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osu1085685421.pdf (457.16 KB)
ETD Abstract Container
Abstract Header
Three essays on the term structure of interest rates
Author Info
Lim, Hyoung-Seok
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=osu1085685421
Abstract Details
Year and Degree
2004, Doctor of Philosophy, Ohio State University, Economics.
Abstract
Three chapters focus on the term structure of interest rates. Most Central Banks have recently employed the short term interest rate as a monetary policy instrument in the form of either a Taylor rule or Inflation Targeting. Under this framework, the term structure of interest rates paly an important role in determining the effectiveness of monetary policy because economic decisions are based on long-term interest rates. The first two chapters discuss the role of the term structure of interest rates in explaining the behavior of exchange rates. Chapter 1 constructs a theoretical model and Chapter 2 provides an empirical result to supporting this theoretical prediction. Chapter 3 directly estimates the term structure of interest rates from Korean data. The estimated yield curves are used to extract market expectations about the future interest rates path which is essential for forward-looking monetary policy.
Committee
Masao Ogaki (Advisor)
Pages
107 p.
Subject Headings
Economics, Finance
Keywords
Uncovered Interest Parity
;
The forward premium anomaly
;
The term structure of interest rates
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Citations
Lim, H.-S. (2004).
Three essays on the term structure of interest rates
[Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1085685421
APA Style (7th edition)
Lim, Hyoung-Seok.
Three essays on the term structure of interest rates.
2004. Ohio State University, Doctoral dissertation.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=osu1085685421.
MLA Style (8th edition)
Lim, Hyoung-Seok. "Three essays on the term structure of interest rates." Doctoral dissertation, Ohio State University, 2004. http://rave.ohiolink.edu/etdc/view?acc_num=osu1085685421
Chicago Manual of Style (17th edition)
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Document number:
osu1085685421
Download Count:
3,353
Copyright Info
© 2004, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.