We estimate a three-factor model to fit both the time-series dynamics and cross-sectional shapes of the U.S. term structure. In the model, three unobserved factors drive a discrete-time stochastic discount process, with one factor reverting to a fixed mean and a second factor reverting to a...

We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each "reserve maintenance period," when the...

This paper evaluates the extended target zone proposal of Williamson and Miller using the National Institute world economic model (GEM). Williamson and Miller's proposals envisage that real exchange rates will be controlled by movements in relative interest rates, that fiscal policy will be used...

This paper considers arbitrage pricing of bonds and the determination of interest rates in the European Currency Unit (ecu) in situations of impending ecu basket adjustments. These adjustments disrupt the markets for private ecu assets with a lead of several months. The approach of the paper is...

This paper provides a conceptual framework to analyze the main economic issues raised by Spain's integration into the EEC and by the vast economic reforms associated with the 1992 European Internal Market. The "EEC cum 1992" event can be described as a major anticipated permanent shock with both...

Capital market theory predicts that the wealth distribution should affect interest rates. This Paper empirically analyses the relationship between the wealth distribution and interest rates in the US. We use data on wealth inequality from various sources. Measures of wealth inequality are linked...

The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates. By using vector autoregressive models of...

We introduce an extended LIBOR market model that is compatible with the current market practice of building different yield curves for different tenors and for discounting. The new paradigm is based on modeling the joint evolution of FRA rates and forward rates belonging to the discount curve....

This paper uses a cointegration analysis and a Vector Error Correction (VEC) model to investigate the relationship between interest rates and a set of macroeconomic variables in Italy and Germany, over the period 1989-1999. It has been found that both countries have placed importance on price...