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The yield curve is the term structure of interest rates and as such mathematically begins with short rates.
Mishkin, 1997, "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Vol.
Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica 53, 385-407.
Development of the term structure of interest rates depends on regular issues in the primary market, increased trading activity in the secondary market, and providing ease of entry and exit to both the issuers and the investors.
Mankiw and Miron (1986) argue that the apparent failure of the expectation theory of the term structure of interest rates can be attributed to the effect of the monetary policy.
Introduction The expectations hypothesis (hereafter EH) of the term structure of interest rates states that the long-term rate is determined by the expectation for the short-term rate plus a constant term premium.
For example, Smith and Taylor (2007) empirically document a large secular shift in the estimated response of the entire term structure of interest rates to inflation and output in the United States.
Because the Fed operates with a target for the interest rate on overnight lending in the market for federal funds, it is natural for us to want to know more about how monetary policy affects the term structure of interest rates and how expectations about monetary policy are revealed in market pricing.