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Monetary policy and interest rate products

Zurowski, Wojciech ; Schneider, Paul (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2019 ; 20019ECO002.

My PhD thesis consists of three papers which study how interest rate products' prices react to both the central bank's policy goals and communication. As tool I make use of various econometric techniques such as affine models, general method of moments or Haar like filtering. The first chapter studies government bond excess term premia. I show that their predictability is driven by monetary...