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Dissertations

Essays in asset pricing and macroeconomics

Ruslan Bikbov, 2006
Faculty Advisor: Mikhail Chernov

Abstract

This thesis is an econometric investigation of the dynamic properties of the US fixed income markets in a no-arbitrage framework.

Traditional no-arbitrage models of the yield curve use a latent factor approach and extract those factors from the observed prices. Despite voluminous literature on this subject, we still have a limited understanding of the models' structural features which are important in practice. The first essay evaluates the ability of several affine latent factor models to explain the term structure of Eurodollar futures and options.

The second essay makes a step from introspective latent factor approach towards economically interpretable models. The essay suggests a methodology that replaces traditional latent factors, such as level, slope and curvature, with macro variables, such as inflation, real activity, budget deficit, and liquidity. Simultaneously, the methodology generates genuine exogenous shocks.

The third essay links the yield curve dynamics with monetary policy regimes. The essay develops a model of term structure that borrows identification assumptions from macroeconomic literature and allows for regime switching dynamics of the monetary policy rule. The effect of monetary policy regimes on the yield curve and risk premia is studied.

Doctoral Program News

Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

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Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

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Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

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Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

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Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

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The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

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Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

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Regular Decision: Feb 15, 2014

 

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