by O'Yang Wiley. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 44-45. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGEMENTS --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- TIME SERIES AND UNIT ROOT --- p.5 / Definitions --- p.5 / Difference Between 1(0) and 1(1) Processes --- p.8 / Chapter III. --- FORMULATION OF LONG RUN FISHER OPEN HYPOTHESIS … --- p.10 / Chapter IV. --- UNIT ROOT TESTS --- p.14 / Dickey and Fuller Test --- p.14 / Augmented Dickey and Fuller Test --- p.16 / Phillips and Perron Test --- p.16 / Finite Sample Properties of Regression / Unit Root Tests --- p.18 / Chapter V. --- UNIT ROOT TEST RESULTS --- p.20 / Tentative ARIMA Model for the Interest Rate Series --- p.21 / Hong Kong --- p.21 / Singapore --- p.22 / Malaysia --- p.22 / Philippines and Japan --- p.23 / Tentative ARIMA Model for the Interest Rate Differentials --- p.23 / Hong Kong-Malaysia --- p.23 / Hong Kong-Singapore --- p.24 / Singapore-Malaysia --- p.24 / Others --- p.24 / Unit Root Test Results --- p.24 / Discussions and Findings --- p.36 / Chapter VI. --- CONCLUSIONS AND AREAS OF FURTHER RESEARCH --- p.40 / APPENDIX --- p.43 / BIBLIOGRAPHY --- p.44

Law Hing Tung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 93-97). / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.viii / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- HISTORICAL BACKGROUND --- p.7 / Chapter 2.1 --- Hong Kong --- p.7 / Chapter 2.2 --- Korea --- p.10 / Chapter 2.3 --- Singapore --- p.12 / Chapter 2.4 --- Taiwan --- p.14 / Chapter CHAPTER 3: --- LITERATURE REVIEWS --- p.17 / Chapter 3.1 --- The Behavior of Real Interest Rate --- p.17 / Chapter 3.2 --- Short Run Real Interest Rate Parity --- p.21 / Chapter 3.3 --- Long Run Real Interest Rate Parity --- p.27 / Chapter CHAPTER 4: --- METHODOLOGY --- p.32 / Chapter 4.1 --- Definition --- p.32 / Chapter 4.2 --- Testing for Unit Roots --- p.34 / Chapter 4.2.1 --- The Dickey-Fuller Unit Root Test --- p.34 / Chapter 4.2.2 --- The Augmented Dickey-Fuller Test --- p.37 / Chapter 4.2.3 --- The Phillips-Perron Test --- p.38 / Chapter 4.2.4 --- Testing for Structural Change --- p.40 / Chapter 4.3 --- Tests for the Real Interest Rate Parity (RIRP) --- p.42 / Chapter 4.3.1 --- Tests for the Short-run RIRP --- p.42 / Chapter 4.3.2 --- Tests for the Long-run RIRP --- p.44 / Chapter CHAPTER 5: --- DATA --- p.47 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.49 / Chapter 6.1 --- Individual Real Interest Rates 一 Descriptive Statistics --- p.49 / Chapter 6.2 --- Stationarity of Real Interest Rates --- p.58 / Chapter 6.2.1 --- Monthly Results --- p.58 / Chapter 6.2.2 --- Quarterly Results --- p.59 / Chapter 6.2.3 --- Unit Root Test with Structural Break --- p.64 / Chapter 6.3 --- Short-run Real Interest Rate Parity --- p.68 / Chapter 6.3.1 --- Monthly Results --- p.68 / Chapter 6.3.2 --- Quarterly Results --- p.71 / Chapter 6.4 --- Long-run Real Interest Rate Parity --- p.71 / Chapter 6.4.1 --- Real Interest Rate Differentials ´ؤ Descriptive Statistics --- p.71 / Chapter 6.4.2 --- Ordinary Least Square Regression Test --- p.78 / Chapter 6.4.3 --- Unit Root Tests for Real Interest Rate Differentials --- p.79 / Chapter CHAPTER 7： --- IMPLICATIONS AND CONCLUSIONS --- p.89 / Chapter 7.1 --- Implications --- p.89 / Chapter 7.2 --- Conclusions --- p.91 / REFERENCES --- p.93 / APPENDIX --- p.98

Lin Haizhen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 58-61). / Abstracts in English and Chinese. / Chapter I. --- Essay One --- p.1 / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- A CIA Model with Endogenous Investment --- p.5 / Chapter 2.1 --- The Economic Environment --- p.5 / Chapter 2.2 --- Equilibrium Dynamics --- p.9 / Chapter 3 --- An Extended Model with Stockman CIA Constraint --- p.16 / Chapter 3.1 --- The Economic Environment --- p.17 / Chapter 3.2 --- Equilibrium Dynamics --- p.19 / Chapter 4 --- Conclusion --- p.22 / Chapter II. --- Essay Two --- p.25 / Chapter 1 --- Introduction --- p.26 / Chapter 2 --- A MIUF Model with Non-Separable Leisure --- p.28 / Chapter 2.1 --- The Economic Environment --- p.28 / Chapter 2.2 --- Equilibrium and Local Dynamics --- p.31 / Chapter 3 --- Conclusion --- p.36 / Chapter III. --- Essay Three --- p.38 / Chapter 1 --- Introduction --- p.39 / Chapter 2 --- Productive Money and Investment in a Sticky Price Model --- p.41 / Chapter 2.1 --- The Economic Environment --- p.41 / Chapter 2.2 --- Equilibrium Dynamics --- p.45 / Chapter 3 --- Endogenous Labor Supply --- p.50 / Chapter 4 --- Conclusion --- p.56 / Chapter IV. --- References --- p.58

No description available.

Li Ka-fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 62-67). / Abstracts in English and Chinese. / Abstract --- p.ii / 摘要 --- p.iii / Acknowledgements --- p.iv / Table of Contents --- p.v / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- A Neoclassical Monetary Growth Model with Investment --- p.9 / Chapter 2.1 --- The Economic Environment --- p.9 / Chapter 2.2 --- Equilibrium Dynamics --- p.13 / Chapter 2.2.1 --- The Clower-Lucas Model --- p.14 / Chapter 2.2.2 --- The Stockman Model --- p.19 / Chapter 2.3 --- Extension --- p.25 / Chapter Chapter 3. --- An Endogenous AK Monetary Growth Model --- p.30 / Chapter 3.1 --- Local Analysis --- p.33 / Chapter 3.1.1 --- The Clower-Lucas Model --- p.33 / Chapter 3.1.2 --- The Stockman Model --- p.35 / Chapter 3.2 --- Global Analysis --- p.40 / Chapter Chapter 4. --- Conclusion --- p.47 / Tables / Table 1 Summary of selective literature and its comparison --- p.49 / Table 2 Regions for local indeterminacy under passive rules for the neoclassical growth model --- p.52 / Table 3 Regions for local indeterminacy under passive rules for the one-sector endogenous growth model --- p.53 / Table 4 Range of policy rules parameter for generating multiple balanced growth paths (Global indeterminacy) in the one-sector endogenous growth model --- p.54 / Figures / "Figure 1 Taylor Rules, Zero Bound on nominal interest rate and liquidity Trap" --- p.55 / Figure 2 The quadratic problem in condition (c) --- p.56 / Figure 3 Phase diagram under active rules for the one-sector endogenous growth model --- p.57 / Figure 4 Phase diagram under passive rules for the one-sector endogenous growth model --- p.58 / Appendices: / Appendix 1 Condition for guaranteeing the existence of real roots --- p.59 / Appendix 2 Condition for non-negativity of nominal interest rate --- p.60 / References --- p.62

Abstract not available

Thesis (M.A.)--University of Florida, 2006. / Title from title page of source document. Document formatted into pages; contains 98 pages. Includes vita. Includes bibliographical references.

Thesis (Ph. D.)--York University, 1999. Schulich School of Business. / Typescript. Includes bibliographical references. Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://wwwlib.umi.com/cr/yorku/fullcit?pNQ43429.

published_or_final_version / Statistics / Master / Master of Philosophy

The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfactory. The curve fitting methods, and particularly the spline method, used in practice to estimate the term structure are ad hoc and thus subject to arbitrage opportunities. Guo (1998) used the fundamental Partial Differential Equation (PDE) for bond pricing to derive a linear discount function, which is consistent with no-arbitrage. He showed that this is the unique linear solution to the PDE. This solution, the exponential-polynomial model or EP model for short, has n unobserved state factors that drive a stochastic discount process for pricing bonds so as to rule out arbitrage opportunities. In this thesis, we conduct an extensive cross-sectional analysis of the EP model on two different data sets: prices for daily Treasury bills, notes and bonds from the New York Federal Reserve Bank quotation sheets from July 1989 to October 1996, and daily Canadian bills, notes and bonds prices for the time period from June 1992 to May 1995. We estimate the model by applying a minimization criterion. The cross-sectional analysis shows that the EP model is able to describe adequately the term structure of interest rates. For the US data, we find that every term structure from the sampling period can be fully represented by either nine or ten state factors. Eigenvalue analysis indicates that the first three principal components are underlying the term structure movements. We conduct a time series analysis on the three principal components. They are found to be best described by ARMA/GARCH processes. We form two types of GARCH forecasts of the three principal components and test their out-of-sample performance. We conclude that the three principal components are predictable in a statis