Nominal short term interest rates have been low in the United States, so low that some have wondered whether the federal funds rate is likely to hit its lower bound at 0 percent. Such a scenario, which some economists have called the liquidity trap, would imply that the Federal Reserve could no...

This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and...

This paper examines whether empirical and theoretical results suggesting a relatively small role for counterparty credit risk in the determination of interest rate swap rates hold during periods of stress in the financial markets, such as the chain of events that followed the Russian default...

What does the level of the real interest rates tell us about where the economy, or one's portfolio, is headed? The answer to this question depends on one's estimate of the quot;equilibriumquot; value of real interest rates, a measure that is unfortunately not directly observed in the market...

The credit derivatives market is emerging as a potentially important new development that may help shape the overall financial markets in the years to come. In this paper, I provide a brief overview of the credit derivatives market and assess its future potential in the creation of...

If current projections of future budget surpluses materialize, investing in Treasury securities?an asset class with which investors have long been familiar?could eventually become a thing of the past. In this paper, I examine the extent to which investors' portfolio allocation decisions are...

I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet - conditional volatility is abnormally low - on days preceding regularly scheduled policy...