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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

Is Lebanon’s Debt Sustainable? A Closer Look at Lebanon’s Debt Dynamics

Saab, Samer - EconWPA - 2005

1. Lebanon has one of the highest public debt stocks (relative to GDP) in the world, currently at over 185 percent of … certain reversal in direction of the overall debt-to-GDP ratio in Lebanon. The most recent IMF projections notes that lower …-term projections of debt-to-GDP ratios for Lebanon in the Article IV context have been systematically over-optimistic and off …

Persistent link: https://www.econbiz.de/10005408446

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

Dynamic term structure models (DTSMs) price interest rate derivatives based on the model implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often...

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

We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are...

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

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...

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 pricing. Most classic short rate models are special cases of...

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