Showing 1 - 10 of 1,483
The rising gasoline prices of the past few years were not associated with shifts from vehicles with lower MPG to vehicles with higher MPG. This has been seen as evidence that gasoline prices have little impact on the purchase choices of new-vehicle buyers. However, this paper presents new...
Persistent link: https://www.econbiz.de/10005134451
This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on countries of high inflation. We take the money process as an exogenous variable, estimated from...
Persistent link: https://www.econbiz.de/10005530912
Persistent link: https://www.econbiz.de/10005382261
Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an...
Persistent link: https://www.econbiz.de/10004972658
Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fedٳ reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative...
Persistent link: https://www.econbiz.de/10004972666
We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and default intensity of the firm are supposed to follow CIR processes. A liquidity term that represents the funding costs of the bank is introduced and modeled as a continuous time...
Persistent link: https://www.econbiz.de/10011122204
We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and default intensity of the firm are supposed to follow CIR processes. A liquidity term that represents the funding costs of the bank is introduced and modeled as a continuous time...
Persistent link: https://www.econbiz.de/10010820872
We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and default intensity of the firm are supposed to follow CIR processes. A liquidity term that represents the funding costs of the bank is introduced and modeled as a continuous time...
Persistent link: https://www.econbiz.de/10010775945
We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and default intensity of the firm are supposed to follow Cox–Ingersoll–Ross (CIR) processes. A liquidity term that represents the funding costs of the bank is introduced and...
Persistent link: https://www.econbiz.de/10010785482
This PhD thesis investigates the pricing of a corporate loan according to the credit risk, the liquidity cost and the embedded prepayment option. A loan contract issued by a bank for its corporate clients is a financial agreement that often comes with more flexibility than a retail loan...
Persistent link: https://www.econbiz.de/10011074701