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Interest rates and the transition to a monetary union.

机译：利率和向货币联盟的过渡。

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摘要

The dissertation contains four essays. In the first, co-authored with Dr. Corzo, we use nonparametric techniques to estimate a model of short term interest rate dynamics and to value bonds. We study the case of two European countries—Spain and Italy—that belong to EMU. The pricing errors obtained are smaller than those reported in the parametric literature. Furthermore, our model, which takes into account convergence with Europe of the domestic economies, clearly outperforms more standard models.; In the second essay I show that interest rates follow a mean reverting process but this behavior is present when the level of the interest rate is above some threshold value.; In the third essay, I assume a simple model of exchange rate behavior to derive an expression for the evolution of exchange rates during the transition period to a monetary union. This expression differs depending on whether the economy is in a convergent or nonconvergent state. I estimate a Bayesian model of agent learning where agents use the information available to learn about the parameters of the process and about a possible change in the state. This allows me to infer the evolution of the probability that the market believes the economy to be in the convergent state. I analyze the time evolution of this probability in the context of specific policy actions, commenting on how these actions affected market perceptions in the case of two EU countries, Spain and Sweden.; In the fourth essay, the years of integration of European countries in the Monetary Union are analyzed. I model the convergent behavior of interest rates in European countries by making the change in rates depend on the spread with respect to a European. I use filtering procedures to get estimates of a time varying mean reverting value for the interest rate. I estimate two series of rolling correlations that show the degree of convergence and of concordance of the shocks of the domestic economies. This allows me to analyze how some relevant external events affected the behavior of interest rates during the transition to EMU and how candidate economies were evolving.
机译：论文共四篇。首先，与Corzo博士合着，我们使用非参数技术来估计短期利率动态模型并为债券定价。我们研究了属于EMU的两个欧洲国家（西班牙和意大利）的情况。获得的定价误差小于参数文献中报告的定价误差。此外，考虑到与本国经济与欧洲的融合，我们的模型明显优于更标准的模型。在第二篇文章中，我表明利率遵循均值回归过程，但是当利率水平高于某个阈值时，就会出现这种现象。在第三篇文章中，我假设一个简单的汇率行为模型可以得出在向货币联盟过渡期间汇率演变的表达式。根据经济是处于趋同状态还是非趋同状态，此表达方式会有所不同。我估计了代理学习的贝叶斯模型，其中代理使用可用信息来了解过程的参数以及状态的可能变化。这使我可以推断出市场相信经济处于趋同状态的可能性的演变。我在特定政策行动的背景下分析了这种可能性的时间演变，并评论了在西班牙和瑞典这两个欧盟国家，这些行动如何影响市场认知。在第四篇文章中，分析了欧洲国家在货币联盟中的融合年限。我通过使利率的变化取决于相对于欧洲的利差来模拟欧洲国家利率的趋同行为。我使用过滤程序来获取利率随时间变化的平均恢复值的估计值。我估计了两个系列的滚动相关性，它们显示了国内经济冲击的趋同程度和一致程度。这使我能够分析一些相关的外部事件如何在向EMU过渡期间影响利率行为，以及候选经济体如何演变。

著录项

  • 作者

    Gomez Biscarri, Javier.;

  • 作者单位

    University of California, Los Angeles.;

  • 授予单位 University of California, Los Angeles.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2001
  • 页码 225 p.
  • 总页数 225
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

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