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Around the world with Irving Fisher
Thorvaldur Gylfason; Tómasson Helgi; Gylfi Zoega - 2015
This paper aims to show why Irving Fisher's own data on interest rates and inflation in New York, London, Paris, Berlin … changes in inflation, not even in the long run. In Fisher's data, interest rates have more persistence than inflation and … change less than inflation over time. The Fisher effect is a misnomer unless it is taken to refer to what Fisher actually …
Persistent link: https://www.econbiz.de/10010496089
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International Transmission of Interest Rates : The Role of International Reserves and Sovereign Debt
Afonso, António; Huart, Florence; Jalles, João Tovar; … - 2021
We analyse the international transmission of interest rates by focusing on the role of the accumulation of international reserves and on the financing of sovereign debt. An increase in foreign exchange reserves is expected to moderate the influence of U.S. interest rates. However, a high level...
Persistent link: https://www.econbiz.de/10013240933
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International transmission of interest rates : the role of international reserves and sovereign debt
Afonso, António; Huart, Florence; Jalles, João Tovar; … - 2021
We analyse the international transmission of interest rates by focusing on the role of the accumulation of international reserves and on the financing of sovereign debt. An increase in foreign exchange reserves is expected to moderate the influence of U.S. interest rates. However, a high level...
Persistent link: https://www.econbiz.de/10012504452
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A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives
Dang, Duy-Minh - 2010
We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...
Persistent link: https://www.econbiz.de/10013150362
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Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Dang, Duy-Minh - 2010
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...
Persistent link: https://www.econbiz.de/10013150451
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10010393220
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Global macro risks in currency excess returns
Berg, Kimberly A.; Mark, Nelson C. - 2016
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...
Persistent link: https://www.econbiz.de/10011517046
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Global Trends in Interest Rates
Del Negro, Marco - 2018
The trend in the world real interest rate for safe and liquid assets fluctuated close to 2 percent for more than a century, but has dropped significantly over the past three decades. This decline has been common among advanced economies, as trends in real interest rates across countries have...
Persistent link: https://www.econbiz.de/10012911234
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Currency Carry, Momentum, and Global Interest Rate Uncertainty
Zeng, Ming - 2019
Returns to currency carry and momentum are compensations for the risk of global interest rate uncertainty (IRU), with risk exposures explaining 92% of their cross-sectional return variations. The unified explanation stems from its impact on financial constraints of FX intermediaries. Higher...
Persistent link: https://www.econbiz.de/10012899120
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Fisher hypothesis revisited : a fractional cointegration analysis
Kasman, Saadet; Kasman, Adnan; Turgutlu, Evrim - In: Emerging markets finance & trade : a journal of the … 42 (2006) 6, pp. 59-76
Persistent link: https://www.econbiz.de/10003420733