Sökning: "Giorgio Cicala"

Hittade 1 uppsats innehållade orden Giorgio Cicala.

  1. 1. A Multi-country Analysis of Term Structure Behavior

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Alberto Ceron; Giorgio Cicala; [2013]
    Nyckelord :Expectation Hypothesis; Term Structure of Interest Rates; Term Spread; Vector Autoregressive Model; Forward Rates;

    Sammanfattning : This thesis aims to shed some further light on the much debated Expectation Hypothesis (EH). To test the theory we use the term structure, from 2000 to 2013, of four different countries, namely Italy, Sweden, Germany and the US. Our work presents four main tests of the EH, from standard term spread regressions to a more articulated VAR model. LÄS MER