Tesis
Essays on the monetary aspects of the term structure of nominal interest rates
Fecha
2001-09-05Registro en:
BRITO, Ricardo D.. Essays on the monetary aspects of the term structure of nominal interest rates. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2001.
Autor
Brito, Ricardo D.
Institución
Resumen
Interest rates are key economic variables to much of finance and macroeconomics, and an enormous amount of work is found in both fields about the topic. Curiously, in spite of their common interest, finance and macro research on the topic have seldom interacted, using different approaches to address its main issues with almost no intersection. Concerned with interest rate contingent claims, finance term structure models relate interest rates to lagged interest rates; concerned with economic relations and macro dynamics, macro models regress a few interest rates on a wide variety of economic variables. If models are true though simplified descriptions of reality, the relevant factors should be captured by both the set of bond yields and that of economic variables. Each approach should be able to address the other field concerns with equal emciency, since the economic variables are revealed by the bond yields and these by the economic variables.