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http://hdl.handle.net/10362/106056| Title: | News shocks: the impact on the term structure |
| Author: | Niccoletti, Francesca |
| Advisor: | Silva, André Castro |
| Keywords: | Term Structure Expectation Hypothesis Vector Autoregression Total Factor Productivity news shock |
| Defense Date: | 13-Jan-2020 |
| Abstract: | 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 |
| Designation: | 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 |
| Appears in Collections: | NSBE: Nova SBE - MA Dissertations |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 1239616263-16143_Francesca_Niccoletti_2019-20_S1-34074-36-Francesca_Niccoletti_124450_100868146.pdf | 462,4 kB | Adobe PDF | View/Open |
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