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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

The Efficiency of Canadian Capital Markets: Some Bank of Canada Research

Hendry, Scott; King, Michael R. - EconWPA - 2004

Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds...

Persistent link: https://www.econbiz.de/10005413072

Dynamic Risk Profile of the US Term Structure by Wavelet MRA

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...

Persistent link: https://www.econbiz.de/10005125063

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

Heidari, Massoud; Wu, Liuren - EconWPA - 2002

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

Persistent link: https://www.econbiz.de/10005134665

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Heidari, Massoud; WU, Liuren - EconWPA - 2002

interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the … three additional factors to capture the movement of the implied volatility surface. …

Persistent link: https://www.econbiz.de/10005134877

The Term Structure of Interest Rates and Future Inflation

Kotlán, Viktor - EconWPA - 2000

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations...

Persistent link: https://www.econbiz.de/10005412621

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …

Persistent link: https://www.econbiz.de/10005413218

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

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

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 …

Persistent link: https://www.econbiz.de/10005134792