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A learning hypothesis of the term structure of interest rates
Romhányi, Balázs - EconWPA - 2005
Recent empirical results about the US term structure are difficult to reconcile with the classical hypothesis of rational expectations even if time-varying but stationary term premia are allowed for. A hypothesis of rational learning about the conditional variance of the log pricing kernel is...
Persistent link: https://www.econbiz.de/10005412568
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Interest, debt and capital accumulation - a Kaleckian approach
Hein, Eckhard - EconWPA - 2005
In the present paper we explicitly introduce interest payments and debt into a Kaleckian distribution and growth model with an investment function very close to Kalecki’s original writings. The effects of interest rate variations on the short-run equilibrium values of capacity utilisation,...
Persistent link: https://www.econbiz.de/10005126210
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THE PRINCIPIUM OF PRICE SYSTEM
Zhai, Xiaozhong - EconWPA - 2005
This book focuses on general theory of price. Price, wage, interest rate, GNP and exchange rate, five factors, are very … macroeconomics theory. This book is also a concise outline of a part of macroeconomics and a good reading and educating material for …,GENERAL THEORY OF INTEREST RATE 12,PHILOSOPHICAL DEFINATION OF PRICE 13,TRADE EFFECT 14,EXCHANGE- RATE FORMULA 15,SINGLE …
Persistent link: https://www.econbiz.de/10005126369
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The Potential Approach to Bond and Currency Pricing
Leippold, Markus; Wu, Liuren - EconWPA - 1999
In this paper, we begin the modeling of bond and currency prices from the modeling of the state-price density satisfying basic properties of a potential. We provide extensive examples and show their implications on bond and currency pricing. Most classic short rate models are special cases of...
Persistent link: https://www.econbiz.de/10005134792
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INTERACTIONS BETWEEN TWO INFORMAL SECTOR LENDERS AND INTEREST RATE DETERMINATION IN THE INFORMAL CREDIT MARKET: A THEORETICAL ANALYSIS
Chaudhuri, Sarbajit - EconWPA - 2005
The paper provides a theory of interest rates determination in the informal credit market in backward agriculture …
Persistent link: https://www.econbiz.de/10005407518
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INTERACTIONS BETWEEN TWO INFORMAL SECTOR LENDERS AND INTEREST RATE DETERMINATION IN THE INFORMAL CREDIT MARKET: A THEORETICAL ANALYSIS
Chaudhuri, Sarbajit - EconWPA - 2005
The paper provides a theory of interest rates determination in the informal credit market in backward agriculture …
Persistent link: https://www.econbiz.de/10005407569
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Interest rate, debt, distribution and capital accumulation in a post-Kaleckian model
Hein, Eckhard - EconWPA - 2004
The introduction of monetary variables into post-Keynesian models of distribution and growth is an ongoing process. Lavoie (1995) has proposed a Kaleckian ‘Minsky-Steindl-model’ of distribution and growth, incorporating the effects debt and debt services have on short and long run capital...
Persistent link: https://www.econbiz.de/10005412605
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Calibration of Interest Rate Models - Transition Market Case
Vojtek, Martin - EconWPA - 2004
A methodology to calibrate multifactor interest rate model for transition countries is proposed. The usual methodology of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The existence of such a markets is essential for this...
Persistent link: https://www.econbiz.de/10005413130
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Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...
Persistent link: https://www.econbiz.de/10005413172
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Application of Four-Rate Formula and Exchange Rate Formula to demonstration of single currency with different value and interest rate
Zhai, Xiaozhong - EconWPA - 2004
Putting the theory of price system on the relationship among price, wage, labor time, interest rate and GNP (or GDP …
Persistent link: https://www.econbiz.de/10005561153