This paper investigated the driving factors behind the persistently high interest rate spreads in Uganda for the 1995 to 2010 period. The main approach used was the test for cointegration where the Engle and Granger (1987) two-step procedure was applied to test for the long-run relationship. The...

This paper investigates the effect of changes in the cash rate on term structure of interest rates in Australia. We use the 90-day bank bill rate to decompose the unexpected and expected change in the cash rate target. We examine the effect of monetary policy on the volatility of interest rates...

In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model -...

On May 29, 2008, the Wall Street Journal reported that several large international banks were reporting unjustifiably low LIBOR rates. Since then two large banks, Barclays and UBS, have paid significant fines for manipulating their LIBOR rates, and additional banks are expected to be fined. This...

After the credit and liquidity crisis started in summer 2007 the market has recognized that multiple yield curves are required for estimation of both discount and FRA rates with dfferent tenors (e.g. Overnight, Libor 3 months, etc.), consistently with the large basis spreads and the wide...

This paper investigates how recent changes in market interest rates have affected risk-adjusted returns. Returns are adjusted for duration, a measure of interest rate risk. Prior to the 2007-2008 rate decrease, one-year Treasuries offered the best risk/return tradeoff. As a result of the rate...

The goal of this paper is to help the motivated students with their course on interest rate modeling and/or to help them learn the LIBOR model by themselves. It implies the reader knows what forward rates, caps, and swap[tion]s are and has some knowledge of the quantitative finance: at least Ito...

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

We analyze the effect of monetary policy on yield spreads between corporate bonds with different credit ratings over the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds target rate and several indicators to distinguish between...