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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

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

associated with the fixed-income market (maturity, default risk, relevance of short term operations). …

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

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

lead to bizarre values of the coefficient of relative risk aversion. On the other side, we claim that the key consumption …

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

Journal of financial stability

Amsterdam [u.a.] : Elsevier - 1.2004/05 -

Persistent link: https://www.econbiz.de/10010186800

The International Monetary Fond as a creator of the global financial system

Kitanovic, Violeta Spaseska; Kozuharov, Saso - In: UTMS journal of economics / University of Tourism and … 3 (2012) 1, pp. 83-90

IMF and World Bank were created after the Second World War as a result of monetary and fiscal Conference of the United … construction of Europe which was destroyed in the Second World War, and to protect the world from further economic depressions. The … decision that was reached at Breton Wood was influenced by the global economic depression which had affected the world in the …

Persistent link: https://www.econbiz.de/10010058702

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

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