Thesis (MSc)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: This work analysis the main macro-finance models of the term structure of
interest rates that determines the joint dynamics of the term structure and the
macroeconomic fundamentals under no-arbitrage approach. There has been a
long search during the past decades of trying to study the relationship between
the term structure of interest rates and the economy, to the extent that much
of recent research has combined elements of finance, monetary economics, and
the macroeconomics to analyse the term structure.
The central interest of the thesis is based on two important notions. Firstly,
it is picking up from the important work of Ang and Piazzesi (2003) model
who suggested a joint macro- finance strategy in a discrete time affine setting,
by also imposing the classical Taylor (1993) rule to determine the association
between yields and macroeconomic variables through monetary policy. There
is a strong intuition from the Taylor rule literature that suggests that such
macroeconomic variables as in inflation and real activity should matter for the
interest rate, which is the monetary policy instrument. Since from this important
framework, no-arbitrage macro-finance approach to the term structure of
interest rates has become an active field of cross-disciplinary research between
financial economics and macroeconomics.
Secondly, the importance of forecasting the yield curve using the variations
on the Nelson and Siegel (1987) exponential components framework to capture
the dynamics of the entire yield curve into three dimensional parameters evolving
dynamically. Nelson-Siegel approach is a convenient and parsimonious
approximation method which has been trusted to work best for fitting and
forecasting the yield curve. The work that has caught quite much of interest
under this framework is the generalized arbitrage-free Nelson-Siegel macro-
nance term structure model with macroeconomic fundamentals, (Li et al.
(2012)), that characterises the joint dynamic interaction between yields and
the macroeconomy and the dynamic relationship between bond risk-premia
and the economy. According to Li et al. (2012), risk-premia is found to be
closely linked to macroeconomic activities and its variations can be analysed.
The approach improves the estimation and the challenges on identication of
risk parameters that has been faced in recent macro-finance literature. / AFRIKAANSE OPSOMMING: Hierdie werk ontleed die makro- nansiese modelle van die term struktuur van
rentekoers pryse wat die gesamentlike dinamika bepaal van die term struktuur
en die makroekonomiese fundamentele faktore in 'n geen arbitrage wêreld.
Daar was 'n lang gesoek in afgelope dekades gewees wat probeer om die
verhouding tussen die term struktuur van rentekoerse en die ekonomie te
bestudeer, tot die gevolg dat baie onlangse navorsing elemente van nansies,
monetêre ekonomie en die makroekonomie gekombineer het om die term struktuur
te analiseer.
Die sentrale belang van hierdie proefskrif is gebaseer op twee belangrike
begrippe. Eerstens, dit tel op by die belangrike werk van die Ang and Piazzesi
(2003) model wat 'n gesamentlike makro- nansiering strategie voorstel in 'n
diskrete tyd a ene ligging, deur ook die klassieke Taylor (1993) reël om assosiasie
te bepaal tussen opbrengste en makroekonomiese veranderlikes deur
middel van monetêre beleid te imposeer. Daar is 'n sterk aanvoeling van die
Taylor reël literatuur wat daarop dui dat sodanige makroekonomiese veranderlikes
soos in asie en die werklike aktiwiteit moet saak maak vir die rentekoers,
wat die monetêre beleid instrument is. Sedert hierdie belangrike raamwerk, het
geen-arbitrage makro- nansies benadering tot term struktuur van rentekoerse
'n aktiewe gebied van kruis-dissiplinêre navorsing tussen nansiële ekonomie
en makroekonomie geword.
Tweedens, die belangrikheid van voorspelling van opbrengskromme met
behulp van variasies op die Nelson and Siegel (1987) eksponensiële komponente
raamwerk om dinamika van die hele opbrengskromme te vang in drie
dimensionele parameters wat dinamies ontwikkel. Die Nelson-Siegel benadering
is 'n gerie ike en spaarsamige benaderingsmetode wat reeds vertrou word
om die beste pas te bewerkstellig en voorspelling van die opbrengskromme.
Die werk wat nogal baie belangstelling ontvang het onder hierdie raamwerk
is die algemene arbitrage-vrye Nelson-Siegel makro- nansiele term struktuur
model met makroekonomiese grondbeginsels, (Li et al. (2012)), wat kenmerkend
van die gesamentlike dinamiese interaksie tussen die opbrengs en die
makroekonomie en die dinamiese verhouding tussen band risiko-premies en
die ekonomie is. Volgens Li et al. (2012), word risiko-premies bevind om nou gekoppel te wees aan makroekonomiese aktiwiteite en wat se variasies ontleed
kan word. Die benadering verbeter die skatting en die uitdagings van identi-
sering van risiko parameters wat teegekom is in die afgelope makro- nansiese literatuur.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/96108 |
| Date | 03 1900 |
| Creators | Thafeni, Phumza |
| Contributors | Ghomrasni, Raouf, Stellenbosch University. Faculty of Science. Department of Mathematical Sciences. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | xi, 112 p. : ill. |
| Rights | Stellenbosch University |
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