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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
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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
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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
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...
Persistent link: https://www.econbiz.de/10012763403
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew Kenan - 2011
transparency or illiquidity. However, several of the important announcements concerning the international swap programs …
Persistent link: https://www.econbiz.de/10013121027
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Central Bank Dollar Swap Lines and Overseas Dollar Funding Costs
Goldberg, Linda S. - 2010
central banks. These central banks had the capacity to use these swap facilities to provide dollar liquidity to institutions … in their jurisdictions. This paper presents the developments in the dollar swap facilities through the end of 2009. The … research, as well as more descriptive accounts, suggests that the dollar swap lines among central banks were effective at …
Persistent link: https://www.econbiz.de/10013147598
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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/10013135764
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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012785748
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An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices
Kaplin, Andrew - 2010
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/10012763074
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Synthetic Eurocurrency Interest Rate Futures Contracts : Theory and Evidence
Koh, Annie - 2007
In this paper, we develop a theoretical (arbitrage) pricing model for a Eurocurrency interest rate futures contract and measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining exisiting Eurodollar interest rate futures contracts with...
Persistent link: https://www.econbiz.de/10012777151