Essays about: "Giorgio Cicala"

Found 1 essay containing the words Giorgio Cicala.

  1. 1. A Multi-country Analysis of Term Structure Behavior

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alberto Ceron; Giorgio Cicala; [2013]
    Keywords : Expectation Hypothesis; Term Structure of Interest Rates; Term Spread; Vector Autoregressive Model; Forward Rates;

    Abstract : This thesis aims to shed some further light on the much debated Expectation Hypothesis (EH). To test the theory we use the term structure, from 2000 to 2013, of four different countries, namely Italy, Sweden, Germany and the US. Our work presents four main tests of the EH, from standard term spread regressions to a more articulated VAR model. READ MORE