Università della Svizzera italiana

Modeling the term structure of interest rates

Povala, Pavol ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO009.

This doctoral thesis studies the behavior of yields on government bonds. I focus on three aspects of the yield curve: (i) the link between bond yields and key macro quantities such as consumption growth, (ii) the process of expectations formation about the short term interest rate which, in most developed markets, is the main monetary policy instrument, and (iii) the behavior of interest rate...