Coronavirus: bond market and growth expectations

Detalhes bibliográficos
Autor(a) principal: Silva, Carolina Forte do Carmo
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/23462
Resumo: The pandemic triggered exceptional monetary policy interventions by the Federal Reserve, which in March 2020 cut the target rate. This thesis makes progress in understanding the impact of COVID-19 on the treasuries market by examining the behaviour of the determinants of the term structure of bond yields in the United States. For this, we use the Nelson-Siegel (1987) approach to the term structure of interest rates. Findings suggest that the treasury yields closely follow the cut in target rate. Hence, revealing as a good economic predictor.
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spelling Coronavirus: bond market and growth expectationsTreasury yieldsNelson-Siegel ModelCOVID-19Economic growthModelo Nelson-SiegelCrescimento económico -- Economic growthThe pandemic triggered exceptional monetary policy interventions by the Federal Reserve, which in March 2020 cut the target rate. This thesis makes progress in understanding the impact of COVID-19 on the treasuries market by examining the behaviour of the determinants of the term structure of bond yields in the United States. For this, we use the Nelson-Siegel (1987) approach to the term structure of interest rates. Findings suggest that the treasury yields closely follow the cut in target rate. Hence, revealing as a good economic predictor.A pandemia desencadeou intervenções excecionais de política monetária por parte do Banco Central Norte Americano, que em março de 2020 cortou a "Target Rate". Esta tese tem como objetivo examinar o impacto do COVID-19 no mercado das "Treasuries", analisando o comportamento dos determinantes da estrutura das Treasuries nos Estados Unidos. Para isso, vai ser utilizada a abordagem de Nelson-Siegel (1987). Os resultados sugerem que as "Treasuries Yields" acompanham o corte na "Target Rate". Portanto, revelam ser um bom preditor económico.2021-11-03T20:37:23Z2021-09-07T00:00:00Z2021-09-072021-06info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/23462TID:202779769engSilva, Carolina Forte do Carmoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:49:37Zoai:repositorio.iscte-iul.pt:10071/23462Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:24:23.008480Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Coronavirus: bond market and growth expectations
title Coronavirus: bond market and growth expectations
spellingShingle Coronavirus: bond market and growth expectations
Silva, Carolina Forte do Carmo
Treasury yields
Nelson-Siegel Model
COVID-19
Economic growth
Modelo Nelson-Siegel
Crescimento económico -- Economic growth
title_short Coronavirus: bond market and growth expectations
title_full Coronavirus: bond market and growth expectations
title_fullStr Coronavirus: bond market and growth expectations
title_full_unstemmed Coronavirus: bond market and growth expectations
title_sort Coronavirus: bond market and growth expectations
author Silva, Carolina Forte do Carmo
author_facet Silva, Carolina Forte do Carmo
author_role author
dc.contributor.author.fl_str_mv Silva, Carolina Forte do Carmo
dc.subject.por.fl_str_mv Treasury yields
Nelson-Siegel Model
COVID-19
Economic growth
Modelo Nelson-Siegel
Crescimento económico -- Economic growth
topic Treasury yields
Nelson-Siegel Model
COVID-19
Economic growth
Modelo Nelson-Siegel
Crescimento económico -- Economic growth
description The pandemic triggered exceptional monetary policy interventions by the Federal Reserve, which in March 2020 cut the target rate. This thesis makes progress in understanding the impact of COVID-19 on the treasuries market by examining the behaviour of the determinants of the term structure of bond yields in the United States. For this, we use the Nelson-Siegel (1987) approach to the term structure of interest rates. Findings suggest that the treasury yields closely follow the cut in target rate. Hence, revealing as a good economic predictor.
publishDate 2021
dc.date.none.fl_str_mv 2021-11-03T20:37:23Z
2021-09-07T00:00:00Z
2021-09-07
2021-06
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/23462
TID:202779769
url http://hdl.handle.net/10071/23462
identifier_str_mv TID:202779769
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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institution RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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