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Option-implied Libor rate expectations across currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden and Litzenberger's (1978) result regarding the relationship between option prices and implied probabilities for...
Persistent link: https://www.econbiz.de/10011563200
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Fiscal positions and government bond yields in OECD countries
Gruber, Joseph W.; Kamin, Steven - 2010
Persistent link: https://www.econbiz.de/10009550951
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The puzzling peso
Arteta, Carlos Ó.; Kamin, Steven; Vitanza, Justin - 2009
Persistent link: https://www.econbiz.de/10009535474
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EMS interest rate differentials and fiscal policy : a model with an empirical application to Italy
Craig, R. S. - 1991
Persistent link: https://www.econbiz.de/10000130700
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The dollar as an official reserve currency under EMU
Leahy, Michael P. - 1994
Persistent link: https://www.econbiz.de/10000889386
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Cheap talk and the efficacy of the ECB’s securities market programme : did bond purchases matter?
Pooter, Michiel de; DeSimone, Rebecca; Martin, Robert F.; … - 2015
Persistent link: https://www.econbiz.de/10011326749
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The liquidity effects of official bond market intervention
Pooter, Michiel de; Martin, Robert F.; Pruitt, Seth - 2015
Persistent link: https://www.econbiz.de/10011326752
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Equal size, equal role? : Interest rate interdependence between the euro area and the United States
Ehrmann, Michael; Fratzscher, Marcel - 2004
Persistent link: https://www.econbiz.de/10002074241
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Is the corporate loan market globally integrated? : A pricing puzzle
Carey, Mark S.; Nini, Gregory P. - 2004
Persistent link: https://www.econbiz.de/10002190696
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A bivariate model of Fed and ECB main policy rates
Scotti, Chiara - 2006
Persistent link: https://www.econbiz.de/10003399044