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Empirical Evidence of Pricing Efficiency in Niche Markets
Koch, Sandra Idelle - 2000
Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected...
Persistent link: https://www.econbiz.de/10009475064
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Spread between the euro short-term rate (€STR) and the deposit facility rate
Santalla Pérez, Yasmina; Castillo Lozoya, María del Carmen
Rationale This article analyses the factors that are contributing to the widening of the spread between the euro short-term rate (€STR) and the deposit facility rate, with a view to assessing monetary policy transmission in the Eurosystem. Takeaways •The key factors that explain the...
Persistent link: https://www.econbiz.de/10014334724
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Charakterisierung und Analyse von Asset Backed Securities.
Ebberg, Jan - 1997
einen permanenten Cash Flow generieren, aus dem Zins- und Tilgungsverpflichtungender ABS-Papiere bedient werden. Es besteht …
Persistent link: https://www.econbiz.de/10009471904
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Essays on financial markets and the macroeconomy
Mönch, Emanuel - 2006
Charakterisierung der Geldpolitik wird dann die Zinsstruktur unter der Annahme fehlender Arbitragemöglichkeiten hergeleitet. Das …. Die Analyse offenbart, dass der "curvature"-Faktor informativer in Bezug auf die zukünftige Entwicklung der Zinsstruktur …
Persistent link: https://www.econbiz.de/10009467089
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Vergleich statistischer Zinsmodelle
Scheck, Dominik - 2001
In der vorliegenden Arbeit werden im theoretischen Teil die bekannten Verfahren zur Schätzung der deutschen Zinsstrukturkurve vorgestellt.Im praktischen Teil werden drei Modelle an Hand von wöchentlichen Anleihepreisdaten von Januar 1999 bis Dezember 2000 miteinanderverglichen. Außerdem...
Persistent link: https://www.econbiz.de/10009471672
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Zinssensitivität und Fristentransformation deutscher Finanzdienstleister – Eine empirische Untersuchung anhand von Kapitalmarktdaten
Simon, Stephan Kurt Hermann - 2008
Konstruktion des Zinsfaktors, der Laufzeit der Zinssätze sowie der Orthogonalisierung des Zins- bzgl. des Marktfaktors variiert … statistische Theorie postuliert. Der Zinsfaktor ist stets deutlich signifikanter und hat einen höheren Erklärungsgehalt, wenn der … has the strongest impact on the results as also postulated by statistic theory. The interest rate factor is always …
Persistent link: https://www.econbiz.de/10009447147
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Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
HEIDARI, MASSOUD; WU, LIUREN - 2002
Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...
Persistent link: https://www.econbiz.de/10009440749
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The Yield Curve as a Predictor of Growth and Recession in Australia
Karunaratne, Neil Dias - 1999
This paper estimates the slope of the yield curve using quarterly data on real GDP and the nominal spread proxied by the difference in returns from the 10 year bond rate and the 90 day bill rate. The time-series analysis after proper unit root tests using stationary variables revealed that the...
Persistent link: https://www.econbiz.de/10009447991
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Liquidity, term spreads and monetary policy
Aksoy, Yunus; Basso, Henrique S. - 2012
We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover...
Persistent link: https://www.econbiz.de/10012530386
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Modelling interest payments for macroeconomic assessment
Girón Pastor, Celestino; Morano, Marta; Quilis, Enrique M. - 2016
Este artículo presenta una nueva metodología para estimar el gasto financiero de la Administración Central. La idea subyacente es la de representar desagregadamente la dinámica de la deuda y del gasto por intereses a partir de cuatro elementos: el saldo vivo de la deuda pública inicial, las...
Persistent link: https://www.econbiz.de/10012530511