The most important determinant of bank loan pricing is not borrower risk or other conventional variable but whether the interest rate is pegged to the Prime Rate or to a market index such as Livor. Controlling for the difference in level among such benchmarks, and for many other variables...

This paper examines characterizations of exchange rate and short-term interest rate dynamics, based on the implications of multi-country versions of the Cox, Ingersoll, and Ross (1985) class of term structure models. The countries considered are the US, Germany, Japan, and the UK. Our tests...