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Synthetic Eurocurrency Interest Rate Futures Contracts : Theory and Evidence

Koh, Annie - 2007

measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining … hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk …

Persistent link: https://www.econbiz.de/10012777151

Treasury Bill Rates in the 1970s and 1980s

Hendershott, Patric H. - 2007

As is widely recognized, real interest rates in the early 1980s were at peaks not witnessed since the late 1920s. Less well perceived is the sharp decline in real interest rates since 1984. By 1986-88, real interest rates were back at their average levels of the previous quarter century. This...

Persistent link: https://www.econbiz.de/10012777160

Predictable Changes in Yields and Forward Rates

Backus, David K. - 2010

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/10012763624

Banks' Risk Exposures

Begenau, Juliane - 2015

This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as...

Persistent link: https://www.econbiz.de/10013019509

An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model

Das, Sanjiv Ranjan - 2021

Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the...

Persistent link: https://www.econbiz.de/10013249269

Interest Rate Expectations Versus Forward Rates : Evidence from an Expectations Survey

Friedman, Benjamin M. - 2022

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/10013323586

Limits to Arbitrage and Hedging : Evidence from Commodity Markets

Acharya, Viral V. - 2011

speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …

Persistent link: https://www.econbiz.de/10013128612

Hedge Fund Leverage

Ang, Andrew - 2011

We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the...

Persistent link: https://www.econbiz.de/10013129223

The Real and Financial Implications of Corporate Hedging

Campello, Murillo - 2010

We study the implications of hedging for firm financing and investment. We do so using an extensive, hand …-collected dataset on corporate hedging activities. Hedging can lower the odds of negative firm realizations, reducing the expected costs … channels (cost of borrowing and investment restrictions) through which hedging affects corporate outcomes. The analysis we …

Persistent link: https://www.econbiz.de/10013134932

FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets

Levich, Richard M. - 2012

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...

Persistent link: https://www.econbiz.de/10013103054