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Economics LettersVolume 100, Issue 1, July 2008, Pages 27-30

Overnight interest rates and aggregate market expectations(Article)(Open Access)

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  • aFaculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, Ont. P7B 5E1, Canada
  • bDepartment of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC V5A 1S6, Canada

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. © 2007 Elsevier B.V. All rights reserved.

Author keywords

Non-additive entropyq-Gaussian distributionTsallis entropy
  • ISSN: 01651765
  • CODEN: ECLED
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1016/j.econlet.2007.10.024
  • Document Type: Article

  Gradojevic, N.; Faculty of Business Administration, Lakehead University, 955 Oliver Road, Canada;
© Copyright 2008 Elsevier B.V., All rights reserved.

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