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Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …
Persistent link: https://www.econbiz.de/10005413172
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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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WOULD ADOPTING THE US DOLLAR HAVE LED TO IMPROVED INFLATION, OUTPUT AND TRADE BALANCES FOR NEW ZEALAND IN THE 1990s?
Hall, Viv; Huang, Angela - EconWPA - 2004
Deterministic simulations with the Reserve Bank of New Zealand’s core FPS model show how New Zealand’s broad macroeconomic environment might have evolved over the 1990s, if a US nominal yield curve and US TWI exchange rate movements under a common currency arrangement had been...
Persistent link: https://www.econbiz.de/10005412749
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Measuring Loss Potential of Hedge Fund Strategies
Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005
We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...
Persistent link: https://www.econbiz.de/10005134729
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On Describing Multivariate Skewness: A Directional Approach
Ferreira, J. T. A. S.; Steel, M. F. J. - EconWPA - 2004
Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. While these … distributions is less obvious. In this article, we consider the problem of characterising the skewness of multivariate distributions …. We define directional skewness as the skewness along a direction and analyse parametric classes of skewed distributions …
Persistent link: https://www.econbiz.de/10005556279
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STOCK MARKET VALUATION IN THE UNITED STATES
BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003
This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...
Persistent link: https://www.econbiz.de/10005125064
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Modelling Possible Impacts of GM Crops on Australian Trade
Stone, Susan; Matysek, Anna; Dolling, Andrew - EconWPA - 2003
This paper looks at the impact on Australia’s trade in crops (non-wheat grains and oilseeds) where GM technology has been introduced. The model includes assumptions about the productivity gains of GM crops, possible consumer responses and regulatory costs for Australia and its major trading...
Persistent link: https://www.econbiz.de/10005407855
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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 important not only in economics and economical activity, but also in social and political life. Those five factors are concrete, but also abstract. They belong to different...
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