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The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits … plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic …
Persistent link: https://www.econbiz.de/10011259157
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Markets Evolution After the Credit Crunch
Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012
existing basis between interbank rates with different tenor, such as Libor and OIS. We also discuss a qualitative explanation …
Persistent link: https://www.econbiz.de/10011260721
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Interest Rates After the Credit Crunch: Markets and Models Evolution
Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48
focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the …
Persistent link: https://www.econbiz.de/10009318572
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Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …
Persistent link: https://www.econbiz.de/10011110035
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A Canadian Business Sector Data Base and New Estimates of Canadian TFP Growth
Diewert, Erwin; Yu, Emily - Vancouver School of Economics - 2012
Using new data from Statistics Canada, the paper shows that the productivity performance of the business sector of the Canadian economy has been reasonably satisfactory over the past 51 years. In particular, traditional gross income Total Factor Productivity (TFP) growth averaged 1.026...
Persistent link: https://www.econbiz.de/10011184341
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Voyage Accounting, User Costs and the Treatment of Financial Transactions in the Theory of the Firm
Diewert, Erwin - Vancouver School of Economics - 2013
The paper considers some of the problems associated with the indirectly measured components of financial service outputs in the System of National Accounts (SNA), termed FISIM (Financial Intermediation Services Indirectly Measured). The paper considers how to integrate financial transactions...
Persistent link: https://www.econbiz.de/10011184342
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Extended Business Sector Data on Outputs and Inputs for the U.S.: 1987-2011
Diewert, Erwin - Vancouver School of Economics - 2013
Using recent data from the Bureau of Economic Analysis (BEA), the Bureau of Labour Statistics (BLS), the Board of Governors of the Federal Reserve System (or Federal Reserve Board or FRB) and the US Department of Agriculture (USDA), the paper constructs a top down data set that covers the...
Persistent link: https://www.econbiz.de/10011184352
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US TFP Growth and the Contribution of Changes in Export and Import Prices to Real Income Growth
Diewert, Erwin - Vancouver School of Economics - 2013
Using recent data from the Bureau of Economic Analysis (BEA), the Bureau of Labour Statistics (BLS), the Board of Governors of the Federal Reserve System and the US Department of Agriculture, the paper uses a data set that covers the outputs produced and inputs used by an Extended Private Sector...
Persistent link: https://www.econbiz.de/10011184353
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The Treatment of Financial Transactions in the SNA: A User Cost Approach
Diewert, Walter Erwin; Diewert, Erwin - Vancouver School of Economics - 2014
The paper considers some of the problems associated with the indirectly measured components of financial service outputs in the System of National Accounts (SNA), termed FISIM (Financial Intermediation Services Indirectly Measured). The paper considers how to integrate financial transactions...
Persistent link: https://www.econbiz.de/10011184361
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Pricing Kernels with Stochastic Skewness and Volatility Risk
Chabi-Yo, Fousseni - 2012
I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk...
Persistent link: https://www.econbiz.de/10012712521