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Empirical essays in macroeconomics and finance

Modena, Matteo (2010) Empirical essays in macroeconomics and finance. PhD thesis, University of Glasgow.

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Abstract

This work provides an empirical examination of the relationship between macroeconomics and finance. In particular, we exploit non linear econometric methods to analyse the information content of the term structure of interest rates. We find that both monetary and financial variables are useful to predict the future evolution of economic activity.

Item Type: Thesis (PhD)
Qualification Level: Doctoral
Keywords: Yield Curve, Term Premia, Business Cycle, Non Linear Econometrics
Subjects: H Social Sciences > HG Finance
H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Colleges/Schools: College of Social Sciences > Adam Smith Business School > Economics
Supervisor's Name: MacDonald, Professor Ronald and Noorbakhsh, Professor Farhad
Date of Award: 2010
Depositing User: Dr matteo modena
Unique ID: glathesis:2010-1689
Copyright: Copyright of this thesis is held by the author.
Date Deposited: 12 Apr 2010
Last Modified: 10 Dec 2012 13:45
URI: http://theses.gla.ac.uk/id/eprint/1689

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