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An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
Jagannathan, Ravi - 2001
We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …
Persistent link: https://www.econbiz.de/10012470033
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Determinants of the Japan Premium : Actions Speak Louder Than Words
Peek, Joe - 1999
Since August 1995, Japanese banks have had to pay a premium on Eurodollar and Euroyen interbank loans relative to their U.S. and U.K. competitors. This so-called Japan premium' provides a market indicator of investor anxiety about the ability of Japanese banks to repay loans. We examine the...
Persistent link: https://www.econbiz.de/10012471539
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Futures Prices as Risk-adjusted Forecasts of Monetary Policy
Piazzesi, Monika - 2004
Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment to account for these premia. In this paper, we document...
Persistent link: https://www.econbiz.de/10012468146
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Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
Hamilton, James D. - 2007
This paper develops a generalization of the formulas proposed by Kuttner (2001) and others for purposes of measuring the effects of a change in the fed funds target on Treasury yields of different maturities. The generalization avoids the need to condition on the date of the target change and...
Persistent link: https://www.econbiz.de/10012465078
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Daily Changes in Fed Funds Futures Prices
Hamilton, James D. - 2007
This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to...
Persistent link: https://www.econbiz.de/10012465542
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Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...
Persistent link: https://www.econbiz.de/10014226104
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An Empirical Analysis of the Swaption Cube
Trolle, Anders B. - 2010
-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …
Persistent link: https://www.econbiz.de/10012462108
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Interest Rate Expectations Versus Forward Rates : Evidence From An Expectations Survey
Friedman, Benjamin M. - 1978
The object of this paper is to test several familiar hypotheses about the relationship between the forward rates implied by the term structure and interest rate expectations, using the one ongoing systematic survey that samples market participants' expectations. The substitution of survey data...
Persistent link: https://www.econbiz.de/10012478855
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The Market Price of Credit Risk : An Empirical Analysis of Interest Rate Swap Spreads
Liu, Jun - 2002
financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures … significant. We also find that credit premia in swap spreads are positive on average. These premia, however, vary significantly …
Persistent link: https://www.econbiz.de/10012469724
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Predictable Changes in Yields and Forward Rates
Backus, David - 1998
We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the...
Persistent link: https://www.econbiz.de/10012472439