This paper develops and estimates an equilibrium model of the term structures of nominal
and real interest rates. The term structures are driven by state variables that include the short …

The determinants of yield curve dynamics have been thoroughly discussed in finance
models. However, little can be said about the macroeconomic factors behind the movements …

A Bayesian simulation-based method is developed for estimating a class of interest rate
models known as affine term structure (ATS) models. The technique is based on a Markov …

How should we value and manage deposit accounts where deposits have a zero contractual
maturity, but which, in practice, remain stable through time and are remunerated below …

A good understanding of the theories of the interest rate term structure is important when
elaborating a debt management strategy and, in particular, when choosing the maturity …

Studies of the term structure of interest rates try to explain the relationship between the yield
to maturity on zero-coupon bonds and their time to maturity. Over the years, many theoretical …

The paper develops an empirical no-arbitrage Gaussian affine term structure model to
explain the dynamics of the German term structure of interest rates from 1979 through 1998 …

This paper provides an examination of term structure models in the Australian bond market.
Specifically, we examine the comparative ability of various models to forecast at the short …

Denne masteroppgaven forsøker å utforske renterisiko predikeringsevnen til en ny modell
som benytter seg av kjente verktøy innad i fagområdet. For å kontrollere renterisiko benyttes …

Résumé Ce papier tente dlanalyser les interactions entre la profitabilité bancaire et les
évolutions macroéconomiques au Maroc. En plus des taux dlintérêt, sources de revenus des …