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The Cost of Capital in Markets with Opaque Intermediaries and the Risk-Structure of Interest Rates
Mierzejewski, Fernando - 2009
The demand for cash balances of financial intermediaries that establish contractual liabilities with credit-sensitive customers is characterized. As stated by Merton, the success of the business activities of such firms crucially depends on their credit quality, and hence, they are obliged to...
Persistent link: https://www.econbiz.de/10013160192
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A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination
Christophe, Faugere - Volkswirtschaftliche Fakultät, … - 2003
Stock market valuation and Treasury yield determination are consistent with the Fisher effect (1896) as generalized by … Darby (1975) and Feldstein (1976). The U.S. stock market (S&P 500) is priced to yield ex-ante a real after-tax return … directly related to real long-term GDP/capita growth (the required yield). Elements of our theory show that: 1) real after …
Persistent link: https://www.econbiz.de/10005668408
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The yield curve and the prediction on the business cycle: a VAR analysis for the European Union
Cinquegrana, Giuseppe; Sarno, Domenico - Volkswirtschaftliche Fakultät, … - 2010
The literature on the yield curve deals with the capacity to predict the future inflation and the future real growth … from the term structure of the interest rates. The aim of the paper is to verify this predictive power of the yield curve …
Persistent link: https://www.econbiz.de/10008550561
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Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock
Chang, Kuang-Liang; Chen, Nan-Kuang; Leung, Charles Ka Yui - Volkswirtschaftliche Fakultät, … - 2009
This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent....
Persistent link: https://www.econbiz.de/10008550570
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Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan
Mahmood, Asif - Volkswirtschaftliche Fakultät, … - 2014
This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in … of the yield curve while lower at the longer end. These results are in line with both theoretical and empirical …
Persistent link: https://www.econbiz.de/10011107405
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A Theory of Linkage between Monetary Policy and Banking Failure in Developing Countries
Cadet, Raulin Lincifort - Volkswirtschaftliche Fakultät, … - 2006
This paper presents a model of the banking sector that maximize profit and an individual bank which is a price taker, in a developing country. The interest rate on treasury bills is included in the model to measure monetary policy. The mathematical expression of the probability of banking...
Persistent link: https://www.econbiz.de/10005260080
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Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
Qayyum, Abdul; Anwar, Saba - Volkswirtschaftliche Fakultät, … - 2011
This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any change in the monetary policy stance have a significant...
Persistent link: https://www.econbiz.de/10009644158
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An Outline of the Existing Literature on Monetary Economics in India
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2010
As per the researchers on monetary economics, a detailed account of the changing role of money from Walrasian and Non-Walrasian settings to the more recent theories on the dynamics of the relationships between money, inflation and growth with reference to their historical evolution are available...
Persistent link: https://www.econbiz.de/10008533251
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La place du contrôle des mouvements de capitaux dans la politique économique française et les perspectives liées à son allégement
Galy, Michel - Volkswirtschaftliche Fakultät, … - 1986
This paper reviews the central features of France’s capital controls in the 70's and 80's and strives to assess their ability, in the context of various exchange rate mechanisms, to regulate capital flows and to stabilize the exchange rate while allowing France to preserve a measure of...
Persistent link: https://www.econbiz.de/10011170135
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The role of money in economies with monetary policy regimes that ignore monetary aggregates
Victor, Olivo - Volkswirtschaftliche Fakultät, … - 2011
This paper discusses the important issue of price level determinacy from a theoretical and empirical perspective. The theoretical section relies basically on a dynamic aggregate demand aggregate supply (AD-AS) model. In the empirical section, we try to assess the relative importance of money...
Persistent link: https://www.econbiz.de/10011110252