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Overnight Interest Rates and Aggregate Market Expectations

Listed author(s):
  • Nikola Gradojevic

    ()

    (Faculty of Business Administration, Lakehead University, Thunder Bay, ON, Canada)

  • Ramazan Gençay

    ()

    (Department of Economics, Simon Fraser University, Burnaby, British Columbia, Canada)

This paper introduces an entropy approach to measuring market expectations with respect to overnight interest rates in an inter-bank money market. The findings for the Turkish 2000-2001 borrowing crisis suggest that a dynamic, non-extensive entropy framework provides a valuable insight into the degree of aggregate market concerns during the crisis.

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File URL: http://www.rcea.org/RePEc/pdf/wp26_09.pdf
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Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 26_09.

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Date of creation: Jan 2009
Handle: RePEc:rim:rimwps:26_09
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  1. Lisa Borland, 2002. "A theory of non-Gaussian option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 415-431.
  2. Gamero, L.G. & Plastino, A. & Torres, M.E., 1997. "Wavelet analysis and nonlinear dynamics in a nonextensive setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 487-509.
  3. Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
  4. Martin, M.T. & Plastino, A.R. & Plastino, A., 2000. "Tsallis-like information measures and the analysis of complex signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 275(1), pages 262-271.
  5. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
  6. Tong, S. & Bezerianos, A. & Paul, J. & Zhu, Y. & Thakor, N., 2002. "Nonextensive entropy measure of EEG following brain injury from cardiac arrest," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 305(3), pages 619-628.
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