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The term structure of interest rates as described by yield curves has the potential to contain information about the course of future nominal and real interest rates, inflation and economic activity. The link between the yield curve and these economic variables is formalised via capital asset pricing models. The information in yield curves is examined in a systematic manner using two new term structure data sets. The first one is an extended version of the McCulloch yield data for the United States for the period 1947-91 and the second one is a new highly detailed data set for the United Kingdom supplied by the Bank of England for this study, which consists of daily observations on yields for the period 4th January 1983 to 30th November 1993.Empirical evidence for the United States for the period 1952-91 shows that inflation and real interest rate changes tend to offset each other so that there is no useful information about nominal interest rates. Information about the real term structure is sometimes obscured by the offsetting effects of real interest rates and term premiums. Evidence is presented that shows yield spreads may give more unambiguous signals about economic activity if such activity is measured in relative terms. The better predictive power of UK term structures with regard to nominal interest rates is due to inflation and real interest rates moving together in the same direction. The phenomenon of disinflation can produce highly significant information about the real term structure. For the US and, more particularly, the UK, the predictive power of the yield curve is subject to significant change. The main conclusion reached is that over-reliance certainly should not be placed on the yield curve as a leading economic indicator.

This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-factor empirical term structure model, based on 22 years of cross-maturity time series data. The results show that the price differences, between the well-known Vasicek, and Cox, Ingersoll and Ross models and the three-factor empirical model, for interest-rate sensitive securities are of substantial economic significance.

Thesis (M.S.) -- Worcester Polytechnic Institute. / Keywords: security; derivatives; forward; measure; binomial tree. Includes bibliographical references (p.34-35).

Thesis (M.Sc.)--York University, 2006. Graduate Programme in Mathematics and Statistics. / Typescript. Includes bibliographical references (leaves 92-94). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:MR29633

Diss. Stockholm : Handelshögsk., 2001.

Diss. Stockholm : Handelshögsk., 2004.

Thesis (Ph. D.)--Michigan State University. Dept. of Economics, 2006. / Title from PDF t.p. (viewed on Nov. 25, 2008) Includes bibliographical references. Also issued in print.

Thesis (M.A.)--Virginia Polytechnic Institute and State University, 1990. / Vita. Abstract. Includes bibliographical references (leaf 42). Also available via the Internet.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 2000. / Includes bibliographical references. Also available on the Internet.