An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore

• المؤلف الرئيسي: TSE, Yiu Kuen
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1998
• الموضوعات: Asian Studies; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/486
• المؤسسة: Singapore Management University

This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion m...