Publicação
The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables
| Resumo: | The purpose of this Work Project is to build a yield curve model for the German Government yield curve containing latent variables (Level, Slope and Curvature), macroeconomic variables (German IFO and Inflation Rate) and a stock market variable (German Stock Index DAX), while studying the yield curve dynamics. The model incorporates the Nelson and Siegel (1987) factor model under a State-Space framework and the estimation results provided a good fitting of the historical yield curve. Additionally, after doing a Variance Decomposition analysis, this project proves the existence of an interaction between the yield curve and the German Macroeconomy/Stock Market. |
|---|---|
| Autores principais: | Almeida, José Pedro Abreu |
| Assunto: | Yield curve State-space model Macroeconomy Stock market |
| Ano: | 2010 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| _version_ | 1868415257285754880 |
|---|---|
| author | Almeida, José Pedro Abreu |
| author_facet | Almeida, José Pedro Abreu |
| author_role | author |
| contributor_name_str_mv | Leiria, Paulo RUN |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Almeida, José Pedro Abreu\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Leiria, Paulo RUN |
| datacite.creators.creator.creatorName.fl_str_mv | Almeida, José Pedro Abreu |
| datacite.date.Accepted.fl_str_mv | 2010-05-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2013-08-09T13:47:44Z |
| datacite.date.embargoed.fl_str_mv | 2013-08-09T13:47:44Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Yield curve State-space model Macroeconomy Stock market |
| datacite.titles.title.fl_str_mv | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| dc.contributor.none.fl_str_mv | Leiria, Paulo RUN |
| dc.creator.none.fl_str_mv | Almeida, José Pedro Abreu |
| dc.date.Accepted.fl_str_mv | 2010-05-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2013-08-09T13:47:44Z |
| dc.date.embargoed.fl_str_mv | 2013-08-09T13:47:44Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10362/10351 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | NSBE - UNL |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Yield curve State-space model Macroeconomy Stock market |
| dc.title.fl_str_mv | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | The purpose of this Work Project is to build a yield curve model for the German Government yield curve containing latent variables (Level, Slope and Curvature), macroeconomic variables (German IFO and Inflation Rate) and a stock market variable (German Stock Index DAX), while studying the yield curve dynamics. The model incorporates the Nelson and Siegel (1987) factor model under a State-Space framework and the estimation results provided a good fitting of the historical yield curve. Additionally, after doing a Variance Decomposition analysis, this project proves the existence of an interaction between the yield curve and the German Macroeconomy/Stock Market. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://run.unl.pt/bitstreams/8d4fc90a-bc6c-493e-9503-64f44671f47f/download |
| id | run_bcb7dbe20fc429eb2e2aac844e55ce94 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10362/10351 |
| instacron_str | unl |
| institution | Universidade Nova de Lisboa |
| instname_str | Universidade Nova de Lisboa |
| language | eng |
| network_acronym_str | run |
| network_name_str | Repositório Institucional da UNL |
| oai_identifier_str | oai:run.unl.pt:10362/10351 |
| organization_str_mv | urn:organizationAcronym:unl |
| person_str_mv | Almeida, José Pedro Abreu |
| publishDate | 2010 |
| publisher.none.fl_str_mv | NSBE - UNL |
| reponame_str | Repositório Institucional da UNL |
| repository_id_str | urn:repositoryAcronym:run |
| service_str_mv | urn:repositoryAcronym:run |
| spelling | engNSBE - UNLporThe purpose of this Work Project is to build a yield curve model for the German Government yield curve containing latent variables (Level, Slope and Curvature), macroeconomic variables (German IFO and Inflation Rate) and a stock market variable (German Stock Index DAX), while studying the yield curve dynamics. The model incorporates the Nelson and Siegel (1987) factor model under a State-Space framework and the estimation results provided a good fitting of the historical yield curve. Additionally, after doing a Variance Decomposition analysis, this project proves the existence of an interaction between the yield curve and the German Macroeconomy/Stock Market.application/pdfporThe fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variablesAlmeida, José Pedro AbreuLeiria, PauloHostingInstitutionOrganizationalRUNe-mailmailto:run@unl.ptrun@unl.pt2013-08-09T13:47:44Z2010-052010-05-01T00:00:00ZHandlehttp://hdl.handle.net/10362/10351http://purl.org/coar/access_right/c_abf2open accessYield curveState-space modelMacroeconomyStock market887259 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://run.unl.pt/bitstreams/8d4fc90a-bc6c-493e-9503-64f44671f47f/download |
| spellingShingle | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables Almeida, José Pedro Abreu Yield curve State-space model Macroeconomy Stock market |
| status | SINGLETON |
| subject.fl_str_mv | Yield curve State-space model Macroeconomy Stock market |
| title | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| title_full | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| title_fullStr | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| title_full_unstemmed | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| title_short | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| title_sort | The fitting of the German yield curve: a dynamic approach using latent, macroeconomic and stock market variables |
| topic | Yield curve State-space model Macroeconomy Stock market |
| topic_facet | Yield curve State-space model Macroeconomy Stock market |
| url | http://hdl.handle.net/10362/10351 |
| visible | 1 |