A Floating Currency Macro Term Structure Model
(2017) NEKP01 20171Department of Economics
- Abstract
- During the last decade there has been many advances in the field of research focusing on term
structure models that include macroeconomic risks. The fact that such risks adds to the predictive
power of risk premia is evident. However, there is no such models that includes exchange rate
dynamics and accounts for these potentially latent effects on the yield curve.
This thesis presents a discussion on term structure models. A concept for pricing bonds on
the entire range of maturities. Specifically, we look at the family of term structure models called
macro-finance term structure models (MTSM), which takes the standard framework of the standard
term structure models and adds sources of macroeconomic risks. Our discussion focuses on... (More) - During the last decade there has been many advances in the field of research focusing on term
structure models that include macroeconomic risks. The fact that such risks adds to the predictive
power of risk premia is evident. However, there is no such models that includes exchange rate
dynamics and accounts for these potentially latent effects on the yield curve.
This thesis presents a discussion on term structure models. A concept for pricing bonds on
the entire range of maturities. Specifically, we look at the family of term structure models called
macro-finance term structure models (MTSM), which takes the standard framework of the standard
term structure models and adds sources of macroeconomic risks. Our discussion focuses on the role
of the exchange rate dynamics, motivating a formulation that can include it, and investigating to
see if it adds any information in describing the bond risk premium. Our vantage point comes from
that of the unspanned MTSM, and subsequently modifying it to accommodate for exchange rate
effects. We are able to present regression evidence supporting our idea of a latent exchange rate
effect in the bond term structure. (Less) - Popular Abstract
- During the last decade there has been many advances in the field of research focusing on term
structure models that include macroeconomic risks. The fact that such risks adds to the predictive
power of risk premia is evident. However, there is no such models that includes exchange rate
dynamics and accounts for these potentially latent effects on the yield curve.
This thesis presents a discussion on term structure models. A concept for pricing bonds on
the entire range of maturities. Specifically, we look at the family of term structure models called
macro-finance term structure models (MTSM), which takes the standard framework of the standard
term structure models and adds sources of macroeconomic risks. Our discussion focuses on... (More) - During the last decade there has been many advances in the field of research focusing on term
structure models that include macroeconomic risks. The fact that such risks adds to the predictive
power of risk premia is evident. However, there is no such models that includes exchange rate
dynamics and accounts for these potentially latent effects on the yield curve.
This thesis presents a discussion on term structure models. A concept for pricing bonds on
the entire range of maturities. Specifically, we look at the family of term structure models called
macro-finance term structure models (MTSM), which takes the standard framework of the standard
term structure models and adds sources of macroeconomic risks. Our discussion focuses on the role
of the exchange rate dynamics, motivating a formulation that can include it, and investigating to
see if it adds any information in describing the bond risk premium. Our vantage point comes from
that of the unspanned MTSM, and subsequently modifying it to accommodate for exchange rate
effects. We are able to present regression evidence supporting our idea of a latent exchange rate
effect in the bond term structure. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8913080
- author
- Lindeke, Niklas LU
- supervisor
- organization
- course
- NEKP01 20171
- year
- 2017
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Macro-finance, term structure models, exchange rate risks
- language
- English
- id
- 8913080
- date added to LUP
- 2017-07-10 14:35:33
- date last changed
- 2017-07-10 14:35:33
@misc{8913080, abstract = {{During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. However, there is no such models that includes exchange rate dynamics and accounts for these potentially latent effects on the yield curve. This thesis presents a discussion on term structure models. A concept for pricing bonds on the entire range of maturities. Specifically, we look at the family of term structure models called macro-finance term structure models (MTSM), which takes the standard framework of the standard term structure models and adds sources of macroeconomic risks. Our discussion focuses on the role of the exchange rate dynamics, motivating a formulation that can include it, and investigating to see if it adds any information in describing the bond risk premium. Our vantage point comes from that of the unspanned MTSM, and subsequently modifying it to accommodate for exchange rate effects. We are able to present regression evidence supporting our idea of a latent exchange rate effect in the bond term structure.}}, author = {{Lindeke, Niklas}}, language = {{eng}}, note = {{Student Paper}}, title = {{A Floating Currency Macro Term Structure Model}}, year = {{2017}}, }