한국의 실질이자율의 기간구조와 인플레이션 리스크 프리미엄
- Title
- 한국의 실질이자율의 기간구조와 인플레이션 리스크 프리미엄
- Other Titles
- The Term Structure of Real Rate and Inflation Risk Premium :the case of South Korea
- Author
- 김영민
- Alternative Author(s)
- Kim, Young Min
- Advisor(s)
- 유진
- Issue Date
- 2013-02
- Publisher
- 한양대학교
- Degree
- Master
- Abstract
- Changes in nominal interest rates must be due to either movements in real interest rates, expected infation, or the
inflation risk premium. We use a term structure model with two latent and one macro-economics variable, affine term structure model. We show that the two time-varying parameters may be interpeted as factors corresponding to level and slope. An inflation risk premium increases with
matuity. We find that expected inflation fully explain most of difference between nominal and real. Also the latent factor account for most of risk premium.
- URI
- https://repository.hanyang.ac.kr/handle/20.500.11754/134112http://hanyang.dcollection.net/common/orgView/200000421981
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > ECONOMICS & FINANCE(경제금융학과) > Theses (Master)
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