Forecasting the Government's Yield Curve in the Dominican Republic
A macro-financial VAR approach to forecasting the Dominican Republic's Central Government's Yield Curve
(Sprache: Englisch)
This study develops a framework for analyzing the implicit yield curve in Dominican Republic's Central Government's bonds' transactions, reducing it two a limited set of factors that can be interpreted as intertemporal series, and then estimating a...
Leider schon ausverkauft
versandkostenfrei
Buch
39.90 €
19 DeutschlandCard Punkte
sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
Produktdetails
Produktinformationen zu „Forecasting the Government's Yield Curve in the Dominican Republic “
Klappentext zu „Forecasting the Government's Yield Curve in the Dominican Republic “
This study develops a framework for analyzing the implicit yield curve in Dominican Republic's Central Government's bonds' transactions, reducing it two a limited set of factors that can be interpreted as intertemporal series, and then estimating a macro-financial vector-auto-regression (VAR) model in which they are forecasted along with some economic series, testing several coefficient restrictions. The study finds, first, that the structure of the Dominican Republic's yield curve can be successfully reduced to a limited set of factors that capture the intertemporal structure of spot yields that discounts each bond's future cashflows so that they correspond to its current trading price; second, the study finds that a joint macro-financial VAR framework increases forecasting power relative to separate macro and financial models, and that further theoretical and pragmatic restrictions can be made on the coefficients to augment the flexibility of the model without compromising model fit.
Autoren-Porträt von Enrique Penson
Penson, EnriqueEnrique Penson received Bachelor's degree in Economics, Summa Cum Laude at Instituto Tecnológico de Santo Domingo; obtained Master's degree in Investment and Finance from Middlesex University, London, with distinction. Currently he is a Senior Economist at the Analytica firm in the Dominican Republic, and has been a consultant at the World Bank.
Bibliographische Angaben
- Autor: Enrique Penson
- 2019, 52 Seiten, Maße: 22 cm, Kartoniert (TB), Englisch
- Verlag: Editorial Académica Española
- ISBN-10: 6139469201
- ISBN-13: 9786139469208
Sprache:
Englisch
Kommentar zu "Forecasting the Government's Yield Curve in the Dominican Republic"
0 Gebrauchte Artikel zu „Forecasting the Government's Yield Curve in the Dominican Republic“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Forecasting the Government's Yield Curve in the Dominican Republic".
Kommentar verfassen