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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Overnight interest rates and aggregate market expectations |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Economics Letters |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0165-1765 |
| Volume | 100 |
| Number | 1 |
| Page Range | 27 - 30 |
| Date | 2008 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1016/j.econlet.2007.10.024 |
| Other Identification Number | merlin-id:5971 |
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