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A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Boudoukh, Jacob - 1999

This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of thin air,' our processes are generated from the data using approximation methods...

Persistent link: https://www.econbiz.de/10012471576

Money and Interest Rates with Endogeneously Segmented Markets

Alvarez, Fernando - 1999

This paper analyses the effects of open market operations on interest rates in a model in which agents must pay a fixed cost to exchange assets and cash. Asset markets are endogenously segmented in that some agents choose to pay the fixed cost and some do not. When the fixed cost is zero, the...

Persistent link: https://www.econbiz.de/10012471741

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

Gourinchas, Pierre-Olivier; Ray, Walker; Vayanos, Dimitri - National Bureau of Economic Research - 2022

segmentation is partly overcome by global arbitrageurs with limited capital. Our model accounts for the empirically documented …

Persistent link: https://www.econbiz.de/10013172174

The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements : The "Puzzle" of Anticipated Money

Deaves, Richard - 1987

Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in...

Persistent link: https://www.econbiz.de/10012476944

The Term Structure of Euromarket Interest Rates : An Empirical Investigation

Campbell, John Y. - 1986

Persistent link: https://www.econbiz.de/10012477126

Interest Rates, Money Supply Announcements, and Monetary Base Announcements

Huizinga, John - 1985

This paper presents a new set of empirical regularities on the link between interest rates, money supply announcements and monetary base announcements. Among the main findings reported are: (i) unexpected increases in the announced monetary base have a significantly positive effect on interest...

Persistent link: https://www.econbiz.de/10012477375

The Behavior of Interest Rates and Real Exchange Rates During a Liberalization Episode : The Case of Chile 1973-83

Edwards, Sebastian - 1985

period 1977-83. It is argued that as a consequence of the liberalization of the capital account in Chile in 1979-81, dramatic … inflows of financial capital resulted. These capital inflows generated an important increase in expenditure, and a lower … capital account, and not the adoption of a preannounced rate of devaluation, that generated the dramatic real appreciation of …

Persistent link: https://www.econbiz.de/10012477378

Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates

Huizinga, John - 1985

A striking phenomenon of the early 1980s is the climb in real interest rates to levels unprecedented in the post-World War II period. In order to understand this phenomenon, this paper investigates the nature and timing of shifts in the real rate process to determine if the recent unusual...

Persistent link: https://www.econbiz.de/10012477402

A Defense of Traditional Hypotheses About the Term Structure of InterestRates

Campbell, John Y. - 1984

Expectations theories of asset returns may be interpreted as stating either that risk premia are zero, or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that...

Persistent link: https://www.econbiz.de/10012477578

Money, Credit and Interest Rates in the Business Cycle

Friedman, Benjamin M. - 1984

Fluctuations of business activity in the United States clearly have their monetary and financial side, but these aspects of U.S. economic fluctuations exhibit few quantitative regularities that have persisted unchanged across spans of tine over which the nation's financial markets have...

Persistent link: https://www.econbiz.de/10012477605

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