Overnight interest rates and aggregate market expectations

Nikola Gradojevic and Ramazan Gencay ()

Economics Letters, 2008, vol. 100, issue 1, pages 27-30

Abstract: 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.

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V84 ... 78089877d3af04636027
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Economics Letters is edited by E. Maskin

More articles in Economics Letters from Elsevier
Series data maintained by Heidi Boesdal ().