond yields available, this approach cannot be applied. In this article, we exploit properties of an orthogonal decomposition of the term structure to sequentially estimate along time, term structures of interest rates in emerging markets. The methodology, named Legendre Dynamic Model (LDM), consists in building the dynamics of the term structure by using Legendre Polynomials to drive its movements. We propose applying LDM to obtain time series for term structures of interest rates and to study their behavior through the behavior of the Legendre Coefficients levels and first differences properly normalized (Legendre factors). Under the hypothesis of stationarity and serial independence of the Legendre factors, we show that there is asymptotic equivalence between LDM and PCA, concluding that LDM captures PCA as a particular case. As a numerical example, we apply our technique to Brazilian Brady and Global Bond Markets, briefly study the time series characteristics of their term structures, and identify the intensity of the most important basic movements of these term structures.

A Priching Model for Inflation-indexed Bonds

2011 ◽  
Vol 19 (2) ◽  
pp. 175-206
Author(s):  
Sang Su Kim
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Cross Section ◽  
Complex Structure ◽  
Principal Component ◽  
Stochastic Property ◽  
Pricing Model ◽  
Indexed Bonds ◽  
Nominal Interest Rates ◽  
Fisher Hypothesis

This paper derives the theoretical price of nominal bonds and inflation-indexed bonds through extracting the factors, which are assumed that their stochastic property follows the standard O-U process, in the term structure of nominal interest rates and yields of inflation-indexed bonds by the Principal Component Analysis (PCA). In particular, through reflecting the complex structure of inflation-indexed bonds by accurately applying theoretical price, it brought differentiation from other literatures, and applied this pricing model to Japanese Government Inflation-indexed Bond (JGB) data. The empirical results of above model show that explanation of time series and cross section of Janpan's real and nominal interest rates were outstanding and was found that Fisher hypothesis was rejected in further

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