Narrow search
Showing 1 - 10 of 306
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Estimating the Natural Rate of Interest: A SVAR Approach
Brzoza-Brzezina, Michal - EconWPA - 2003
returns plausible results and thus seems to be well designed for the estimation of the natural rate of interest. We show that …
Persistent link: https://www.econbiz.de/10005076765
Cover Image
Expectations, Bond Yields and Monetary Policy
Chun, Albert Lee - EconWPA - 2005
Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...
Persistent link: https://www.econbiz.de/10005076986
Cover Image
MODELING INTEREST RATE TRANSMISSION DYNAMICS IN GREECE. IS THERE ANY STRUCTURAL BREAK AFTER EMU?
CHIONIS, DIONYSIOS; LEON, COSTAS - EconWPA - 2005
We examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates...
Persistent link: https://www.econbiz.de/10005125020
Cover Image
Liquidity Preference Theory Revisited—To Ditch or to Build on It?
Bibow, Joerg - EconWPA - 2005
This paper revisits Keynes’s liquidity preference theory as it evolved from the Treatise on Money to The General Theory … and after, with a view of assessing the theory’s ongoing relevance and applicability to issues of both monetary theory and … policy. Contrary to the neoclassical “special case” interpretation, Keynes considered his liquidity preference theory of …
Persistent link: https://www.econbiz.de/10005126066
Cover Image
Collateral Constraints in a Monetary Economy
Cordoba, Juan Carlos; Ripoll, Marla - EconWPA - 2003
This paper studies the role of collateral constraints in transforming small monetary shocks into large persistent output fluctuations. We do this by introducing money in the heterogeneous-agent real economy of Kiyotaki and Moore (1997). Money enters in a cash-in-advance constraint and is...
Persistent link: https://www.econbiz.de/10005126270
Cover Image
Optimal Monetary Policy under Heterogeneous Expectations
Gomes, Orlando - EconWPA - 2004
Monetary policy has an important role in the determination of the inflation rate and the output gap time trajectories. Monetary authorities should choose the nominal interest rate time path that best serves the goals of price stability (primarily) and output growth (as a consequence of the...
Persistent link: https://www.econbiz.de/10005126273
Cover Image
Are Europe Interest Rates led by FED's Announcements?
Monticini; Vaciago - EconWPA - 2004
This paper investigates the degree and nature of economic and monetary policy relations among the United States, the euro area, and the British area. Using daily interest rates, we estimate the impact of monetary policy announcements of a Central Bank on its domestic market and in what measure...
Persistent link: https://www.econbiz.de/10005126296