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Interbank interest rates as term structure indicators

Malz, Allan M. - Federal Reserve Bank of New York - 1998

Interbank fixed income claims are a rich but neglected source of information on the term structure of interest rates and interest rate expectations. The first half of this paper describes the information content of two types of over-the-counter interest rate derivatives, forward rate agreements...

Persistent link: https://www.econbiz.de/10005717246

Two factors along the yield curve

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1996

We estimate two-factor equilibrium models on different parts of the yield curve. In this exploration of the term structure of interest rates, we use two-factor affine yield models as our diagnostic tool. The exercise provides insights on how to reconcile the time-series dynamics of interest...

Persistent link: https://www.econbiz.de/10005717202

A three-factor econometric model of the U.S. term structure

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1997

We estimate and test a model of the U.S. term structure that fits both the time series of interest rates and the cross-sectional shapes of the yield and volatility curves. In the model, three unobserved factors drive a stochastic discount process that prices assets so as to rule out arbitrage...

Persistent link: https://www.econbiz.de/10005512197

Inflation risk in the U.S. yield curve: the usefulness of indexed bonds

Gong, Frank F.; Remolona, Eli M. - Federal Reserve Bank of New York - 1996

The inflation-indexed bonds the U.S. Treasury plans to issue will reduce the expected borrowing cost if the yield curve … reflects a risk premium for inflation. In the United Kingdom, indexed bonds are also used to extract inflationary expectations … and thus to guide monetary policy. The bonds will produce a more reliable measure of such expectations if the inflation …

Persistent link: https://www.econbiz.de/10005512206

Sources of fluctuations in long-term expected real rates of interest: evidence from the U.K. indexed bond market

Gaske, M. Ellen - Federal Reserve Bank of New York - 1991

Persistent link: https://www.econbiz.de/10005387305

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

Walter, Christian; Lopez, Jose - Federal Reserve Bank of New York - 1997

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the...

Persistent link: https://www.econbiz.de/10005717233

Interest rate options dealers' hedging in the US dollar fixed income market

Kambhu, John - Federal Reserve Bank of New York - 1997

The potential for the dynamic hedging of written options to lead to positive feedback in asset price dynamics has received repeated attention in the literature on financial derivatives. Using data on OTC interest rate options from a recent survey of global derivatives markets, this paper...

Persistent link: https://www.econbiz.de/10005717265

New varieties of foreign currency options

Malz, Allan M. - Federal Reserve Bank of New York - 1993

Persistent link: https://www.econbiz.de/10005387247

Taylor, Black and Scholes: series approximations and risk management pitfalls

Estrella, Arturo - Federal Reserve Bank of New York - 1995

Risk managers make frequent use of finite Taylor approximations to option pricing formulas, particularly of first and second order (delta and gamma). This paper shows that for a plausible range of parameter values, the Taylor series for the Black-Scholes formula diverges. Using a numerical...

Persistent link: https://www.econbiz.de/10005387259

Options positions: risk management and capital requirements

Estrella, Arturo; Hendricks, Darryll; Kambhu, John; … - Federal Reserve Bank of New York - 1994

Persistent link: https://www.econbiz.de/10005387266