Items related to The Dynamics of Interest Rates in CEE-3: A Vector Autoregres...
The Dynamics of Interest Rates in CEE-3: A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland - Softcover
Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language.
"synopsis" may belong to another edition of this title.
- PublisherVDM Verlag Dr. Müller
- Publication date2009
- ISBN 10 3639179412
- ISBN 13 9783639179415
- BindingPaperback
- Number of pages196
Buy New
Learn more about this copy
US$ 88.84
Shipping:
US$ 3.99
Within U.S.A.
Top Search Results from the AbeBooks Marketplace
Stock Image
The Dynamics of Interest Rates in CEE-3: A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
Softcover
Quantity: > 20
Seller:
Rating
Book Description Condition: New. Seller Inventory # ABLING22Oct2817100450318
Buy New
US$ 88.84
Convert currency
Stock Image
The Dynamics of Interest Rates in CEE-3
Published by
VDM Verlag
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
Softcover
Quantity: > 20
Seller:
Rating
Book Description Condition: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Seller Inventory # ria9783639179415_lsuk
Buy New
US$ 80.58
Convert currency
Seller Image
The Dynamics of Interest Rates in CEE-3
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
Taschenbuch
Quantity: 2
Seller:
Rating
Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. 196 pp. Englisch. Seller Inventory # 9783639179415
Buy New
US$ 74.73
Convert currency
Stock Image
The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
PAP
Quantity: > 20
Seller:
Rating
Book Description PAP. Condition: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783639179415
Buy New
US$ 105.39
Convert currency
Seller Image
The Dynamics of Interest Rates in CEE-3
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
Kartoniert / Broschiert
Quantity: > 20
Seller:
Rating
Book Description Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Brechtken Gunnaris with the Financial Stability and Banking Inspections Department of the Austrian National Bank. He holds a degree in Finance from the University of Vienna and has gained experience in the Emerging Market Fixed Incom. Seller Inventory # 4964603
Buy New
US$ 57.92
Convert currency
Seller Image
The Dynamics of Interest Rates in CEE-3 : A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
Taschenbuch
Quantity: 2
Seller:
Rating
Book Description Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Economic dynamics in small open economies are ruled by complex structures and interdependencies. Interest rate developments are closely related to macroeconomic dynamics. It is, therefore, important for policy setters, portfolio and risk managers to understand these dynamics. This book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the interaction of macro variables with the term structure and to forecast the yield curve. Interest rate dynamics are decomposed into three latent factors according to the Diebold and Li exponential component framework. Additionally, macro economic variables carrying important information of the state of the economy are defined. To utilize broader macroeconomic information the principal components methodology is used. Yield and macro factors are combined in a vector autoregressive model setting for the Czech Republic, Hungary and Poland. Yield forecasts up to twelve months ahead are calculated with good forecasting performance. Moreover, interdependencies of the yield curve with the macroeconomy are analyzed. The models are implemented within the R programming language. Seller Inventory # 9783639179415
Buy New
US$ 75.62
Convert currency
Stock Image
The Dynamics of Interest Rates in CEE3 A Vector Autoregressive Latent Yield and Macro Factor Approach in the Czech Republic, Hungary and Poland
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639179412
ISBN 13: 9783639179415
New
PAP
Quantity: > 20
Seller:
Rating
Book Description PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783639179415
Buy New
US$ 81.57
Convert currency