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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Boudoukh, Jacob - 1999

This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of thin air,' our processes are generated from the data using approximation methods...

Persistent link: https://www.econbiz.de/10012471576

Money and Interest Rates with Endogeneously Segmented Markets

Alvarez, Fernando - 1999

This paper analyses the effects of open market operations on interest rates in a model in which agents must pay a fixed cost to exchange assets and cash. Asset markets are endogenously segmented in that some agents choose to pay the fixed cost and some do not. When the fixed cost is zero, the...

Persistent link: https://www.econbiz.de/10012471741

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri - National Bureau of Economic Research - 2022

segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented …

Persistent link: https://www.econbiz.de/10013172174

The Term Structure of Euromarket Interest Rates : An Empirical Investigation

Campbell, John Y. - 1986

Persistent link: https://www.econbiz.de/10012477126

The Behavior of Interest Rates and Real Exchange Rates During a Liberalization Episode : The Case of Chile 1973-83

Edwards, Sebastian - 1985

period 1977-83. It is argued that as a consequence of the liberalization of the capital account in Chile in 1979-81, dramatic … inflows of financial capital resulted. These capital inflows generated an important increase in expenditure, and a lower … capital account, and not the adoption of a preannounced rate of devaluation, that generated the dramatic real appreciation of …

Persistent link: https://www.econbiz.de/10012477378

A Defense of Traditional Hypotheses About the Term Structure of InterestRates

Campbell, John Y. - 1984

Expectations theories of asset returns may be interpreted as stating either that risk premia are zero, or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that...

Persistent link: https://www.econbiz.de/10012477578

Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?

Mankiw, N. Gregory - 1984

This paper examines the hypothesis that financial markets are myopic by studying the term structure of interest rates. White rejecting decisively the traditional expectations hypothesis regarding the term structure, our statistical results also lead us to conclude that long term interest rates...

Persistent link: https://www.econbiz.de/10012477747

A Simple Account of the Behavior of Long-Term Interest Rates

Campbell, John Y. - 1983

Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate...

Persistent link: https://www.econbiz.de/10012477896

The Level and Volatility of Interest Rates in the United States : The Roles of Expected Inflation, Real Rates, and Taxes

Makin, John H. - 1983

the econometric effect of including a measure of excess capacity; (5) an unexpected rise in money demand may be …

Persistent link: https://www.econbiz.de/10012477933

Inflation Uncertainty and Interest Rates : Theory and Empirical Tests

Hartman, Richard - 1982

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation uncertainty affects interest rates. Both models give rise to essentially the same interest rate equation for estimation. Empirical evidence supports the hypothesis that...

Persistent link: https://www.econbiz.de/10012478202