Overnight interest rates and aggregate market expectations

Nikola Gradojevic and Ramazan Gencay

Economics Letters, 2008, vol. 100, issue 1, 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.

Date: 2008
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Working Paper: Overnight Interest Rates and Aggregate Market Expectations (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:1:p:27-30

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