Essays in interest rates, exchange rates and savings

  • Pornpinun Chantapacdepong

Student thesis: Doctoral ThesisDoctor of Philosophy (PhD)


This thesis studies the behaviour of interest rates in government bonds markets, foreign exchange rates and national savings. There are three main chapters in the thesis. The first chapter consists of a comparative study of government securities and risk. It generates monthly interest rate risk premium data and examines their determinants. The results show that the risk premia are time varying and also vary considerably across sample countries. In particular, countries with better financial development and higher income generally have lower risk premia of government assets. Additionally, the risk premia are significantly affected by macroeconomic circumstances, especially economic growth and the real effective exchange rate.
Date of Award2007
Original languageEnglish

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