Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10001590071
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …
Persistent link: https://www.econbiz.de/10001936329
Persistent link: https://www.econbiz.de/10001752009
Persistent link: https://www.econbiz.de/10000540679
Persistent link: https://www.econbiz.de/10000662963
Persistent link: https://www.econbiz.de/10001656406
This paper proposes a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi commitment. The monetary policy authority is assumed to formulate optimal...
Persistent link: https://www.econbiz.de/10001783067
"We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...
Persistent link: https://www.econbiz.de/10001512198
Persistent link: https://www.econbiz.de/10001591398