Overnight Interest Rates and Aggregate Market Expectations

Nikola Gradojevic and Ramazan Gencay

Working Paper series from Rimini Centre for Economic Analysis

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.

Keywords: Non-additive Entropy; Tsallis Entropy; q-Gaussian Distribution (search for similar items in EconPapers)
JEL-codes: C40 G0 G1 (search for similar items in EconPapers)
Date: 2009-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Overnight interest rates and aggregate market expectations (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:26_09

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