An analysis of the term structure of interest rates, January 1980-March, 1994

Simple item page
dc.contributor.authorSultan, Michael S.en
dc.contributor.departmentEconomicsen
dc.date.accessioned2014-03-14T21:34:32Zen
dc.date.adate2009-04-25en
dc.date.available2014-03-14T21:34:32Zen
dc.date.issued1994en
dc.date.rdate2009-04-25en
dc.date.sdate2009-04-25en
dc.description.abstractThe purpose of this study is to describe and analyze the behavior of the term structure of interest rates on a daily basis between January 2, 1980, and March 31, 1994, especially with respect to the synchronization and the relative amplitude of change of different maturities in the term structure. Results reveal a high degree of synchronization of the elements of the yield curve during this period. Volatility was found to vary inversely with maturity during this time. The characteristics seen in the daily term structure of this period are consistent with observations in prior studies, including a study of 1901-1954 annual data by Dr. David I. Meiselman and a study of 1955-1989 monthly data by Maj-Lis A. Voss.en
dc.description.degreeMaster of Artsen
dc.format.extentvi, 79 leavesen
dc.format.mediumBTDen
dc.format.mimetypeapplication/pdfen
dc.identifier.otheretd-04252009-040831en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-04252009-040831/en
dc.identifier.urihttp://hdl.handle.net/10919/42235en
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.haspartLD5655.V855_1994.S855.pdfen
dc.relation.isformatofOCLC# 32717723en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V855 1994.S855en
dc.subject.lcshInterest ratesen
dc.titleAn analysis of the term structure of interest rates, January 1980-March, 1994en
dc.typeThesisen
dc.type.dcmitypeTexten
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.levelmastersen
thesis.degree.nameMaster of Artsen

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
LD5655.V855_1994.S855.pdf
Size:
3.17 MB
Format:
Adobe Portable Document Format
Description:
Download

Collections

Masters Theses