Term Structure of Interest Rates - Stork, Zbynek
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Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants pricing kernel, price of risk and affine term structure of interest rates based on no-arbitrage assumption. The book presents a…mehr

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Produktbeschreibung
Macro-finance modelling is an increasingly popular topic. Various approaches have been developing rapidly, usually using econometric techniques. This book focuses on structural approach to an analysis of average yield curve and its dynamics using macroeconomic factors. An underlying model is based on basic Dynamic Stochastic General Equilibrium (DSGE) approach. Log-linearized solution of the model is the key for derivation of yield curve and its main determinants pricing kernel, price of risk and affine term structure of interest rates based on no-arbitrage assumption. The book presents a consistent derivation of a structural macro-finance model, with a reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The two models are briefly compared and analysis shows their ability to fit an average yield curve observed from the data. It also presents a possible importance of this issue for monetary and fiscal institutions. The book should help shed some light on the use of DSGE framework within macro-finance modelling and should be useful for students and researchers in this field.
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Autorenporträt
Zbynek Stork, Ph.D. studied Finance and Economics at the University of Economics, Prague. He is a recipient of Fulbright scholarship: 2011/2012 Hubert H. Humphrey Program at Boston University. He focuses on economic modelling and macroeconomic analysis. Currently, he is a Senior Economist at the Ministry of Finance of the Czech Republic.