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An analysis of OTC interest rate derivatives transactions: implications for public reporting

Fleming, Michael; Jackson, John; Li, Ada; Sarkar, Asani; … - Federal Reserve Bank of New York - 2012

This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product...

Persistent link: https://www.econbiz.de/10010551295

Interbank interest rates as term structure indicators

Malz, Allan M. - Federal Reserve Bank of New York - 1998

Interbank fixed income claims are a rich but neglected source of information on the term structure of interest rates and interest rate expectations. The first half of this paper describes the information content of two types of over-the-counter interest rate derivatives, forward rate agreements...

Persistent link: https://www.econbiz.de/10005717246

Two factors along the yield curve

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1996

We estimate two-factor equilibrium models on different parts of the yield curve. In this exploration of the term structure of interest rates, we use two-factor affine yield models as our diagnostic tool. The exercise provides insights on how to reconcile the time-series dynamics of interest...

Persistent link: https://www.econbiz.de/10005717202

A three-factor econometric model of the U.S. term structure

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1997

We estimate and test a model of the U.S. term structure that fits both the time series of interest rates and the cross-sectional shapes of the yield and volatility curves. In the model, three unobserved factors drive a stochastic discount process that prices assets so as to rule out arbitrage...

Persistent link: https://www.econbiz.de/10005512197

Inflation risk in the U.S. yield curve: the usefulness of indexed bonds

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1996

The inflation-indexed bonds the U.S. Treasury plans to issue will reduce the expected borrowing cost if the yield curve … reflects a risk premium for inflation. In the United Kingdom, indexed bonds are also used to extract inflationary expectations … and thus to guide monetary policy. The bonds will produce a more reliable measure of such expectations if the inflation …

Persistent link: https://www.econbiz.de/10005512206

Sources of fluctuations in long-term expected real rates of interest: evidence from the U.K. indexed bond market

Gaske, M. Ellen - Federal Reserve Bank of New York - 1991

Persistent link: https://www.econbiz.de/10005387305

Pricing the term structure with linear regressions

Adrian, Tobias; Moench, Emanuel - Federal Reserve Bank of New York - 2008

We estimate the time series and cross section of bond returns by way of three-stage ordinary least squares, which we label dynamic Fama-MacBeth regressions. Our approach allows for estimation of models with a large number of pricing factors. Even though we do not impose yield cross-equation...

Persistent link: https://www.econbiz.de/10005726598

Performance maximization of actively managed funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - Federal Reserve Bank of New York - 2010

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10008636148

Risk-neutral systemic risk indicators

Malz, Allan M. - Federal Reserve Bank of New York - 2013

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...

Persistent link: https://www.econbiz.de/10010640520

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

Walter, Christian; Lopez, Jose - Federal Reserve Bank of New York - 1997

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the...

Persistent link: https://www.econbiz.de/10005717233

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