Objective
Research objectives and content
The objective of my research is to model explicitly the role of the central bank in shaping the yield curve and to estimate the model using continuous time econometrics techniques. The originality of this project consists in developing a simple model where the central bank reacts to changes in the economic environment by changing a reference interest rate. A Vasicek type model, where the mean reverting level evolves stochastically over time according to a continuous time Markov chain, will be adopted. To put it in a different way, we model the changes in the mean reverting level as conditional switches between a finite number of values. This switching regime assumption is a novelty and it implies that the possible alternative states and the probabilities to reach them can depend on the current state and on some exogenous variable. In the second part of my work, I would like to estimate the model using continuous time econometric techniques. I expect that the application of these techniques to a switching regime model will resolve two problems that have emerged in the empirical literature: the discretisation problem and the insufficient specification of the drift term.
Training content (objective, benefit and expected impact)
For the theoretical development of my research, the contact with the host institution has already been found very stimulating since important work on the same field has been done there. Therefore, carrying out my research at Birkbeck College will give me direct access to essential resources that are going to be critical to complete successfully my project. From the training, I expect to attain a comprehensive knowledge of financial theory and gain a thorough knowledge of the most up-to-date financial econometric techniques required to complete my research project.
Links with industry / industrial relevance (22)
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
W1P 2LL London
United Kingdom
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.