Overnight interest rates and aggregate market expectations

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• 作者：Nikola Gradojevic ; Ramazan Gencay
• 关键词：Non-additive entropy ; Tsallis entropy ; q-Gaussian distribution
• 刊名：Economics Letters
• 出版年：2008
• 出版时间：July 2008
• 年：2008
• 卷：100
• 期：1
• 页码：27-30
• 全文大小：371 K

文摘

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.