Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10362/106056| Título: | News shocks: the impact on the term structure |
| Autor: | Niccoletti, Francesca |
| Orientador: | Silva, André Castro |
| Palavras-chave: | Term Structure Expectation Hypothesis Vector Autoregression Total Factor Productivity news shock |
| Data de Defesa: | 13-Jan-2020 |
| Resumo: | TheaimofthisworkprojectistogetbettersenseofwhatmovestheTermStructureand,consequently,theslopeoftheYieldCurve.Todoso,wefirstpresentthemostcommoneconomictheoriesthatattemptatexplainingwhatdrivesinvestors’expectationsandtheshapeoftheYieldCurve.FollowingtheresearchofKurmannandOtrok(2013),wethenanalysetheimpactofanewsshockonbothmacroeconomicandmonetarypolicyvariablesusingaVectorAutoregression(VAR)identificationmodelandtheimpulseresponsefunctions(IRFs)oftheaforementionedvariablesintheVAR.Afterhavingcarriedoutthisanalysis,thefinallessonis:newsshockaboutfuturegrowthofTotalFactorProductivity(TFP)determinesaconstantdropinInflationaswellasFederalFundRateswhile,atthesametime,increasingtheslopeoftheTermStructure,andtheseresultscouldbeusedtoforecastapossiblefuturescenarioforthe Euro Area. |
| URI: | http://hdl.handle.net/10362/106056 |
| Designação: | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
| Aparece nas colecções: | NSBE: Nova SBE - MA Dissertations |
Ficheiros deste registo:
| Ficheiro | Descrição | Tamanho | Formato | |
|---|---|---|---|---|
| 1239616263-16143_Francesca_Niccoletti_2019-20_S1-34074-36-Francesca_Niccoletti_124450_100868146.pdf | 462,4 kB | Adobe PDF | Ver/Abrir |
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