In this paper we illustrate and explain the relationship between interest rates (or forward rates) and discount factors. We present the forward-discount factor relationship, which is popular and widely used in financial markets for yield curve construction, and derive the exact formulae using a...

The study aims to examine the relationships between variables from different perspectives by using Turkey's Real exchange rate (TL/USD), Real interest rate and Consumer price index data. Data from 2012M7 to 2021M12 were used in the study. In order to examine the relationships between the...

Lack of investable capital has slowed down the development process in many developing nations, including Nigeria, and this has sparked empirical research on the factors affecting foreign capital flow. Therefore, the purpose of this study was to investigate the effects of interest rate...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz and University of Hong Kong), Dickson Tam (Hong Kong Institute for Monetary Research) and Matthew S. Yiu (Hong Kong Institute for Monetary Research).One argument for floating the Chinese renminbi (RMB) is to...

In electronic rates markets accuracy and low latency are threshold requirements that can be a barrier to market entry as they are essential to survive and compete. In this paper we outline how to achieve high performance by reducing swap pricing and risk calculations into trivial vector and...

This paper considers the ramifications of the landmark US Appeals Court decision in USA v Connolly & Black (decided January 27, 2022) to acquit on all charges, 2 former Deutsche Bank trader’s Matthew Connolly and Gavin Campbell Black, who had been accused of conspiracy to defraud and false and...

We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance premium at the country, bank, firm, and contract levels of disaggregation. At the country level, the...

The finding of Feldstein and Horioka (1980) that domestic saving and domestic investment are highly correlated across countries despite the rapid globalization and liberalization of financial markets in recent decades has been regarded as a Puzzle or Paradox. However, in this paper, we show that...

This paper examines the Australian interest rate futures market reaction to changes in RBA monetary policy. Having determined market expectations from 30-day Interbank futures, the study finds evidence that interest rate futures react strongly to target rate announcements across the maturity...

Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. We determine that sector-based ETFs...