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Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language.
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- VerlagVDM Verlag
- Erscheinungsdatum2009
- ISBN 10 3639179412
- ISBN 13 9783639179415
- EinbandTapa blanda
- Anzahl der Seiten196
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The Dynamics of Interest Rates in CEE-3: A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
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ISBN 13: 9783639179415
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The Dynamics of Interest Rates in CEE-3
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(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
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Buchbeschreibung Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. 196 pp. Englisch. Bestandsnummer des Verkäufers 9783639179415
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The Dynamics of Interest Rates in CEE-3
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The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
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(2009)
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ISBN 13: 9783639179415
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The Dynamics of Interest Rates in CEE-3 : A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Verlag:
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
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Buchbeschreibung Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. Bestandsnummer des Verkäufers 9783639179415
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The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
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VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
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