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Capital markets and aggregate factor...

Morales, Marco.

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Capital markets and aggregate factors in the Chilean economy.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Capital markets and aggregate factors in the Chilean economy./
作者:	Morales, Marco.
面頁冊數:	94 p.
附註:	Adviser: Laurence Kotlikoff.
Contained By:	Dissertation Abstracts International67-12A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3246616

Capital markets and aggregate factors in the Chilean economy.
Morales, Marco.

Capital markets and aggregate factors in the Chilean economy. - 94 p.

Adviser: Laurence Kotlikoff.

Thesis (Ph.D.)--Boston University, 2007.

This dissertation studies Chilean capital markets, with particular focus on the effects on interest rates of macroeconomic shocks and mandatory pension fund contributions. The first chapter analyses the interaction between the term structure of interest rates and macroeconomic variables. Relatively few prior studies have examined the bidirectional feedback of Chilean interest rates on the Chilean economy and the Chilean economy on Chilean interest rates. The second chapter is concerned with the determination of the internal rate of return for annuities during the 1990s, when the market was characterized by significant non-price competition. The last chapter presents modifications to residual based co-integration tests in the context of structural change. It also demonstrates how these tests can be conducted in practice.Subjects--Topical Terms:

626650
Economics, Finance.

Capital markets and aggregate factors in the Chilean economy.
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300 $a 94 p.
500 $a Adviser: Laurence Kotlikoff.
500 $a Source: Dissertation Abstracts International, Volume: 67-12, Section: A, page: 4628.
502 $a Thesis (Ph.D.)--Boston University, 2007.
520 $a This dissertation studies Chilean capital markets, with particular focus on the effects on interest rates of macroeconomic shocks and mandatory pension fund contributions. The first chapter analyses the interaction between the term structure of interest rates and macroeconomic variables. Relatively few prior studies have examined the bidirectional feedback of Chilean interest rates on the Chilean economy and the Chilean economy on Chilean interest rates. The second chapter is concerned with the determination of the internal rate of return for annuities during the 1990s, when the market was characterized by significant non-price competition. The last chapter presents modifications to residual based co-integration tests in the context of structural change. It also demonstrates how these tests can be conducted in practice.
520 $a The first chapter estimates a dynamic model incorporating latent and macro factors that jointly determine the term structure of the real interest rates. I assume that the factors follow a VAR process and show that relationship between yields and macroeconomic outcomes can be modeled in state-space form and estimated using a Kalman Filter or a simplified two-step procedure. I conclude that the simplified approach yields results that are intuitively similar to those generated by the more complicated Kalman Filter. Estimation results support the dynamic interaction between yield curve latent factors and macroeconomic variables.
520 $a The second chapter estimates the internal rate of return paid on annuities based on a stylized model of the demand and supply for annuities. The data used in this analysis are company-level. During the 1990s, illegal provision of cash rebates to annuitants played an important role in determining annuity demand. Thereafter, the rate of return on annuities became a more important factor in the market for annuities.
520 $a The last chapter investigates how residual tests for co-integration can be modified to reduce size distortions and improve power. The method employed follows the same ideas used in the unit root context. This is a natural strategy given that residual tests are unit root statistics applied to estimated residuals from a co-integrating regression. Monte Carlo experiments are implemented to assess the finite sample performance of the alternative tests.
590 $a School code: 0017.
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