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

Abstract not available

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

No description available.

Thesis submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand February 2017 / For developed economies, it has been shown that the slope of the yield curve is a good indicator of the future path of real output and inflation. This paper investigates the predictive abilities of the yield curve slope for domestic growth and inflation in emerging market economies. Given the sovereign risk premia in these economies, it also assesses whether adding the sovereign risk spread to the yield curve spread improves the predictive content of the yield curve. It finds that the yield curve can predict real output at both the short and long forecasting horizons in emerging economies, the extent of which differs across countries. It also finds that the predictive performance for inflation is weaker than that of output growth, especially in the shorter forecasting horizons, and that the sovereign risk spread has additional predictive content for growth and inflation. This suggests that market participants and monetary policy makers in these economies should supplement their forecasting models with information contained in the yield curve to forecast domestic growth and inflation. / MT2017

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

Tam Chak Yue, Ben. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 49-51). / Chapter 1. --- Introduction --- p.3 / Chapter 2. --- Money and Growth in the neoclassical production function --- p.7 / Chapter 2.1 --- The Real Competitive Equilibrium --- p.8 / Chapter 2.2 --- The Monetary Competitive Equilibrium with the Cash-in-Advance approach --- p.11 / Chapter 2.3 --- Alternative Approach: Money-in-Utility-Function --- p.16 / Chapter 2.4 --- Alternative Approach: Transaction Cost --- p.20 / Chapter 3. --- Three Approaches with Endogenous Leisure --- p.25 / Chapter 3.1 --- The Real Competitive Equilibrium --- p.26 / Chapter 3.2 --- The Alternative Approaches to Interest Rate Smoothing --- p.28 / Chapter 3.2.1 --- The Cash-in-Advance Approach --- p.28 / Chapter 3.2.2 --- The Money-in-Utility-Function Approach --- p.29 / Chapter 3.2.3 --- The Transaction Cost Approach --- p.30 / Chapter 4. --- Money and Growth in an Economy with Endogenous Growth --- p.35 / Chapter 4.1 --- The Real Competitive Equilibrium of Ak Model --- p.36 / Chapter 4.2 --- The Alternative Approaches --- p.37 / Chapter 4.2.1 --- The Cash-in-Advance Approach --- p.37 / Chapter 4.2.2 --- The Money-in-Utility-Function Approach --- p.39 / Chapter 4.2.3 --- The Transaction Cost Approach --- p.40 / Chapter 5. --- Concluding Remark --- p.44 / Appendix --- p.46 / Chapter A1. --- The First Order Condition of The MIUF Approach with Endogenous Leisure --- p.46 / Chapter A2. --- The First Order Condition of The TC Approach with Endogenous Leisure --- p.46 / Chapter A3. --- The Transitional Dynamics of Ak Model with The money-in-utility-function Approach --- p.47 / Literature Cited --- p.50

Wang Chongying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 66-69). / Abstracts in English and Chinese. / Chapter I. --- Endogenous Time Preference and Non-neutrality of Money --- p.1 / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- The Model --- p.5 / Chapter 3 --- Non-neutrality of Money --- p.9 / Chapter 4 --- Equilibrium Dynamics --- p.13 / Chapter 5 --- Conclusion --- p.16 / Chapter II. --- Endogenous Time Preference and Interest Rate Feedback Rules --- p.18 / Chapter 1 --- Introduction --- p.19 / Chapter 2 --- Endowment Economy --- p.21 / Chapter 2.1 --- The Model --- p.21 / Chapter 2.2 --- Equilibrium Dynamics --- p.25 / Chapter 3 --- Extended Model with Capital --- p.28 / Chapter 3.1 --- The Model --- p.28 / Chapter 3.2 --- Equilibrium Dynamics --- p.32 / Chapter 4 --- Conclusion --- p.34 / Chapter III. --- Interest Rate Rules and Indeterminacy in a Discrete-Time Monetary Model --- p.37 / Chapter 1 --- Introduction --- p.38 / Chapter 2 --- The Model --- p.39 / Chapter 3 --- Equilibrium Dynamics --- p.42 / Chapter 4 --- Conclusion --- p.45 / Chapter IV. --- Backward-Looking Interest Rate Feedback Rules --- p.48 / Chapter 1 --- Introduction --- p.49 / Chapter 2 --- The Model --- p.51 / Chapter 3 --- Equilibrium Dynamics --- p.57 / Chapter 4 --- Conclusion --- p.61 / Chapter V. --- Appendix --- p.63 / Chapter VI. --- References --- p.66

Sun, Wu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Abstract --- p.I / 摘要 --- p.II / Acknowledgments --- p.III / Chapter Essay 1. --- The Effect of Impatience on Determinacy --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- The model --- p.2 / Chapter 1.3 --- Conclusion --- p.8 / Chapter Essay 2. --- Determinacy under Non-separable Utility --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- The basic model --- p.10 / Chapter 2.3 --- Conclusion --- p.21 / Chapter Essay 3. --- Determinacy under Calvo-Style Sticky Price Model --- p.23 / Chapter 3.1 --- Introduction --- p.23 / Chapter 3.2 --- The model --- p.24 / Chapter 3.2.1 --- With staggered price only --- p.24 / Chapter 3.2.2 --- Incorporating firm-specific capital --- p.30 / Chapter 3.2.3 --- Incorporating staggered wages --- p.35 / Chapter 3.3 --- Conclusion --- p.41 / Reference --- p.43 / Appendix --- p.46 / Table 1: Baseline Calibration --- p.46 / Table 2: Baseline Calibration --- p.46

Ye, Guofeng. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 33-34). / Abstracts in English and Chinese. / ABSTRACT --- p.1 / 摘要 --- p.2 / Chapter 1 --- INTRODUCTION --- p.5 / Chapter 2 --- LITERATURE REVIEW ON MONETARY TRANSMISSION MECHANISM …… --- p.8 / Chapter 3 --- THE EFFECT OF SHORT-TERM INTEREST RATE ON THE ECONOMY …… --- p.13 / Chapter 4 --- METHODOLOGY --- p.16 / Chapter 4.1 --- The Structural Vector Autoregressive Model --- p.16 / Chapter 4.2 --- The Error Correction Model --- p.18 / Chapter 4.3 --- The Alternative Model --- p.19 / Chapter 5 --- DATA --- p.20 / Chapter 5.1 --- Data Description --- p.20 / Chapter 5.2 --- Data Source --- p.20 / Chapter 6 --- EMPIRICAL RESULTS --- p.21 / Chapter 6.1 --- The Structural Vector Autoregressive Model --- p.21 / Chapter 6.2 --- The Error Correction Model --- p.28 / Chapter 6.3 --- The Alternative Model --- p.30 / REFERENCES --- p.33 / APPENDIX --- p.35 / Table 1 --- p.35 / Table 2 (SVAR: 1-3 years) --- p.36 / Table 3 (SVAR: 3-5 years) --- p.37 / Table 4 (SVAR: 5-7 years) --- p.38 / Table 5 --- p.39 / Table 6 (Error Correction Model: 1-3 years) --- p.40 / Table 7 (Error Correction Model: 3-5 years) --- p.41 / Table 8 (Error Correction Model: 5-7 years) --- p.42 / Table 9 --- p.43 / Table 10 (Money Supply: M0) --- p.44 / Table 11 (Money Supply: M 1) --- p.46 / Table 12 (Money Supply: M2) --- p.48