Modelling the term structure of interest rates in a multicountry setting
(2022)
Files
PhD_Thesis_Rubens_Moura_Final.pdf
Open Access - Adobe PDF
- 8.54 MB
Details
- Authors
- Supervisors
- Abstract
- Globalization has strengthened the linkage across economies and financial markets around the world. Against this background, this thesis builds alternative modelling frameworks to study movements in the term structure of interest rates in a context of global interdependencies. All frameworks are based on the arbitrage-free affine term structure model with unspanned risk (Joslin, Priebsch, and Singleton, 2014) and include macro-financial variables among the risk factors. Using data from several emerging economies, our models are also used to investigate the determinants of bond risk premia in recent decades, to appraise the importance of China's business cycle on Latin American yield curve dynamics, as well as to assess the impact of the global spread of the coronavirus on the term structure dynamics during the COVID-19 pandemic. We also guide the use of the functionalities of the R-package MultiATSM, which we developed during the preparation of this thesis. Overall, our empirical results point to beyond-the-border economic forces as the primary source of domestic term structure fluctuations.
- Affiliations
Citations
Guimaraes Togeiro De Moura, R. (2022). Modelling the term structure of interest rates in a multicountry setting. https://hdl.handle.net/2078.5/105103