The Yield Curve and Financial Risk Premia Implications for Monetary
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by
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Felix Geiger
The Yield Curve and Financial Risk Premia Implications for Monetary Policy
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Dr. Felix Geiger University of Hohenheim Department of Economics Chair of Economic Policy Schloss Osthof 70593 Stuttgart Germany [email protected]
ISSN 0075-8442 ISBN 978-3-642-21574-2 e-ISBN 978-3-642-21575-9 DOI 10.1007/978-3-642-21575-9 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011935533 c Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: eStudio Calamar S.L. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
This book was written during my time as research and teaching assistant at the Department of Economics at the University of Hohenheim, Germany; it was accepted as dissertation at the University of Hohenheim in November 2010. I hereby would like to address my gratitude to a number of persons. First and foremost, I would like to thank my supervisor Prof. Dr. Peter Spahn for his encouragement and support to pursue my research program. Offering me a fruitful and productive working environment throughout the years of completion of the dissertation at his chair, I have benefited tremendously from his personal guidance, advice and sharing of great ideas with me. I would like to thank Prof. Dr. Harald Hagemann as my second supervisor. Not only did he support my work with valuable comments at various seminars at the University of Hohenheim, but he introduced me to the field of economic research at the end of my diploma studies. I would also like to express my gratitude towards Prof. Dr. Gerhard Wagenhals for joining the committee for my oral examination. My colleagues and friends at the Department of Economics and Business Adminstration of the University of Hohenheim; Oliver Sauter, Lukas Scheffknecht, Arash Molavi Vass´ei, Ulli Spankowski, Arne Breuer, Barbara Flaig, Dr. Constanze Dobler, Dr. Kai Schmid, Julian Christ, Patricia Hofmann, Ralf Rukwid, Dirk Sturz, Katharina Nau, Dr. Michael Knittel, Dr. Sybille Sobczak, Niels Geiger, Johannes Schwarzer, Larissa Talmon-Gros, Martin Lempe, Lenka Severova and Christi
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