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Investigating Fisher effect in SACU countries : a wavelet coherence approach
Mkhombo, Thando; Phiri, Andrew - In: Cogent economics & finance 10 (2022) 1, pp. 1-19
interest rate and inflation rate across a time frequency space and then employ wavelet coherence tools to investigate the … interest rates and inflation for SACU countries in the post-2000 period, with stronger Fisher effects existing around the …
Persistent link: https://www.econbiz.de/10014500365
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Long-term interest rates and public debt maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
is stronger for countries with higher average inflation or debt. …For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in … the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect …
Persistent link: https://www.econbiz.de/10010189835
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Inflation : islamic and conventional economic systems : evidence from the United States
Kia, Amir - In: International journal of economic perspectives : IJEP 8 (2014) 3, pp. 19-40
Persistent link: https://www.econbiz.de/10011579354
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Modelling nominal debt contracts and fixed rate debt
Graham, Liam; Wright, Stephen - In: Economics letters 88 (2005) 1, pp. 67-72
Persistent link: https://www.econbiz.de/10002878552
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An investigation into savings behaviour of households in Midrand, Johannesburg
Makgele, Moloko Stephen; Chikwekwete, Peter - In: Expert journal of finance 7 (2019) 1, pp. 8-21
Persistent link: https://www.econbiz.de/10012053549
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Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae
Burgess, Nicholas - 2018
In this paper we outline the European interest rate swaption pricing formula from first principles using the Martingale Representation Theorem and the annuity measure. This leads to an expression that allows us to apply the generalized Black-Scholes result. We show that a swaption pricing...
Persistent link: https://www.econbiz.de/10012931188
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Austrian Calculus : Interest Rate and Allocation of Capital
Bilo, Simon - 2015
Economists contributing to the Austrian theory of capital use the theorem stating that a change in the real interest rate reallocates production factors. According to this theorem, a decrease in real interest rate shifts production factors into earlier stages of production and its increase...
Persistent link: https://www.econbiz.de/10013009411
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A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate
Gong, Pu - 2017
In this paper, a general binomial lattice framework, which is both computationally simple and numerically accurate, is developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree with constant volatility, the transformation method...
Persistent link: https://www.econbiz.de/10012946171
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The Pricing of Equity-Linked Contingent Claims Under a Lognormal Short Rate Dynamics
Cocozza, Rosa - 2011
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross...
Persistent link: https://www.econbiz.de/10013127231
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Interest Rate Models for Pricing Derivatives : The Case of Cap Contracts
De Simone, Antonio - 2010
This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model is become almost a trivial task. However their use not always is possible, so that the problem of...
Persistent link: https://www.econbiz.de/10013148553