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An interpretation of an affine term structure model for Chile

Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Persistent link: https://www.econbiz.de/10009959071

The effectiveness of stock prices on the phase of short-term interest rates : evidence from Eastern European countries

Yıldırım, Nurtac; Ozcelebi, Oguzhan; Kansu, Aydan - In: Advances in management & applied economics 3 (2013) 4, pp. 21-35

In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...

Persistent link: https://www.econbiz.de/10010148062

Simple, compound and continuous interest discounts : a comparative study

Parada-Daza, José Rigoberto - In: Journal of applied finance & banking 3 (2013) 1, pp. 31-43

This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...

Persistent link: https://www.econbiz.de/10010118436

The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion

Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...

Persistent link: https://www.econbiz.de/10010009117

Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox

Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

Persistent link: https://www.econbiz.de/10009957380

¿Cómo valorar los planes de pensiones del sistema individual en España?

García Padrón, Yaiza; García Boza, Juan - In: Estudios de economía 33 (2006) 1, pp. 21-43

We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...

Persistent link: https://www.econbiz.de/10009959069

The effect of target federal funds rate changes on the foreign exchange markets : an event study approach

Wang, Alan T.; Hung, Shu-hsun; Jiang, I-ming - In: Journal of applied finance & banking 3 (2013) 3, pp. 117-132

This paper examines the effect of target Federal funds rate changes on major five foreign exchange markets: Canada, Australia, Euro, Japan and the UK during the period from 2000 to 2007. Two different approaches of Rai, Seth and Mohanty (2007) and the event study of Brown and Warner (1980, 1985)...

Persistent link: https://www.econbiz.de/10010148088

Empirical testing on uncovered interest rate parity in Malaysia

Jaratin Lily; Mori Kogid; Mohd Rahimie Abd Karim; … - In: Journal of applied finance & banking 1 (2011) 2, pp. 95-114

Uncovered interest rate parity (UIRP) provides a crucial theoretical concept for many models in international finance and international monetary economics. Using quarterly data span from 1998Q1 to 2010Q3, we run conventional regressions (OLS) and simple GARCH analysis on UIRP for the case of...

Persistent link: https://www.econbiz.de/10010009075

The impact of the Bank of Japan’s news announcements on the Japanese Yen, US Dollar, and the Euro

Kurihara, Yutaka - In: Journal of applied finance & banking 2 (2012) 3, pp. 39-50

This article examines the impact of news about the Bank of Japan monetary policy announcements regarding the Japanese yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the domestic markets is related to the success of their...

Persistent link: https://www.econbiz.de/10010009133

Efficiency of NPA management in Indian SCBs : a bank-group wise exploratory study

Siraj, K. K.; Pillai, P. Sudarsanan - In: Journal of applied finance & banking 3 (2013) 2, pp. 123-137

Quality of asset and efficiency of bank is highly correlated. The efficiency of banking in post-liberalization period … foremost threat for banking stability and growth. Against this backdrop, this paper investigates the growth of selected NPA … variables and compares it with banking performance indicators. We utilized the growth rate measured using exponential growth …

Persistent link: https://www.econbiz.de/10010148069