Banks’ option to lend, interest rate sensitivity, and credit availability
2002-01-01
Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset-liability maturity mismatch. This paper proposes a new way to derive a bank’s interest rate sensitivity, by examining separately the effects of interest rate changes on existing loans (loans-in-place) and potential loans (loans-in-process). A potential loan is shown to be equivalent to an American option to lend, and is valued using option theory. An increase in interest rates usually h...
Interest rates in quantum finance: Caps, swaptions and bond options
Baaquie, Belal E.
2010-01-01
The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated. Black’s caplet formula for quantum finance is given an exact path integral derivation. The coupon and zero coupon bond options as well as the Libor European and Asian swaptions are derived in the framework of quantum finance. The approximate Libor option prices are derived using the volatility expansion. The BGM-Jamshidian (Gatarek et al. (1996) [1], Jamshidian (1997) [2]) result for the Libor swaption prices is obtained as the limiting case when all the Libors are exactly correlated. A path integral derivation is given of the approximate BGM-Jamshidian approximate price.
Pricing real estate index options under stochastic interest rates
Gong, Pu; Dai, Jun
2017-08-01
Real estate derivatives as new financial instruments are not merely risk management tools but also provide a novel way to gain exposure to real estate assets without buying or selling the physical assets. Although real estate derivatives market has exhibited a rapid development in recent years, the valuation challenge of real estate derivatives remains a great obstacle for further development in this market. In this paper, we derive a partial differential equation contingent on a real estate index in a stochastic interest rate environment and propose a modified finite difference method that adopts the non-uniform grids to solve this problem. Numerical results confirm the efficiency of the method and indicate that constant interest rate models lead to the mispricing of options and the effects of stochastic interest rates on option prices depend on whether the term structure of interest rates is rising or falling. Finally, we have investigated and compared the different effects of stochastic interest rates on European and American option prices.
Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
José Renato Haas Ornelas
2011-03-01
Full Text Available Building Risk-Neutral Density (RND from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index options from 1998 to 2009, this paper estimates the option-implied Risk-Neutral Densities for the Brazilian short rate using three methods: Shimko, Mixture of Two Log-Normals and Generalized Beta of Second Kind. Our in-sample goodness-of-fit evaluation shows that the Mixture of Log-Normals method provides better fitting to option’s data than the other two methods. The shape of log-normal distributions seems to fit well to the mean-reversal dynamics of Brazilian interest rates. We have also calculated the RND implied Skewness, showing how it could have provided market early-warning signals of the monetary policy outcomes in 2002 and 2003. Overall, Risk-Neutral Densities implied on IDI options showed to be a useful tool for extracting market expectations about future outcomes of the monetary policy.
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
Christiansen, Charlotte; Hansen, Charlotte Strunk
2002-01-01
We analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill rate. These options have not been studied previously. It is shown that a European style put option on the interest rate is equivalent to a call option on a zero-coupon bond. We apply the LIBOR...
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
Christiansen, Charlotte; Hansen, Charlotte Strunk
2002-01-01
We analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill rate. These options have not been studied previously. It is shown that a European style put option on the interest rate is equivalent to a call option on a zero-coupon bond. We apply the LIBOR...
Winarti, Yuyun Guna; Noviyanti, Lienda; Setyanto, Gatot R.
2017-03-01
The stock investment is a high risk investment. Therefore, there are derivative securities to reduce these risks. One of them is Asian option. The most fundamental of option is option pricing. Many factors that determine the option price are underlying asset price, strike price, maturity date, volatility, risk free interest rate and dividends. Various option pricing usually assume that risk free interest rate is constant. While in reality, this factor is stochastic process. The arithmetic Asian option is free from distribution, then, its pricing is done using the modified Black-Scholes model. In this research, the modification use the Curran approximation. This research focuses on the arithmetic Asian option pricing without dividends. The data used is the stock daily closing data of Telkom from January 1 2016 to June 30 2016. Finnaly, those option price can be used as an option trading strategy.
On the Information in the Interest Rate Term Structure and Option Prices
de Jong, F.; Driessen, J.; Pelsser, A.
2004-01-01
We examine whether the information in cap and swaption prices is consistent with realized movements of the interest rate term structure. To extract an option-implied interest rate covariance matrix from cap and swaption prices, we use Libor market models as a modelling framework. We propose a
Pricing long-term options with stochastic volatility and stochastic interest rates
van Haastrecht, A.
2010-01-01
The markets for long-term options have expanded tremendously over the last decade. Nowadays many of these derivatives along with pension schemes and insurance products depend on joint changes in stock prices, interest rates and inflation. As a result the dependencies between the underlying assets ha
van Haastrecht, A.; Pelsser, A.
2009-01-01
We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility, for which we use a generic multi-currency framework. We allow for a general correlation structure between the drivers of the volatility, the inflation index, the domestic (nominal)
Interest rates as options: assessing the markets' view of the liquidity trap
Antulio N. Bomfim
2003-01-01
Nominal short term interest rates have been low in the United States, so low that some have wondered whether the federal funds rate is likely to hit its lower bound at 0 percent. Such a scenario, which some economists have called the liquidity trap, would imply that the Federal Reserve could no longer lower short-term interest rates to counter any deflationary tendencies in the economy. In this paper, I use an affine term structure model to infer what interest rates tell us about the probabil...
Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
Jiang, G.J.; van der Sluis, P.J.
2000-01-01
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate the
Guoan Huang
2009-01-01
of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas. Numerical results and discussions are provided.
Jiang, George J.; Sluis, Pieter J. van der
1999-01-01
While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using th
2013-07-01
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2010-04-06
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2010-12-27
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2011-04-05
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2011-12-13
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2013-03-27
... From the Federal Register Online via the Government Publishing Office ] SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2013-10-22
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2011-07-01
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2012-12-28
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2012-07-03
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2012-04-04
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2010-06-30
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2012-09-27
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
2010-09-29
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This rate is a weighted average cost of money to...
European Option Pricing on Foreign Exchanges Under Stochastic Interest Rates%随机利率下的外汇欧式期权定价
吴永红; 李琼; 金勇
2011-01-01
Option pricing problems were discussed on European exchange under the case of stochastic interest rate, by using martingale methods. It obtains European option price analytical expression (call and put). Moreover, their evaluation relationship, and off setting was considered. Domestic and foreign interest rate movements were considered for exchange rate fluctuations impact and non-zero correlation between domestic and foreign interest rate volatility.%在随机利率情况下,利用鞅方法研究了外汇欧式期权的定价问题,得到了欧式期权(看涨和看跌)价格的解析表达式,及其评价关系.文中考虑了期权的对冲问题及本国和外国利率波动的非零相关性,本国和外国利率波动对汇率波动的影响.
Svenstrup, Mikkel
This Ph.D. thesis consists of four self-contained essays on valuation of interest rate derivatives. In particular derivatives related to management of interest rate risk care are considered.......This Ph.D. thesis consists of four self-contained essays on valuation of interest rate derivatives. In particular derivatives related to management of interest rate risk care are considered....
Understanding Interest Rate Volatility
Volker, Desi
This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...
Michael Coopersmith
2011-01-01
A relation between interest rates and inflation is presented using a two component economic model and a simple general principle. Preliminary results indicate a remarkable similarity to classical economic theories, in particular that of Wicksell.
Department of Housing and Urban Development — Interest rates to be paid on debentures issued with respect to a loan or mortgage insured by the Federal Housing Commissioner under the provisions of the National...
Merton随机利率模型下欧式期权的定价%Pricing of European Option under Merton Stochastic Interest Rate
孙颖
2012-01-01
在Merton利率模型下，用到了7个假设，这些假设都是为了使期权处于一个风险中性世界，从而可以建立一个无风险证券组合，并设定其收益率等于无风险利率；以连续时间情形为例，利用风险中性鞅测度，对B—S公式进行了改进，从而得出欧式股票期权的定价公式。%Under Merton interest rate model,seven suppositions are used,these suppositions aim to let option risk neutrality so that securities portfolio without risk can be set up and let its earnings rate equal to interest rate without risk.Taking consecutive time situation as an example,this paper uses neutral Martingale measurement to improve B-S formula so that the pricing formula for European stock option is obtained.
Stochastic interest rate model based on fractional option pricing%分数布朗运动下的看跌期权定价
李金秀
2014-01-01
要对金融产品进行透彻的研究和管理，就必须正确的确定金融衍生物的价格问题，其中，期权定价的研究正是金融领域的重要研究部分。通过研究由分数布朗运动驱动的金融市场，考虑标的资产价格服从几何分数布朗运动，在假定无风险利率和红利发放率非随机的情况之下，将服从普通布朗运动的经典B-S期权定价模型推广至服从分数布朗运动，从而得到欧式看跌期权的定价公式。%To make a thorough study on the financial product and management, we must correctly identify the financial derivatives prices. Among them, the investigation of option pricing is the financial domain important research part. In this paper, study was conducted by fractional Brownian motion-driven financial markets, consider the underlying asset price follows geometric fractional Brownian motion, assuming risk-free interest rate and the dividend distribution rate of non-random circumstances, be subordinated to the ordinary Brownian motion, a classic B-S option pricing model to promote to obey fractional Brownian motion, which received European put option pricing formula.
Interest Rate Risk and Calculation for Bond with Embedded Option%利率风险及隐含期权调整后的久期计算
唐恩林
2014-01-01
This paper expounds the meaning of the traditional Macaulay duration .Relaxing the assump-tion of the term structure of interest rate independent with cash flow ,the traditional Macaulay duration cannot effectively and accurately measure the value of financial instruments .At the same time ,based on the assumption of the term structure of interest rate independent with cash flow ,this paper gives the method of calculation for bond with embedded option .%从阐述传统麦考莱久期的含义开始，揭示了传统麦考莱久期在放松利率期限结构和现金流相互独立的假设下无法有效准确的衡量金融工具的现值。同时基于Redington模型对于利率期限结构独立于现金流的假设，给出了隐含期权条件下的久期计算方法。
76 FR 59767 - Interest Rates; Notice
2011-09-27
... From the Federal Register Online via the Government Publishing Office SMALL BUSINESS ADMINISTRATION Interest Rates; Notice AGENCY: Small Business Administration. The Small Business Administration publishes an interest rate called the optional ``peg'' rate (13 CFR 120.214) on a quarterly basis. This...
Management of interest rate risk
Šabović Šerif
2014-01-01
Full Text Available Interest rate risk is one of the biggest and most dangerous risks that a bank is exposed to. When a change of interest rates occurs, the incomes of a bank based on credits and securities endure significant changes. Banks resources also endure some changes. The change of interest rates changes the value of the assets and liabilities of the bank and it's net and investment worth . The change of interest rates also affects bank's balance sheet, income sheet statement and bank's share capital.
The Optimal Interest Rates and the Current Interest Rate System
Ioannis N. Kallianiotis
2014-12-01
Full Text Available The paper discusses the current target interest rate, which is closed to zero with the new experiment of quantitative easing since 2009 and has reduced the rate of return and the income and has made the real savings rate negative. This target rate has not reduced unemployment and has not improved growth (it is not optimal, but has increased the debt of individuals and the low taxes on businesses have magnified the budget deficits and the national debt. People were borrowing the present value of their uncertain future wealth and their high debt and low income raise the risk and this high risk premium heighten the interest rate on loans, especially on credit cards. The current monetary system needs to be changed and an interest rate floor on deposits (savings and an interest rate ceiling on individuals‟ loans (borrowings is necessary to improve social welfare, fairness, and justice in our society and not to support only disintermediation (financial markets. The middle class cannot work only to pay taxes and interest on its debt (redistribution of their wealth to government and banks or worse to be in chronic unemployment. Many home owners defaulted on their loans payments and their homes are foreclosed. They will end up without property (real assets. The unconcern towards the middle class will affect negatively the entire socio-economic structure of the nation and after losing its productive power, it will start declining, as history has shown to us with so many empires that do not exist anymore. We hope the leaders (the democratic governments to improve public policies, to regulate the financial market and institutions, and to satisfy their policy ultimate objective, which is citizens‟ perfection and the nation‟s highest point of prosperity.
Market-Oriented Interest Rates
2012-01-01
The People's Bank of China,the central bank,just took a major step in the market-oriented reform of interest rates,but it's difficult to say how far the govemment can go with the reform. The central bank cut deposit and lending interest rates by 0.25 percentage points and extended the floating range of the rates,in the hope of curbing the downward trend in economic growth.This is a strong signal to the market:The govemment is resolute in maintaining stable economic growth.
Speculation, Hedging, and Interest Rates
Buraschi, Andrea; Whelan, Paul
of Treasury bond markets that the singleagent paradigm finds difficult to reconcile. Empirically, we test predictions from themodel using a large dataset on beliefs about fundamentals and find that: (i) shocksto disagreement lower short term interest rates; (ii) raise the slope of the yield curve;and (iii...
Forecasting Interest Rates and Inflation
Chun, Albert Lee
the best overall for short horizon forecasts of short to medium term yields and inflation. Econometric models with shrinkage perform the best over longer horizons and maturities. Aggregating over a larger set of analysts improves inflation surveys while generally degrading interest rates surveys. We...
Speculation, Hedging, and Interest Rates
Buraschi, Andrea; Whelan, Paul
of Treasury bond markets that the singleagent paradigm finds difficult to reconcile. Empirically, we test predictions from themodel using a large dataset on beliefs about fundamentals and find that: (i) shocksto disagreement lower short term interest rates; (ii) raise the slope of the yield curve;and (iii...
朱利芝; 刘韶跃; 唐古生
2011-01-01
本文假定在不同借贷利率和无套利的基础上建立相应的偏微分方程及利用Feynman—Kac公式得到抵付型期权，资产或无偿买权和欧式双向期权的定价公式及其套期保值策略．%The paper is assumed that the lending interest rates and borrowing interest rates is different and the market is non - arbitrage ,we utilize Feynman - Kac formula and study Deductible Calls, Asset - or - Nothing and Bi - direction European option, optain pricing model and the corresponding hedging.
张素梅
2012-01-01
To describe the real volatility of stock returns, this paper provides a rational model through allowing for stochastic interest rate and stochastic volatility rate in the double exponential jump-diffusion model. Subsequently, a closed-form solution for European call option is derived under the proposed model. Furthermore, the effects of main parameters on option prices are analyzed using numerical simulation. Simulations show that the model is suitable for modeling real-market changes. Stock returns are negatively correlated with volatility and stochastic interest rate has a significant impact on long term option values.%为合理刻画股价实际变化趋势,在双指数跳扩散模型中通过允许利率随机和波动率随机建立了合理的市场模型;然后利用鞅方法推导了随机利率、随机波动率下双指数跳扩散模型的欧式期权定价的闭式解;最后通过数值模拟分析了模型的主要参数对期权定价的影响.数值结果显示:所提模型能够较好地刻画股价实际变化趋势,股票收益和波动率负相关,随机利率对短期到期期权影响几乎可以忽略,而对长期到期期权价格影响显著.
Interest Rate Pass‐Through in Mongolia
Doojav, Gan‐Ochir; Kalirajan, Kaliappa
2016-01-01
This study empirically examines the interest rate pass‐through of the money market interest rate to bank lending and bank deposit interest rates in Mongolia using both linear and nonlinear autoregressive distributed lag (ARDL) models...
Carlsen, G. Robert
1970-01-01
Discusses the developmental stages of students' reading interests and maintains that the teacher has to discuss the student's life and values "through the intermediary of literature" in order to encourage him to continue to read; paper presented at annual convention of National Council of Teachers of English (59th, Washington, D.C., November 28,…
付尔泰; 龙海明
2012-01-01
本文在结构化模型框架下,通过构建引入摩擦因素的浮动利率住房抵押贷款定价模型,对贷款的价值做了相关研究分析。模型对贷款中的各种隐含期权和借款人的异质性做了充分考虑,并采用蒙特卡罗模拟方法对其进行了数值分析。结果表明,贷款期初价值小于其账面价值,且摩擦因素条件的不同和借款人资质的差异对贷款价值有一定影响。对此银行可以通过合同签订时从贷款中扣除一定比例的费用来缓释风险,而不是在借款人执行期权时收取违约金。%With the framework of structural model,we make a related analysis and research on the value of loan by establishing a housing mortgage loan pricing model under floating interest rate with friction factors.With the model,we fully consider the implicit options and heterogeneity of borrowers,and make a numerical analysis on it by using Monte Carlo simulation.The result shows that the value of loans is less than its book value at the beginning,and the different friction factor conditions and different qualified borrowers has an effect on the value of loan.In view of this,the banks can ease the risks by deducting a percentage of cost when signing the contract,rather than charge penalty when the options is executed by the borrowers.
Realizations of interest rate models
Nieuwenhuis, J.W.
2000-01-01
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our starting point is not the Musiela equation but the forward rate dynamics. In our approach we do not need to talk about infinitesimal generators.
Realizations of interest rate models
Nieuwenhuis, J.W.
2000-01-01
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our starting point is not the Musiela equation but the forward rate dynamics. In our approach we do not need to talk about infinitesimal generators.
7 CFR 1980.423 - Interest rates.
2010-01-01
... guarantee except the normal fluctuations in approved variable interest rate loans. (b) Insured loans. (1... 7 Agriculture 14 2010-01-01 2009-01-01 true Interest rates. 1980.423 Section 1980.423 Agriculture... REGULATIONS (CONTINUED) GENERAL Business and Industrial Loan Program § 1980.423 Interest rates. (a)...
Discussing Problems of Chinese Interest Rate liberalization
李朝民; 陈金贤
2002-01-01
The level of Chinese interest rate liberalization is very low. The interest rate liberalization reform is an inevitable choice under the general trend of economic globalization in the world. Meanwhile, interest rate liberalization is indispensable for Chinese economic development and financial stabilization. The interest rate liberalization reform should follow a certain principles and satisfy a certain requirements, otherwise the financial order will be in a state of chaos and the negative influence on economy will appear. The interest rate liberalization reform needs a good economic environment and a series of relative reforms.
Interest rate derivatives in developing countries in Europe
Slobodan Cerovic
2011-11-01
Full Text Available Financial derivatives (interest rate futures, options and swaps are a very simple way to minimize interest rate risk and therefore are extremely popular. The value of interest rate derivatives transactions in the world is increasing dramatically. Unfortunately, this is not the case with developing countries in Europe. Although significantly increased in the last decade, interest rate derivatives markets in developing countries are still in nascent stage. In most developing countries still the main problem for the interest rate derivatives development is the lack of basic conditions, including inadequate measurement of interest rate risk exposure, underdevelopment of financial markets in general and especially of market instruments that underlying derivatives, weak and/or inadequate infrastructure and legal framework, misunderstanding and lack of experience in operations with financial derivatives and the complexity of the derivatives accounting.
Rising interest rates, bank loans, and deposits
Hesna Genay; Darrin Halcomb
2004-01-01
The authors show how the relationships between interest rate changes, deposit growth rates, and loan growth rates have changed in the last ten years, discuss some possible reasons, and assess the likely impact of rising interest rates on loans and deposits going forward.
Macroeconomic control of interest rate in China
姜鸣; 叶元煦; 何绍元
2002-01-01
The macroeconomic control of interest rate is studied using the elastic theory and correlation analysisand the concrete influence of interest rate on the consumption, savings and investment in China are investiga-ted. It is pointed out that although the interest rate mechanisms in China has gone through several adjustmentsand reforms, the results are not yet fully up to expectations. The interest rate does not adjust the national eco-nomic structure, and direct the trend of funds, nor regulate the general social supply and demand and balancethe price and currency in circulation, to achieve a rational distribution of social resources. The interest rate pol-icy of Central Bank does not have much actual influence on the economic departments, and this influence wascontinuously weakened in recent years. Countermeasures are suggested for improving the macro control of inter-est rate.
USING DEPOSIT INTEREST RATES IN SETTING LOAN INTEREST RATES: EVIDENCE FROM TURKEY
Önder Kaymaz; Özgür Kaymaz
2011-01-01
Bank credit margins are set by two dynamics: loan interest rates and deposit interest rates. The latter is the leading funding cost for the commercial banks. Sampling the period running from the last financial quarter of 2002 to the last financial quarter of 2009, we consider all the listed commercial banks operating in Turkey. We obtain strong evidence of one-way causality between loan interest rates and deposit interest rates. In setting their loan interest rates, banks use deposit interest...
RMB Interest Rates Will Continue to Rise
无
2005-01-01
Lehman Brothers say that the recent 0.27 percentage point rise in RMB interest rates is just for starters, and that China will continue to higher RMB interest rates, They forecast a rise up to 6 percent on a oneyear loan by the end of 2005. Liang Hong,chief economist at the Goldman Sachs investment bank, says that although the rise in RMB interest rates may be minimal,
阎素仙
2015-01-01
The federal reserve's benchmark interest rate is the whole interest rate system playing a leading role in interest rates, and is in the key position in the whole financial market and interest rate system, interest rates and decisive. In response to the financial crisis, the United States government adopted many unconventional monetary policies. But one of the most basic financial policy tools is the interest rates rise, make the economy quickly out of the crisis, and realize the growth. The benchmark interest rate system plays a vital role. Reference to the choice of benchmark interest rate and interest rate regulation has a very important role to improve the pricing power of China's financial institutions, deepen the market-oriented interest rate process, improve the benchmark interest rate system construction and guide the money market products pricing and improve the monetary policy transmission mechanism.%美联储基准利率是美国整个利率体系中起主导作用的利率，是在整个金融市场和利率体系中处于关键地位、起决定作用的利率。在金融危机的应对中，美国政府虽然采用了许多非传统的金融政策，但是金融政策中最基本的工具还是利率的升降，使美国经济较快摆脱了危机，实现增长。其中基准利率体系发挥着举足轻重的作用。借鉴美联储基准利率的选择和利率的调控，对于提高我国金融机构的定价能力，深化利率市场化进程、完善基准利率体系建设、指导货币市场产品定价以及完善货币政策传导机制等具有非常重要的作用。
Negative interest rates: why and how?
Kiselak, Jozef; Hermann, Philipp; Stehlik, Milan
2016-01-01
The interest rates (or nominal yields) can be negative, this is an unavoidable fact which has already been visible during the Great Depression (1929-39). Nowadays we can find negative rates easily by e.g. auditing. Several theoretical and practical ideas how to model and eventually overcome empirical negative rates can be suggested, however, they are far beyond a simple practical realization. In this paper we discuss the dynamical reasons why negative interest rates can happen in the second o...
Inflation targeting and interest rate policy
Verhagen, W.H.
2001-01-01
The thesis contains a collection of papers on issues in inflation targeting and its implications for the way interest rates are set. In this respect, the first part deals with two largely positive issues: the effect of inflation forecast targeting on the term structure of interest rates and the impl
Inflation targeting and interest rate policy
Verhagen, W.H.
2001-01-01
The thesis contains a collection of papers on issues in inflation targeting and its implications for the way interest rates are set. In this respect, the first part deals with two largely positive issues: the effect of inflation forecast targeting on the term structure of interest rates and the
Interest rates close to zero, post-crisis restructuring and natural interest rate
2011-01-01
Central banks seem not to account for the influence of interest rates close to zero on the natural interest rate after the bursting of the asset bubble which triggered financial crisis. We claim that this omission may have deleterious consequences. Should interest rates close to zero persistently decrease natural interest rates, that would mean fall in TFP growth and more limited central bank’s capacity to influence aggregate demand and price dynamics. We explain that interest rates close ...
Does slower growth imply lower interest rates?
2014-01-01
Over the past two years, both monetary and fiscal policy projections have been based on the view that declines in the long-run potential growth rate of the economy will in turn push down interest rates. In contrast, examination of private-sector professional forecasts and historical data provides little evidence of such a linkage. This suggests a greater risk that future interest rates may be higher than expected.
Forecasting interest rates with shifting endpoints
Van Dijk, Dick; Koopman, Siem Jan; Wel, Michel van der
2014-01-01
We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or ‘shifting endpoint’. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii......) long-range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out-of-sample predictive accuracy, relative...... to stationary and random walk benchmarks. Forecast improvements are largest for long-maturity interest rates and for long-horizon forecasts....
Interest Rate Liberalization, Financial Development and Economic ...
efforts at investigating the relationship between interest rate liberalisation and economic growth. ... information and imperfect competition mean that financial liberalisation can have a negative .... the Tobin's portfolio framework for household.
Interest Rate Transmission to Commercial Credit Rates in Austria
Burgstaller, Johann
2003-01-01
The transmission process from policy-controlled interest rates to bank lending rates deserves reconsideration owing to the implementation of the European Monetary Union (EMU) in 1999. Additional attention to the subject in Austria is due to several large banks which, in 2002, have been charged for not passing on interest rate decreases to their customers. I examine dynamic responses of commercial credit rates to changes in key policy rates and money market rates. Using Austrian data from 1995...
Financial intermediation and interest rate risk
Zagonov, Maxim
2011-01-01
This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. The importance of this topic is also reasserted by recent developments in the monetary environment. The thesis offers three major contributions to the area. First, it empirically investigates the ...
Solutions of two-factor models with variable interest rates
Li, Jinglu; Clemons, C. B.; Young, G. W.; Zhu, J.
2008-12-01
The focus of this work is on numerical solutions to two-factor option pricing partial differential equations with variable interest rates. Two interest rate models, the Vasicek model and the Cox-Ingersoll-Ross model (CIR), are considered. Emphasis is placed on the definition and implementation of boundary conditions for different portfolio models, and on appropriate truncation of the computational domain. An exact solution to the Vasicek model and an exact solution for the price of bonds convertible to stock at expiration under a stochastic interest rate are derived. The exact solutions are used to evaluate the accuracy of the numerical simulation schemes. For the numerical simulations the pricing solution is analyzed as the market completeness decreases from the ideal complete level to one with higher volatility of the interest rate and a slower mean-reverting environment. Simulations indicate that the CIR model yields more reasonable results than the Vasicek model in a less complete market.
38 CFR 36.4312 - Interest rates.
2010-07-01
... 38 Pensions, Bonuses, and Veterans' Relief 2 2010-07-01 2010-07-01 false Interest rates. 36.4312 Section 36.4312 Pensions, Bonuses, and Veterans' Relief DEPARTMENT OF VETERANS AFFAIRS (CONTINUED) LOAN... rate adjustments must occur on an annual basis, except that the first adjustment may occur no...
方意; 赵胜民
2012-01-01
基准利率的选择是我国利率市场化改革的重点。基于四种利率并结合“有向无环图”技术方法对我国金融市场基准利率选择进行的实证研究表明，在当前利率双轨制背景下，市场化利率还不能起到基准利率的作用，而以存款基准利率为代表的管制利率是我国金融市场的基准利率。对于市场化利率来说，Shibor比回购利率的基准利率属性更强。%The choice of the benchmark interest rate is the focus of China＇s market-oriented in- terest rate reform. Based on the four kinds of interest rates and combined with the technical method of the directed acyclic graph, this paper conducts an empirical study of the benchmark interest rate option in China＇s financial markets, The result indicates that in the present context of the dual-track interest rate system the market-oriented interest rates can not play the role of the benchmark interest rate yet, while the controlled interest rates represented by the benchmark rate of deposits is served as the benchmark interest rate in China＇s financial markets. As for the market-oriented interest rates, Shibor has a stronger property as the benchmark interest rate than the repo rate
On Recall Rate of Interest Point Detectors
Aanæs, Henrik; Dahl, Anders Lindbjerg; Pedersen, Kim Steenstrup
2010-01-01
in relation to the number of interest points, the recall rate as a function of camera position and light variation, and the sensitivity relative to model parameter change. The overall conclusion is that the Harris corner detector has a very high recall rate, but is sensitive to change in scale. The Hessian......In this paper we provide a method for evaluating interest point detectors independently of image descriptors. This is possible because we have compiled a unique data set enabling us to determine if common interest points are found. The data contains 60 scenes of a wide range of object types......, and for each scene we have 119 precisely located camera positions obtained from a camera mounted on an industrial robot arm. The scene surfaces have been scanned using structured light, providing precise 3D ground truth. We have investigated a number of the most popular interest point detectors. This is done...
VARIATION ANALYSIS ON NATIONAL STANDARD INTEREST RATE
Michel Ferreira Cardia Haddad
2012-06-01
Full Text Available This study’s main objective is to analyse an econometric model for forecasting purposes concerning the interest rate which is adopted as standard reference within the Brazilian economy, namely, the Actual-Selic rate, so as to verify the feasibility of performing short term predictions as to its variations. Thus the major variables that impact the Actual-Selic rate, such as price variations of agricultural and power commodities, national industrial production level, exchange rate and public sector net debt, are detailed. The modern macroeconomic approach describes the relevance of the Central Bank upon achievement of its goals so as to maintain the economic stability, amongst which lies the convergence of verified interest rates with the Selic rate target, as set forth by the Monetary Policy Committee (COPOM. Furthermore, this study poses to explain the relevance in forecasting, with a reasonable level of accuracy, the benchmark interest rate of Brazilian economy. The proposed model may be used to support decision making concerning investment strategies and as an additional tool for the monitoring of the achievement of macroeconomic policy objectives.
Forecasting Interest Rates with Shifting Endpoints
D.J.C. van Dijk (Dick); S.J. Koopman (Siem Jan); M. van der Wel (Michel); J.H. Wright (Jonathan)
2012-01-01
textabstractMany economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting e
Interest Rates, Inflation, and the National Debt.
Haseltine, Robert W.
1985-01-01
Government must act more fiscally responsible. The government must put the brakes on an economy it has allowed to run free, and citizens must be willing to support a government that will act tough in the domestic market in order to lower interest rates, reduce inflationary pressure, and increase employment. (Author/RM)
can Money Matter for Interest Rate Policy?
Brueckner, M.; Schabert, A.
2006-01-01
In this paper it is shown that money can matter for macroeconomic stability under interest rate policy when transactions frictions are non-negligible. We develop a sticky price model with a shopping time function, which induces the marginal utility of consumption to depend on the (predetermined)
Modelling Callable Annuity Bonds with Interest-Only Optionality
Holst, Anders; Nalholm, Morten
, is formulated. This is then used to investigate optimalstrategies of I-O bonds and impacts on prices from the I-O optionality. It is found thatthe I-O feature necessitates a simultaneous valuation of all elements of the callable I-Obond. Following this, the Greeks of the I-O bond are investigated. It is found...
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, L.A.; Oosterlee, C.W.
2010-01-01
We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main
High interest rate policy in Turkey and factors influencing interest rate spreads
Funda Yurdakul
2009-01-01
Full Text Available The main purpose of this paper is to examine what factors explain the difference between effective interest rates of Turkey and USA. The paper considers seven variables explaining interest rate spread such as general prices, Gross Domestic Product (GDP, exchange rate, credibility index, level of international reserves, foreign trade deficit, and budget deficit. Four distinct periods were selected to explore the influences of the above mentioned variables on on interest rate spreads in these different time periods. The period covering 1994.1-2006:12 was splitted into three sub-periods: the sub-period covering 1994:1-1998:12, crisis period covering 1999:1-2001:.12, and post-crisis period covering 2002:1-2006.12. Employing the data for Turkey and applying Engle and Granger two-step procedure, this paper concludes that the only variable reducing interest rate spreads in all periods is GDP. The other variables generally increase the interest rate spreads.Engle and Granger estimation procedure, unit-root test, interest rate spreads, interest rate.
High interest rate policy in Turkey and factors influencing interest rate spreads
Funda Yurdakul
2009-01-01
Full Text Available The main purpose of this paper is to examine what factors explain the difference between effective interest rates of Turkey and USA. The paper considers seven variables explaining interest rate spread such as general prices, Gross Domestic Product (GDP, exchange rate, credibility index, level of international reserves, foreign trade deficit, and budget deficit. Four distinct periods were selected to explore the influences of the above mentioned variables on on interest rate spreads in these different time periods. The period covering 1994.1-2006:12 was splitted into three sub-periods: the sub-period covering 1994:1-1998:12, crisis period covering 1999:1-2001:.12, and post-crisis period covering 2002:1-2006.12. Employing the data for Turkey and applying Engle and Granger two-step procedure, this paper concludes that the only variable reducing interest rate spreads in all periods is GDP. The other variables generally increase the interest rate spreads.Engle and Granger estimation procedure, unit-root test, interest rate spreads, interest rate.
On the theory of interest rate policy
Heinz-Peter Spahn
2001-12-01
Full Text Available A new consensus in the theory of monetary policy has been reached pointing to the pivotal role of interest rates that are set in accordance with central banks' reaction functions. The decisive criterion of assessing the Taylor rule, inflation and monetary targeting is not the macrotheoretic foundation of these concepts. They serve as "languages" coordinating heterogeneous beliefs among policy makers and private agents, and should also allow rule-based discretionary policies when markets are in need of leadership. Contrary to the ECB dogma, the Fed is right to have an eye on the risks of inflation and unemployment.
Heston, Steven L.; Nandi, Saikat
1999-01-01
This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options, yield curv...
Estimating the effects of Exchange and Interest Rates on Stock ...
Estimating the effects of Exchange and Interest Rates on Stock Market in ... The need to empirically determine the predictive power of exchange rate and ... Keywords: Exchange rate, interest rate, All-share index, multiple regression models
12 CFR 619.9130 - Differential interest rates.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Differential interest rates. 619.9130 Section 619.9130 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM DEFINITIONS § 619.9130 Differential interest rates. An interest rate program under which different rates of interest may be...
On recall rate of interest point detectors
Aanæs, Henrik; Lindbjerg Dahl, Anders; Pedersen, Kim Steenstrup
2010-01-01
In this paper we provide a method for evaluating interest point detectors independently of image descriptors. This is possible because we have compiled a unique data set enabling us to determine if common interest points are found. The data contains 60 scenes of a wide range of object types......, and for each scene we have 119 precisely located camera positions obtained from a camera mounted on an industrial robot arm. The scene surfaces have been scanned using structured light, providing precise 3D ground truth. We have investigated a number of the most popular interest point detectors where we...... systematically have varied camera position, light and model parameters. The overall conclusion is that the Harris and Hessian corner detectors perform well followed by MSER, whereas the FAST corner detector, IBR and EBR performs poorly. Furthermore, only the number of interest points change with changing...
On Recall Rate of Interest Point Detectors
Aanæs, Henrik; Lindbjerg Dahl, Anders; Pedersen, Kim Steenstrup
2010-01-01
, and for each scene we have 119 precisely located camera positions obtained from a camera mounted on an industrial robot arm. The scene surfaces have been scanned using structured light, providing precise 3D ground truth. We have investigated a number of the most popular interest point detectors where we...
7 CFR 4287.112 - Interest rate adjustments.
2010-01-01
... increases in interest rates will be permitted except the normal fluctuations in approved variable interest... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rate adjustments. 4287.112 Section 4287.112... Loans § 4287.112 Interest rate adjustments. (a) Reductions. The borrower, lender, and holder (if...
7 CFR 1714.7 - Interest rate cap.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Interest rate cap. 1714.7 Section 1714.7 Agriculture... PRE-LOAN POLICIES AND PROCEDURES FOR INSURED ELECTRIC LOANS General § 1714.7 Interest rate cap. Except... section, or both the rate disparity test for the interest rate cap and the consumer income test set forth...
12 CFR 906.5 - Monthly interest rate survey.
2010-01-01
... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Monthly interest rate survey. 906.5 Section 906... OPERATIONS OPERATIONS Monthly Interest Rate Survey (MIRS) § 906.5 Monthly interest rate survey. The Finance Board conducts its Monthly Survey of Rates and Terms on Conventional One-Family Non-farm Mortgage...
Rising Long-term Interest Rates
Hallett, Andrew Hughes
work, agree with that conclusion. Forecasts of long rates for the near future, and of short rates further out, both show a weak tendency to rise further. But they both remain small by historical standards. The recommendation for the ECB is therefore not to react by undertaking any major policy changes......: larger in some places, but offset by their absence elsewhere. That is a matter for domestic policy, not ECB policy (concerned as it is with average European outcomes, not with outcomes in a particular economy)....
Comparative Analysis of the Term Structure of Interest Rates
Agata Gemzik-Salwach
2010-01-01
.... The first section of this article describes theories of the term structure of interest rates, determinants of the relationship between the interest rate and the time to maturity, and mechanisms...
Interest Rate Pass-through in Sri Lanka
Amarasekara, Chandranath
2005-01-01
The Central Bank of Sri Lanka has increasingly been relying on interest rates as the instrument for conducting monetary policy. Changes to the key monetary policy variables, the Repo and the Reverse Repo rates, are initially expected to be reflected in the OMO rates and the call money market rates, before being passedthrough to commercial bank retail interest rates. It is important to obtain a good understanding of the speed and magnitude of the interest rate pass-through to make timely monet...
Measuring Interest Rates as Determined by Thrift and Productivity
Woon Gyu Choi
2007-01-01
This paper investigates the behavior of real and nominal interest rates by combining consumption- and production-based models into a single general equilibrium framework. Based on the theoretical nonlinear relationships that link interest rates to both the marginal rates of substitution and transformation in a monetary production economy, our study develops an estimation and simulation procedure to predict historical series of interest rates. We find that the model predictions of interest rat...
Interest rate pass-through in the Dominican Republic
Grigoli, Francesco; Mota, José M
2017-01-01
... rates, to eventually influence aggregate demand and inflation. This paper estimates the interest rate pass-through of the monetary policy rate to retail rates and explores asymmetries in the adjustment...
12 CFR 619.9340 - Variable interest rate.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Variable interest rate. 619.9340 Section 619.9340 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM DEFINITIONS § 619.9340 Variable interest rate. An interest rate on the outstanding loan balances, which may be changed from time to...
12 CFR 619.9170 - Fixed interest rate.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Fixed interest rate. 619.9170 Section 619.9170 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM DEFINITIONS § 619.9170 Fixed interest rate. The rate of interest specified in the note or loan document which will prevail as the...
On interest-rate risk management of postal savings bureau
DU Chong-dong; LI Su-man
2007-01-01
This article analyzes interest-rate risks faced by the postal savings bureau (PSB) based on the complete balance sheet.It presents the extended gap model and the extended duration gap model to measure the interest-rate risk, and discusses the inner balance-sheet strategies and the off-balance-sheet strategies to manage the interest-rate risks.
Negative nominal interest rates: History and current proposals
Ilgmann, Cordelius; Menner, Martin
2011-01-01
Given the renewed interest in negative interest rates as a means for overcoming the zero bound on nominal interest rates, this article reviews the history of negative nominal interest rates and gives a brief survey over the current proposals that received popular attention in the wake of the financial crisis of 2007/08. It is demonstrated that taxing money proposals have a long intellectual history and that instead of being the conjecture of a monetary crank, they are a serious policy proposa...
2002-01-01
In this paper we investigate the effect of changes in open market interest rates on the interest rate spread of Malaysian commercial banks. This is performed by examining the causality and patterns of reactions of banking rates with respect to variation in open market rates. Based on vector autoregression analysis we show that there is one-way causation running from the open market rates to banking rates. Changes in open market rates significantly cause changes in the spread and deposit rates...
ON THE RELATIONSHIP BETWEEN DUTCH AND GERMAN INTEREST-RATES
DEHAAN, J; PILAT, DJ; ZELHORST, D
1991-01-01
In this paper the relationship between Dutch and German short-term and long-term interest rates is examined. Using cointegration techniques, it is found that the covered interest parity hypothesis holds for short-term interest rates. This evidence supports the recent shift of emphasis of Dutch
20 CFR 606.30 - Interest rates on advances.
2010-04-01
... 20 Employees' Benefits 3 2010-04-01 2010-04-01 false Interest rates on advances. 606.30 Section... UNDER THE FEDERAL UNEMPLOYMENT TAX ACT; ADVANCES UNDER TITLE XII OF THE SOCIAL SECURITY ACT Interest on Advances § 606.30 Interest rates on advances. Advances made to States pursuant to title XII of the Social...
Deterministic Elements of Japanese Stock Prices under Low Interest Rates
Yutaka Kurihara
2016-05-01
Full Text Available This paper uses daily data to perform an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the zero or low interest policy in Japan. The empirical results indicate that short-term interest rates have not impacted Japanese stock prices. On the other hand, long-term interest rates, exchange rates, and foreign stock prices have been significant determinants of Japanese stock prices. This seems counter to traditional economic theory, but interest rates were quite low and other variables, such as exchange rates and other stock prices, play important roles in determining Japanese stock prices.
Model analysis of the link between interest rates and crashes
Broga, Kristijonas M.; Viegas, Eduardo; Jensen, Henrik Jeldtoft
2016-09-01
We analyse the effect of distinct levels of interest rates on the stability of the financial network under our modelling framework. We demonstrate that banking failures are likely to emerge early on under sustained high interest rates, and at much later stage-with higher probability-under a sustained low interest rate scenario. Moreover, we demonstrate that those bank failures are of a different nature: high interest rates tend to result in significantly more bankruptcies associated to credit losses whereas lack of liquidity tends to be the primary cause of failures under lower rates.
DETERMINANTS OF INTEREST RATE SPREAD IN BANKING INDUSTRY
Arezoo GHASEMI
2016-02-01
Full Text Available This study is done to consider affecting factors on spread rate and define a suitable model of spread rate in banking industry. Spread rate is a difference between two related interest rates. In banking industry, spread rate is the difference between debts rate (especially for deposit and assets rate (Especially for loan. Interest rate spread has always been one of the most important and significant economic issues in different countries of the world. In this study, affecting factors on spread rate are considering in an Iranian bank during the last 19 month. Some variables such as NPL ratio, ratio of demand deposits on deposits, non interest income, and interest assets to assets, capital adequacy ratio, ROA ratio and inflation and exchange rate are analyzed on spread rate and a model is defined for bank according to prior studies and economical issues of Iran.
Interest Rate Pass-Through: The Case of Indonesia
Chandra Utama
2017-07-01
Full Text Available This paper examines the direct and indirect interest rate pass-trough (IRPT from policy interest rate (BI rate to banks’ retail interest rates in Indonesia during a full-fledged inflation-targeting regime. We use montly data of policy interest rate (BI rate as well as interest rates for interbank money market (interbank, deposit, and loan during July 2005 to May 2015. We employ Error Correction Mechanism (ECM and Ordinary Least Square (OLS to find the significant of IRPT and the speed of adjustment process of IRPT. The study suggests the existence of direct and indirect IRPT in Indonesia. The change of policy rate is transmitted quicker in the direct channel compared to the indirect channel. However, indirect channel is more stable than the direct channel. We conclude that the direct and indirect IRPT are complementary.
Interest rates and structural shocks in European transition economies
Rajmund Mirdala
2014-12-01
Full Text Available European transition economies are still suffering from negative implications of economic crisis. Significant decrease in the key interest rates was followed by reduced maneuverability of central banks in providing incentives into real economies. Responsiveness of short-term interest rates to the structural shocks provides unique platform to investigate sources of their unexpected volatility and associated effects on monetary policy decision making. Moreover, sources of interest rates volatility may help to reveal side effects of the exchange rate regime choice. In the paper we analyze sources of the short-term nominal interest rates volatility in ten European transition economies by employing SVAR methodology. We observed unique patterns of the short-term interest rates responsiveness in countries with different exchange rate arrangements that contributes to the fixed versus flexible exchange rate dilemma.
Some Problems in the Explanation of Interest Rates
J. Tinbergen (Jan)
1947-01-01
textabstractThe article discusses the problems in the explanation of interest rates. Econometric analysis has to start from a theoretical scheme of the subject, its object indicates the determinants or data of the rates of interest and the functional relationship between these rates and their
Some Problems in the Explanation of Interest Rates
J. Tinbergen (Jan)
1947-01-01
textabstractThe article discusses the problems in the explanation of interest rates. Econometric analysis has to start from a theoretical scheme of the subject, its object indicates the determinants or data of the rates of interest and the functional relationship between these rates and their determ
Sources of Variation in International Real Interest Rates
Gregory, Allan W.; Watt, David G.
1995-01-01
This paper analyses the effects of inflation on ex-post real interest rates in an international framework. A dynamic factor model is estimated in which real interest rates are influenced by real interest and inflation factors that are common to all the countries, and by country- specific factors. We find that the source of domestic inflation is an important determinant of the effect of inflation on real interest rates. A common inflation factor has a negative effect on ex-post real interest r...
Modeling the Dynamics of Chinese Spot Interest Rates
Yongmiao Hong; Hai Lin; Shouyang Wang
2013-01-01
Understanding the dynamics of spot interest rates is important for derivatives pricing, risk management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-day repo rates from July 22, 1996 to August 26, 2004, we estimate and test a variety of popular spot rate models, including single factor diffusion, GARCH, Markov regime switching and jump diffusion models, to examine how well they can capture the dynamics of the Chinese spot rates and whether the d...
Interest rates and coupon bonds in quantum finance
Baaquie, Belal E
2009-01-01
The economic crisis of 2008 has shown that the capital markets need new theoretical and mathematical concepts to describe and price financial instruments. Focusing almost exclusively on interest rates and coupon bonds, this book does not employ stochastic calculus - the bedrock of the present day mathematical finance - for any of the derivations. Instead, it analyzes interest rates and coupon bonds using quantum finance. The Heath-Jarrow-Morton and the Libor Market Model are generalized by realizing the forward and Libor interest rates as an imperfectly correlated quantum field. Theoretical models have been calibrated and tested using bond and interest rates market data. Building on the principles formulated in the author's previous book (Quantum Finance, Cambridge University Press, 2004) this ground-breaking book brings together a diverse collection of theoretical and mathematical interest rate models. It will interest physicists and mathematicians researching in finance, and professionals working in the fin...
INTEREST RATES AND CURRENCIES EFFECTS ON ISLAMIC AND CONVENTIONAL BONDS
Ghazali Syamni
2011-09-01
Full Text Available Bond markets have not been well developed in emerging countries. Realizing its important role, especially after the 1997 crises and the islamic economics development, emerging countries have started to develop such markets. This research examines the effect of interest rates and currencies on Islamic and conventional bonds in Bursa Malaysia. The analysis on Islamic bonds shows that interest rates and currencies do not influence Islamic bonds, which supports the prohibition of interest in Islam. The analysis on conventional bonds finds evidence that both interest rates and currencies affect conventional bond. It also finds evidence of a negative association between interest rates and a conventional bond. Keywords: Interest rate, currency, conventional bond, Islamic bond JEL classification numbers: G11, G12, G15
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, A.; Lord, R.; Pelsser, A.; Schrager, D.
2009-01-01
We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of Sc
76 FR 23646 - Financial Management Policies-Interest Rate Risk
2011-04-27
... Office of Thrift Supervision Financial Management Policies--Interest Rate Risk AGENCY: Office of Thrift... following information collection. Title of Proposal: Financial Management Policies--Interest Rate Risk. OMB... collection request (ICR) described below has been submitted to the Office of Management and Budget (OMB) for...
76 FR 9870 - Financial Management Policies-Interest Rate Risk
2011-02-22
... Office of Thrift Supervision Financial Management Policies--Interest Rate Risk AGENCY: Office of Thrift... of Proposal: Financial Management Policies--Interest Rate Risk OMB Number: 1550-0094 Form Number: N/A... below to the Office of Management and Budget (OMB) for review, as required by the Paperwork Reduction...
Estimated Interest Rate Rules: Do they Determine Determinacy Properties?
Jensen, Henrik
2011-01-01
I demonstrate that econometric estimations of nominal interest rate rules may tell little, if anything, about an economy's determinacy properties. In particular, correct inference about the interest-rate response to inflation provides no information about determinacy. Instead, it could reveal...
Study on interest rate restrictions (IRR): Belgian national report
Vannerom, J.; Terryn, E.
2010-01-01
DG Internal Market and Services of the European Commission have commissioned us to conduct a study on interest rate restrictions in consumer credit covering unsecured and secured credit (i.e. including mortgage credit). This project aims to identify the different types of interest rate restrictions
12 CFR 615.5135 - Management of interest rate risk.
2010-01-01
... agricultural credit bank shall develop and implement an interest rate risk management program as set forth in... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Management of interest rate risk. 615.5135 Section 615.5135 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM FUNDING AND...
The effect of ECB communication on interest rates : An assessment
de Haan, J.
2008-01-01
This paper reviews the literature on the communication policy of the European Central Bank (ECB) addressing two questions. First, to what extent has ECB communication affected interest rates? Second, to what extent has ECB communication affected the predictability of the ECB's interest rate
Interest Rate Risk Management using Duration Gap Methodology
Dan Armeanu
2008-01-01
should be measured and managed within an asset-liability management. Then the articles takes a short look at methods for measuring interest rate risk and after that explains and demonstrates how can be used Duration Gap Model for managing interest rate risk in banks.
The Term Structure of Interest Rates and Inflation Forecast Targeting
Eijffinger, S.C.W.; Schaling, E.; Verhagen, W.H.
1998-01-01
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short term interest rates to ultimate policy objectives. Therefore, short term interest rates in the centra
The Term Structure of Interest Rates and Inflation Forecast Targeting
Eijffinger, S.C.W.; Schaling, E.; Verhagen, W.H.
1998-01-01
This paper examines the implications of the expectations theory of the term structure for the implementation of inflation targeting. We show that the term structure weakens the transmission of short term interest rates to ultimate policy objectives. Therefore, short term interest rates in the
Mechanism and accounting treatment of interest rate swap
Prošić Danica
2015-01-01
Full Text Available Interest rate swap is a derivative which is today routinely used in the financial sector worldwide. As opposed to that, the swap market in Serbia is reduced to basic versions of interest rate swaps only, and is limited to the major users and providers of services in the financial market. Banks in Serbia have been introducing and promoting interest rate swaps as one of their services rather slowly, which can be deduced from various information on interest rate swaps and non-innovative offers of these instruments. On the other hand, companies are unable to recognize interest rate swaps as instruments of hedge against the negative effects of interest rate fluctuations, and a way to gain competitive edge in relation to other market participants. One of the obstacles for using interest rate swaps is unwillingness of companies to get informed and educated, and to enter new transactions. The volume of conducted swap transactions depends on the level of understanding on the part of their participants. Expansion of knowledge helps bridge the gap between theory and practice, thereby encouraging a more intensive implementation of interest rate swaps in the future.
The effect of ECB communication on interest rates : An assessment
de Haan, J.
2008-01-01
This paper reviews the literature on the communication policy of the European Central Bank (ECB) addressing two questions. First, to what extent has ECB communication affected interest rates? Second, to what extent has ECB communication affected the predictability of the ECB's interest rate decision
Interest Rate Risk Management using Duration Gap Methodology
Dan Armeanu
2008-01-01
Full Text Available The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns. Interest rate volatility has increased dramatically over the past twenty-five years and for that an efficient management of this interest rate risk is strong required. In the last years banks developed a variety of methods for measuring and managing interest rate risk. From these the most frequently used in real banking life and recommended by Basel Committee are based on: Reprising Model or Funding Gap Model, Maturity Gap Model, Duration Gap Model, Static and Dynamic Simulation. The purpose of this article is to give a good understanding of duration gap model used for managing interest rate risk. The article starts with a overview of interest rate risk and explain how this type of risk should be measured and managed within an asset-liability management. Then the articles takes a short look at methods for measuring interest rate risk and after that explains and demonstrates how can be used Duration Gap Model for managing interest rate risk in banks.The world for financial institutions has changed during the last 20 years, and become riskier and more competitive-driven. After the deregulation of the financial market, banks had to take on extensive risk in order to earn sufficient returns. Interest rate volatility has increased dramatically over the past twenty-five years and for that an efficient management of this interest rate risk is strong required. In the last years banks developed a variety of methods for measuring and managing interest rate risk. From these the most frequently used in real banking life and recommended by Basel Committee are based on: Reprising Model or Funding Gap Model, Maturity Gap Model, Duration Gap Model, Static and Dynamic Simulation. The purpose of this article is to give a
Interest Rate Risk Management and the Use of Derivative Securities
Ioana-Diana PĂUN
2013-12-01
Full Text Available This study aims to demonstrate the utility of derivative financial instruments for the management of interest rate risk that is faced by banks and financial institutions, and to provide an efficient flow of monitoring and control thereof. Banking institutions can now use a combination of balance sheet and off balance sheet measures, i.e. gap method, of interest rate risk management, in order to control exposure of short-term rates and derivatives to control the residual interest rate exposures. The result of the study shows that banks can achieve better diversification and risk management using derivatives.
The Effects of Interest Rates on Mortgage Prepayments
Shoven, John; Green, Jerry
1986-01-01
Three main types of mortgages are fixed interest contracts which automatically fall due on the sale of a dwelling, fixed rate loans which are assumable by a buyer, and floating rate instruments. When interest rates rise, the fall in the economic value of these assets in savings and loan associations' portfolios varies from one form of mortgage to another. For either of the fixed interest rate contracts, the cash flow from the mortgage is constant as long as it has not been prepaid. If the int...
Are high real interest rates bad for world economic growth?
1991-01-01
There is a conventional perception that high real interest rates are bad for economic growth. However, the authors show that close examination of the experience over the last 40 years undermines the existence of such a relationship. For much of the 1950-79 period, expost real interest rates were less than the growth rate of income in the major economies, whereas the 1980s were a period of rapid growth in the world economy that coincided withunprecedentedly high real interest rates. The author...
Faff, R.; Kremmer, M.; Hodgson, A.
2004-01-01
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the
Faff, R.; Kremmer, M.; Hodgson, A.
2004-01-01
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the financ
Interest rates in quantum finance: the Wilson expansion and Hamiltonian.
Baaquie, Belal E
2009-10-01
Interest rate instruments form a major component of the capital markets. The Libor market model (LMM) is the finance industry standard interest rate model for both Libor and Euribor, which are the most important interest rates. The quantum finance formulation of the Libor market model is given in this paper and leads to a key generalization: all the Libors, for different future times, are imperfectly correlated. A key difference between a forward interest rate model and the LMM lies in the fact that the LMM is calibrated directly from the observed market interest rates. The short distance Wilson expansion [Phys. Rev. 179, 1499 (1969)] of a Gaussian quantum field is shown to provide the generalization of Ito calculus; in particular, the Wilson expansion of the Gaussian quantum field A(t,x) driving the Libors yields a derivation of the Libor drift term that incorporates imperfect correlations of the different Libors. The logarithm of Libor phi(t,x) is defined and provides an efficient and compact representation of the quantum field theory of the Libor market model. The Lagrangian and Feynman path integrals of the Libor market model of interest rates are obtained, as well as a derivation given by its Hamiltonian. The Hamiltonian formulation of the martingale condition provides an exact solution for the nonlinear drift of the Libor market model. The quantum finance formulation of the LMM is shown to reduce to the industry standard Bruce-Gatarek-Musiela-Jamshidian model when the forward interest rates are taken to be exactly correlated.
2010-01-01
... following fees connected with credit extension or availability: numerical periodic rates, late fees... fees to its intrastate customers. The national bank may also charge late fees to its interstate customers because the fees are interest under the Federal definition of interest and an allowable charge...
The role of interest rates in the Brazilian business cycles
Nelson F. Souza-Sobrinho
2011-09-01
Full Text Available This paper offers additional insights on the relationship between interest rates and business cycles in Brazil. First, I document that Brazilian interest rates are very volatile, counter-cyclical and positively correlated with net exports, as observed in other emerging market economies. Next, I present a dynamic stochastic general equilibrium model in which firms face working capital constraints and labor supply is independent of consumption. This parsimonious model, appropriately calibrated to the Brazilian economy, predicts that interest rate shocks can explain about one third of output fluctuations and delivers business cycle regularities consistent with the Brazilian data.
Long-range dependence in interest rates and monetary policy
Cajueiro, Daniel O.; Tabak, Benjamin M.
2008-01-01
This Letter studies the dynamics of Brazilian interest rates for short-term maturities. The Letter employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range dependence has changed over time due to changes in monetary policy, specially in the short-end of the term structure of interest rates. Therefore, we show that it is possible to identify monetary arrangements using these techniques from econophysics.
Long-range dependence in Interest Rates and Monetary Policy
Cajueiro, D O; Cajueiro, Daniel O.; Tabak, Benjamin M.
2006-01-01
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range dependence has changed over time due to changes in monetary policy, specially in the short-end of the term structure of interest rates. Therefore, we show that it is possible to identify monetary arrangements using these techniques from econophysics.
How Informative Are Interest Rate Survey-based Forecasts?
Mateus A. Feitosa
2008-10-01
Full Text Available This paper studies the information content of survey-based predictions for the Brazilian short-term interest rate. We perform vector autoregression analysis to test for the dynamic relationship between market expectations of interest rates and spot interest rates, and a single regression forecasting approach. Empirical results suggest that surveys may be useful in assessing market expectations (contain relevant information and in building Central Bank credibility. Within an inflation targeting framework they are crucial in order to receive timely feedback on market sentiment regarding the conduct of monetary policy.
A zero-sum monetary system, interest rates, and implications
Hanley, Brian P
2015-01-01
To the knowledge of the author, this is the first time it has been shown that interest rates that are extremely high by modern standards are necessary within a zero-sum monetary system. Extreme interest rates persisted for long periods of time in many places. Prior to the invention of banking, most money was hard-money in the form of some type of coin. Here a model is presented that examines the interest rate required to succeed as an investor in a zero-sum hard-money system. Even when the pl...
Has durable goods spending become less sensitive to interest rates?
Van Zandweghe, Willem; Braxton, John Carter
2013-01-01
... on this category of spending has weakened in the current recovery. Durable goods purchases, which include residential investment as well as spending on vehicles, recre- ational goods, and household goods, are a particularly interest-sensitive component of consumer spending. In the first four years of previous recoveries, a decline in interest rate...
Interest rate and commercial banks' lending operations in Nigeria: A ...
Interest rate and commercial banks' lending operations in Nigeria: A structural break analysis using chow test. ... Open Access DOWNLOAD FULL TEXT ... enhance commercial bank operations resulting in a more competitive financial market ...
Interest Rate Risk Management and the Use of Derivative Securities
Ioana-Diana PĂUN; Ramona GOGONCEA
2013-01-01
This study aims to demonstrate the utility of derivative financial instruments for the management of interest rate risk that is faced by banks and financial institutions, and to provide an efficient...
Determinants of Commercial Banks' Interest Rate Spread in Namibia ...
bank, commercial banks, development financial institutions and the non-banking sector which consists of .... its interest rate spread in order to shield itself against the risk. This suggests that the ..... PSG Wealth Management (Namibia). (2013).
Econophysics of interest rates and the role of monetary policy
Cajueiro, D O; Cajueiro, Daniel O.; Tabak, Benjamin M.
2006-01-01
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramatically according to Chairman Tenure in the Federal Reserve Board and also with changes in the conduct of monetary policy. In the period from 1960's until the monetarist experiment in the beginning of the 1980's interest rates had a significant long-range dependence behavior. However, in the recent period, in the second part of the Volcker tenure and in the Greenspan tenure, interest rates do not present long-range dependence behavior. These empirical findings cast some light on the origins of long-range dependence behavior in financial assets.
Determinants of Commercial banks' interest rate spreads in Botswana
The profit they ... detrimental to financial development and economic growth as credit would not be flowing to ... sectors thus letting interest rates to be market determined. ..... positive relationship was expected as taxes increase costs for banks.
Stock Market Capitalisation and Interest Rate in Nigeria: A Time ...
Stock Market Capitalisation and Interest Rate in Nigeria: A Time Series Analysis. ... PROMOTING ACCESS TO AFRICAN RESEARCH ... Obviously for the Nigerian capital market to enhance economic growth and development and compare ...
The Effect of the Current Account Balance on Interest Rates
1997-01-01
The international capital market is the marginal provider of capital to the Canadian economy, and the current account balance is the measure of demand pressure from Canadian borrowing in that market. If the foreign supply of capital to Canada is less than perfectly elastic, Canadian interest rates will have to rise as Canadian borrowing increases. Past attempts to test empirically for the effect of Canadian fiscal policy on interest rates have generally been unsuccessful, because the link bet...
Real Interest Rates and Central Bank Operating Procedures
Matthew B. Canzoneri; Dellas, Harris
1995-01-01
In the years following the influential article of Poole (1970), many central banks reoriented their operating procedures to focus more on interest rates and less on monetary aggregates. The rapid restructuring of global financial markets was thought to have led to instability in standard monetary relationships, and Poole's basic insight suggested that a central bank would have better control of the price level if it targeted nominal interest rates instead of monetary aggregates. At the same t...
Fluctuations of Real Interest Rates and Business Cycles
Yongli Zhang
2010-01-01
This paper investigates whether the occurrences of business cycles have caused the fluctuations of real interest rates in the US. Based on a standard consumption-based asset pricing model, the model incorporates a new feature that investors have to learn about the unobservable alternations between expansions and recessions. The model captures the qualitative property that real interest rates increase with expected future consumption growth. The simulation technique of the Gibbs Sampling is us...
What Drives the European Central Bank's Interest-Rate Changes?
Jensen, Henrik; Aastrup, Morten
We show that the ECB's interest rate changes during 1999-2010 have been mainly driven by changes in economic activity in the Euro area. Changes in actual or expected future HICP inflation play a minor, if any, role.......We show that the ECB's interest rate changes during 1999-2010 have been mainly driven by changes in economic activity in the Euro area. Changes in actual or expected future HICP inflation play a minor, if any, role....
Application of Kalman Filter on modelling interest rates
Long H. Vo
2014-03-01
Full Text Available This study aims to test the feasibility of using a data set of 90-day bank bill forward rates from the Australian market to predict spot interest rates. To achieve this goal I utilized the application of Kalman Filter in a state space model with time-varying state variable. It is documented that in the case of short-term interest rates,the state space model yields robust predictive power. In addition, this predictive power of implied forward rate is heavily impacted by the existence of a time-varying risk premium in the term structure.
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Munk, Claus; Rubtsov, Alexey Vladimirovich
We solve a stock-bond-cash portfolio choice problem for a risk- and ambiguity-averse investor in a setting where the inflation rate and interest rates are stochastic. The expected inflation rate is unobservable, but the investor may learn about it from realized inflation and observed stock and bond......-Jacobi-Bellman equation in closed form and derive and illustrate a number of interesting properties of the solution. For example, ambiguity aversion affects the optimal portfolio through the correlation of price level with the stock index, a bond, and the expected inflation rate. Furthermore, unlike other settings...
Fertility waves, aggregate savings and the rate of interest.
Blomquist, N S; Wijkander, H
1994-02-01
"During the last fifty years there have in many countries been large movements in the growth of labor productivity, real wage rates, the rate of interest, and the household savings ratio. In this paper we use an overlapping generations model to study if demographic shocks, like the baby boom, can generate the kind of movements observed. Simulations show this is indeed the case. We also study the interactions between a pay-as-you-go pension system and demographic disturbances.... We present some stylized facts of the historical development in Sweden for the rate of interest, the aggregate household saving ratio, growth of labor productivity and the birth rate."
Consistency problems for Heath-Jarrow-Morton interest rate models
Filipović, Damir
2001-01-01
The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, ge...
77 FR 5155 - Interest Rate Risk Policy and Program
2012-02-02
... on asset/liability management and IRR management in Letters to Credit Unions.\\3\\ NCUA believes... importance for FICUs to have strong policies and programs explicitly addressing the credit union's management... Concentrations and Interest Rate Risk Management for Credit Unions with Large Positions in Fixed-Rate...
Individuals and Environments: Linking Ability and Skill Ratings with Interests
Anthoney, Sarah Fetter; Armstrong, Patrick Ian
2010-01-01
Holland's (1997) theory of corresponding person and work environment structures was evaluated by comparing the integration of individual and occupational ratings of interests, abilities, and skills. Occupational ratings were obtained from the U.S. Department of Labor's O*NET database (U.S. Department of Labor, 2007). College students (494 women,…
Individuals and Environments: Linking Ability and Skill Ratings with Interests
Anthoney, Sarah Fetter; Armstrong, Patrick Ian
2010-01-01
Holland's (1997) theory of corresponding person and work environment structures was evaluated by comparing the integration of individual and occupational ratings of interests, abilities, and skills. Occupational ratings were obtained from the U.S. Department of Labor's O*NET database (U.S. Department of Labor, 2007). College students (494 women,…
Prediction of interest rate using CKLS model with stochastic parameters
Ying, Khor Chia [Faculty of Computing and Informatics, Multimedia University, Jalan Multimedia, 63100 Cyberjaya, Selangor (Malaysia); Hin, Pooi Ah [Sunway University Business School, No. 5, Jalan Universiti, Bandar Sunway, 47500 Subang Jaya, Selangor (Malaysia)
2014-06-19
The Chan, Karolyi, Longstaff and Sanders (CKLS) model is a popular one-factor model for describing the spot interest rates. In this paper, the four parameters in the CKLS model are regarded as stochastic. The parameter vector φ{sup (j)} of four parameters at the (J+n)-th time point is estimated by the j-th window which is defined as the set consisting of the observed interest rates at the j′-th time point where j≤j′≤j+n. To model the variation of φ{sup (j)}, we assume that φ{sup (j)} depends on φ{sup (j−m)}, φ{sup (j−m+1)},…, φ{sup (j−1)} and the interest rate r{sub j+n} at the (j+n)-th time point via a four-dimensional conditional distribution which is derived from a [4(m+1)+1]-dimensional power-normal distribution. Treating the (j+n)-th time point as the present time point, we find a prediction interval for the future value r{sub j+n+1} of the interest rate at the next time point when the value r{sub j+n} of the interest rate is given. From the above four-dimensional conditional distribution, we also find a prediction interval for the future interest rate r{sub j+n+d} at the next d-th (d≥2) time point. The prediction intervals based on the CKLS model with stochastic parameters are found to have better ability of covering the observed future interest rates when compared with those based on the model with fixed parameters.
The Term Structure of Interest Rates and Future Inflation
Viktor Kotlán
2000-01-01
Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations is the term structure of interest rates. This paper presents the methodology and empirical results for the Czech Republic of using the term structure of interest for deriving future inflation expectations.
Competitive Analysis for Online Leasing Problem with Compound Interest Rate
Xingyu Yang
2011-01-01
Full Text Available We introduce the compound interest rate into the continuous version of the online leasing problem and discuss the generalized model by competitive analysis. On the one hand, the optimal deterministic strategy and its competitive ratio are obtained; on the other hand, a nearly optimal randomized strategy is constructed and a lower bound for the randomized competitive ratios is proved by Yao's principle. With the help of numerical examples, the theoretical results show that the interest rate puts off the purchase date and diminishes the uncertainty involved in the decision making.
Term Structure of Interest Rates Based on Artificial Neural Network
无
2007-01-01
In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model,which are more precise and closer to the real market situation.
Tying loan interest rates to borrowers' CDS spreads
Ivanov, Ivan T.; Santos, Joao A. C.; Vo, Thu
2014-01-01
We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected borrowing costs. We find that CDS-based loans are associated with lower interest rates, both at origination and during the life of the loan. Our results also indicate that banks simplify the covenant structure of market-based pricing loans, suggesting that the decline in the cost of bank debt is explained, at least in part, by a reduction in monitoring c...
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Munk, Claus; Rubtsov, Alexey Vladimirovich
-Jacobi-Bellman equation in closed form and derive and illustrate a number of interesting properties of the solution. For example, ambiguity aversion affects the optimal portfolio through the correlation of price level with the stock index, a bond, and the expected inflation rate. Furthermore, unlike other settings...... with model ambiguity, the optimal portfolio weights are not always decreasing in the degree of ambiguity aversion.......We solve a stock-bond-cash portfolio choice problem for a risk- and ambiguity-averse investor in a setting where the inflation rate and interest rates are stochastic. The expected inflation rate is unobservable, but the investor may learn about it from realized inflation and observed stock and bond...
DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY?
Ozcan Karahan
2012-01-01
Full Text Available Most of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP. After intensive financial liberalization processes and mostly preferred free exchange rate regimes, a new area of research starts to involve the investigation whether UIP holds for developing economies differently. Accordingly, we tested the UIP for Turkey’s monthly interest rate and exchange rate data between 2002 and 2011. We run conventional regressions in the form of Ordinary Least Squares (OLS and used a simple Generalized Autoregressive Conditional Heteroskedasticity (GARCH analysis. The empirical results of both methods do not support the validity of UIP for Turkey. Thus, together with most of the earlier empirical studies focusing on developed countries and detecting the invalidity of UIP, we can argue that the experience of Turkey and developed economies are not different.
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Munk, Claus; Rubtsov, Alexey Vladimirovich
We solve a stock-bond-cash portfolio choice problem for a risk- and ambiguity-averse investor in a setting where the inflation rate and interest rates are stochastic. The expected inflation rate is unobservable, but the investor may learn about it from realized inflation and observed stock and bond......-Jacobi-Bellman equation in closed form and derive and illustrate a number of interesting properties of the solution. For example, ambiguity aversion affects the optimal portfolio through the correlation of price level with the stock index, a bond, and the expected inflation rate. Furthermore, unlike other settings...... with model ambiguity, the optimal portfolio weights are not always decreasing in the degree of ambiguity aversion....
Persistence in us interest rates: Is it stable over time?
Caporale, GM; Gil-Alana, LA
2008-01-01
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 through March 2008. The full-sample estimates of the fractional differencing parameter appear to be very sensitive to the choice of the I(0) error term; specifically, the order of integration is strictly above 1 if the errors are uncorrelated, whilst it is strictly below 1 with autocorrelated disturba...
Real interest rate persistence in South Africa: Evidence and implications
Das, Sonali
2012-12-01
Full Text Available Department of Economics Working Paper Series Real Interest Rate Persistence in South Africa: Evidence and Implications Sonali Das CSIR, Pretoria Rangan Gupta University of Pretoria Patrick T. Kanda University of Pretoria Christian K. Tipoy..., R. and Stander, L. ?Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data.? University of Pretoria Department of Economics Working Paper, 2011, No. 201134. 14 DeJong, D. N., Nankervis, J. C...
Macroeconomic Stabilization When the Natural Real Interest Rate Is Falling
Buttet, Sebastien; Roy, Udayan
2015-01-01
The authors modify the Dynamic Aggregate Demand-Dynamic Aggregate Supply model in Mankiw's widely used intermediate macroeconomics textbook to discuss monetary policy when the natural real interest rate is falling over time. Their results highlight a new role for the central bank's inflation target as a tool of macroeconomic stabilization. They…
Exploring Fiscal Policy at Zero Interest Rates in Intermediate Macroeconomics
Ramamurthy, Srikanth; Sedgley, Norman
2013-01-01
Since the financial meltdown of 2007, advanced macroeconomic theory has delved more deeply into the question of the appropriate fiscal policy when the nominal interest rate is close to or at zero percent. Such analysis is typically conducted with the aid of New Keynesian Dynamic Stochastic General Equilibrium models. The policy implications are,…
Dependent interest and transition rates in life insurance
Buchardt, Kristian
2014-01-01
For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, t...
Exploring Fiscal Policy at Zero Interest Rates in Intermediate Macroeconomics
Ramamurthy, Srikanth; Sedgley, Norman
2013-01-01
Since the financial meltdown of 2007, advanced macroeconomic theory has delved more deeply into the question of the appropriate fiscal policy when the nominal interest rate is close to or at zero percent. Such analysis is typically conducted with the aid of New Keynesian Dynamic Stochastic General Equilibrium models. The policy implications are,…
Macroeconomic Stabilization When the Natural Real Interest Rate Is Falling
Buttet, Sebastien; Roy, Udayan
2015-01-01
The authors modify the Dynamic Aggregate Demand-Dynamic Aggregate Supply model in Mankiw's widely used intermediate macroeconomics textbook to discuss monetary policy when the natural real interest rate is falling over time. Their results highlight a new role for the central bank's inflation target as a tool of macroeconomic stabilization. They…
Macro factors and the Term Structure of Interest Rates
H.D.R. Dewachter (Hans); M. Lyrio (Marco)
2003-01-01
textabstractThis paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations. The model extends the approach pioneered by Kozicki and Tinsley (2001) by modeling consistently long-run inflation expectations
Actuarial models of life insurance with stochastic interest rate
Wei, Xiang; Hu, Ping
2009-07-01
On the basis of general actuarial model of life insurance, this article has carried on research to continuous life insurance actuarial models under the stochastic interest rate separately. And it provide net single premium for life insurance and life annuity due over a period based on that de Moivre law of mortality and Makeham's law of mortality separately.
78 FR 13999 - Maximum Interest Rates on Guaranteed Farm Loans
2013-03-04
... have removed the term. Comment: Don't remove the ``average agricultural loan customer'' definition. The... the following methods: Federal eRulemaking Portal: Go to http://www.regulations.gov . Follow the.... Comment: FSA should let the market dictate what interest rate lenders charge guaranteed borrowers, rather...
75 FR 10411 - Borrower Rights; Effective Interest Rates; Effective Date
2010-03-08
... 12 CFR Part 617 RIN 3052-AC45 Borrower Rights; Effective Interest Rates; Effective Date AGENCY: Farm Credit Administration. ACTION: Notice of effective date. SUMMARY: The Farm Credit Administration (FCA or... efficient manner. In accordance with 12 U.S.C. 2252, the effective date of the final rule is 30 days...
Fiscal Policy and Term Structure of Interest Rate in Nigeria
Oseni O. Isiaq
2016-10-01
Full Text Available The study examines the effects of fiscal policy on term structure of interest rate in Nigeria between 1981 and 2014. The paper built on the fact that continuous increase in fiscal deficit in Nigeria has not translated into equal change in term structure of interest rate as proposed by the economic theory. Using secondary annual time series data which are obtained from Central Bank statistical bulletin, 2014, the paper employed appropriate econometric techniques such unit-root test, Johansen Co-integration technique, Error Correction Mechanism and Fully Modified Ordinary Least Squares. The paper shows that fiscal deficit has a positive and significant effect on term structure of interest rate in Nigeria and concludes that consumers are not forward-looking in Nigeria as proposed by Ricardian Equivalence Hypothesis theory. Consumers in Nigeria increase their consumptions has government employed expansionary fiscal policy which may reduce the savings and investment. Consequently, reduces growth. Thus, the implication is that fiscal deficit could responsible for the uncertainties and inconsistencies in the term structure of interest rates in Nigeria.
Effects of ECB Monetary Policy: Differences in Policy Interest Rates
Yutaka Kurihara
2014-10-01
Full Text Available This article examines the effects of the European Central Bank’s (ECB’s monetary policy on the economy in the Euro area. Existing studies have not conclusively determined whether the effects of the policy are large or small, effective or ineffective. Also, the difference between policy interest rate increases and decreases has not been fully studied. Using two types of VAR models, this article shows that, as expected, the ECB’s monetary policy designed to boost the economy is effective in inflation stabilization, depreciation of the euro, and production improvement. Also, the impact of policy interest rate increases on inflation rate is negative (i.e., effective. However, the results of other cases are not clear empirically. To maintain price stability is the ECB’s primary objective, so it can be concluded that the ECB in general has conducted monetary policy successfully.
A view on post-Keynesian interest rate policy
Giorgos Argitis
2011-01-01
The dominant role of the "new consensus models" in central banksâ€™ policy-making in the last two decades has triggered the reaction of post-Keynesian economists to examine alternatives to inflation-targeting monetary strategies and to Taylor-type interest rate rules. This paper develops a simple macroeconomic model in order to pinpoint the distributional/demand effects of rentiersâ€™ interest income in a money/debt-using and demand determined economy. The ultimate objective of this model is ...
Effects of interest and exchange rate policies on Brazilian exports
Cláudia Maria Sonaglio
2016-01-01
Full Text Available In heterodox literature, the industrial sector is considered strategic for economic development. Consequently, reducing the contribution of this sector in the production of the country before it has reached the stage of economic maturity, affects the productive dynamics and slow technical progress. The appreciation of the real exchange rate is seen as one of the factors responsible for the reduction of the external competitiveness of Brazilian manufactures, and this exchange rate valuation may be occurring due to the differences between domestic and international interest rates. Given this context, the aim of this study is to evaluate the impact of changes in the monetary and exchange rate policy and in the composition of the total exports on the performance of the Brazilian economy using a structuralist model. The results reinforce the importance of the manufacturing sector to economic growth, especially in a competitive exchange rate environment.
Xu, Xiaohong; Chen, Yu; Jia, Haiwei
2009-07-01
The paper study the relation between Interest rate and Inflation rate, we use the Stepwise Regression Method to build the math model about the relation between Interest rate and Inflation rate. And the model has passed the significance test, and we use the model to discuss the influence on social economy through adjust Deposit rate, so we can provide a lot of theory proof for government to draw policy.
ISLAMIC ECONOMIC SYSTEM – ATTITUDE TOWARD INTEREST RATE
Teufik Čočić
2012-12-01
Full Text Available This study is focused on basic theological, theoretical and practical principles of the Islamic economic system. It points out the importance of the source (Qur’an and Sunnah on which the Islamic economic system is based; it extracts the strength of its moral and ethical values from these sources, thus creating a framework for just and fair participation and functioning of an individual in the Islamic social community. The study also points out the key properties and characteristics of the Islamic model of a man who, with his dualistic nature, participates in everyday economic life by making choices between good and evil, just and unjust, etc. The study provides analysis of justice and fairness which are constituent parts of the concept of total moral and social values that guide an individual in an effort to prevent this person from exceeding the boundaries of what is allowed according to Islam. This paper is also focused on trust, the most important element of social capital in Islam and Islamic economy, and the importance of Sharia law as the fundamental Islamic law based on the concept of justice, trust and reliability. One chapter of the study is specifically focused on the prohibition of interest. It provides a historical overview and emergence of Usury and interest rate. Throughout history there have been examples of prohibition of the interest rate in monotheistic and other religions and social communities. Special attention is given to prohibition of interest (Riba in Islam, and the reasons for the existence of the conventional interest rate are compared with attitudes that Islam has toward these elements.
Cash sub-additive risk measures and interest rate ambiguity
El Karoui, Nicole; Ravanelli, Claudia
2009-01-01
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of the current reserve amounts and future positions. Consequently, cash sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims. Practical exampl...
Federal Reserve Credibility and the Term Structure of Interest Rates
Lakdawala, Aeimit; Wu, Shu
2017-01-01
In this paper we show how the degree of central bank credibility influences the level, slope and curvature of the term structure of interest rates. In an estimated structural model, we find that historical yield curve data are best matched by the Federal Reserve conducting policy in a loose commitment framework, rather than the commonly used discretion and full commitment assumptions. The structural impulse responses indicate that the past history of realized shocks play a crucial role in d...
Times and Sizes of Jumps in the Mexican Interest Rate
José Antonio Núñez Mora; Arturo Lorenzo Valdés
2008-01-01
This paper examines the role of jumps in a continuous-time short-term interest rate model for Mexico. A filtering algorithm provides estimates of jumps times and sizes in the time series of Mexican cetes for the 1998-2006 period. The empirical results indicate that the inclusion of jumps in the diffusion model represents a better alternative than not to include them.
Cash Sub-additive Risk Measures and Interest Rate Ambiguity
El Karoui, Nicole; Ravanelli, Claudia
2007-01-01
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire of the current reserve amounts and future positions. Consequently, cash sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims. Practical exampl...
The relationships between stock market capitalization rate and interest rate: Evidence from Jordan
Mohammad Jaradat
2010-07-01
Full Text Available The paper examines the effect of interest rates on the stock market capitalization rate in AmmanStock Exchange (ASE over the period 1999-2008. Based on the multiple linear regression modeland simple regression model, the time series analysis revealed that there is significant and positiverelationship between government prevailing interest rate (R and stock market capitalization rate(S. The study shows that Government development stock rate (D exerts negative influence onstock market capitalization rate (S, also it finds a significant and negative relationship betweengovernment prevailing interest rate (R and Government development stock rate (D. Finally, thisstudy suggests the importance of government intervention to encourage investment in ASE byreducing rate of personal taxation thus, granting incentive for creation of wealth, controllinginterest rate so as to aid the growth of the stock market and improving the regulatory environmentand decreasing red tape.
The term structure of interest rates and inflation forecast targeting
Eric Schaling
2011-08-01
Full Text Available This paper examines the implications of the expectations theory of the term structure of interest rates for the implementation of inflation targeting. We show that the responsiveness of the central bank’s instrument to the underlying state of the economy is increasing in the duration of the long-term bond. On the other hand, an increase in duration will make long-term inflationary expectations - and therefore also the long-term nominal interest rate - less responsive to the state of the economy. The extent to which the central bank is concerned with output stabilisation will exert a moderating influence on the central bank’s response to leading indicators of future inflation. However, the effect of an increase in this parameter on the long-term nominal interest rate turns out to be ambiguous. Next, we show that both the sensitivity of the nominal term spread to economic fundamentals and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. However, if the central bank becomes relatively less concerned about inflation stabilisation the term spread will be less successful in predicting real economic activity.
The response of industry stock returns to market, exchange rate and interest rate risks
Hyde, Stuart J
2007-01-01
This study investigates the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy and the UK. In addition to exposure to the market, significant levels of exposure to both exchange rate risk, in the four countries, and interest rate risk, in France and Germany, are identified. Further, responses to sources of risk are decomposed into components attributable to news about future dividend...
Chin Diew Lai; Penm, Jack H. W.; Tim Brailsford
2006-01-01
One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of ...
2006-01-01
One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Phil...
INTEREST-RATE DIFFERENTIALS AND EXCHANGE-RATE POLICIES IN AUSTRIA, THE NETHERLANDS, AND BELGIUM
KNOT, K; DEHAAN, J
In this paper, the small, but persistent interest rate differentials via-a-vis Germany which have existed in Austria, the Netherlands, and Belgium are analysed. These interest differentials may be thought of to consist of three parts: expected exchange rate movements within the band, expected
INTEREST-RATE DIFFERENTIALS AND EXCHANGE-RATE POLICIES IN AUSTRIA, THE NETHERLANDS, AND BELGIUM
KNOT, K; DEHAAN, J
1995-01-01
In this paper, the small, but persistent interest rate differentials via-a-vis Germany which have existed in Austria, the Netherlands, and Belgium are analysed. These interest differentials may be thought of to consist of three parts: expected exchange rate movements within the band, expected change
2011-07-13
... SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates Used in Calculating Interest on Overdue Accounts and Refunds on Customs Duties AGENCY: Customs and Border Protection, Department of... Internal Revenue Service interest rates used to calculate interest on overdue accounts (underpayments)...
Chin Diew Lai
2006-09-01
Full Text Available One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Philippines, and Thailand. For Malaysia, no significant causal relation is found from the rate of interest to exchange rates, as the authorities in Malaysia did not actively adopt a high interest rate policy to defend the currency.
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Munk, Claus; Rubtsov, Alexey Vladimirovich
2014-01-01
We solve, in closed form, a stock-bond-cash portfolio problem of a risk- and ambiguity-averse investor when interest rates and the inflation rate are stochastic. The expected inflation rate is unobservable, but the investor can learn about it from observing realized inflation and stock and bond...... prices. The investor is ambiguous about the inflation model and prefers a portfolio strategy which is robust to model misspecification. Ambiguity about the inflation dynamics is shown to affect the optimal portfolio fundamentally different than ambiguity about the price dynamics of traded assets......, for example the optimal portfolio weights can be increasing in the degree of ambiguity aversion. In a numerical example, the optimal portfolio is significantly affected by the learning about expected inflation and somewhat affected by ambiguity aversion. The welfare loss from ignoring learning or ambiguity...
Interest rate modeling post-crisis challenges and approaches
Grbac, Zorana
2015-01-01
Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of them an edited volume, both being written by researchers working mainly in practice. The aim of this book is to concentrate primarily on the methodological side, thereby providing an overview of the state-of-the-art and also clarifying the link between the new models and the classical literature. The book is intended to serve as a guide for graduate students and researchers as well as practitioners interested in the paradigm change for fixed income markets. A basic knowledge of fixed income markets and related stochastic methodology is assumed as a prerequisite.
Polynomial Representations for a Wavelet Model of Interest Rates
Dennis G. Llemit
2015-12-01
Full Text Available In this paper, we approximate a non – polynomial function which promises to be an essential tool in interest rates forecasting in the Philippines. We provide two numerical schemes in order to generate polynomial functions that approximate a new wavelet which is a modification of Morlet and Mexican Hat wavelets. The first is the Polynomial Least Squares method which approximates the underlying wavelet according to desired numerical errors. The second is the Chebyshev Polynomial approximation which generates the required function through a sequence of recursive and orthogonal polynomial functions. We seek to determine the lowest order polynomial representations of this wavelet corresponding to a set of error thresholds.
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Tina Engler
2014-12-01
Full Text Available We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion utility functions.
Does implied volatility of currency futures option imply volatility of exchange rates?
Wang, Alan T.
2007-02-01
By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011-1023] that long-maturity options tend to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange rates, a continuous-time relationship is developed. We provide evidence that implied volatilities may not be the simple average of future expected volatilities. By comparing the term-structure relationship of implied volatilities with the process of the underlying exchange rates, we find that long-maturity options are more consistent with the exchange rates process. In sum, short-maturity options overreact to the dynamics of underlying assets rather than long-maturity options overreacting to short-maturity options.
ECB MONETARY POLICY CONSISTENCY AND INTERBANK INTEREST RATES FORECASTS
GIOVANNI VERGA
2011-03-01
Full Text Available The European Central Bank has often declared that it has two main monetary policy tools: the official interest rate (Repo and its communications to the public (the monthly President’s Conferences above all. In this paper an ECB’s reaction function formed by a system of two non-linear equations is employed to explain both ECB’s Repo and communications, and to verify if the two policy instruments are used consistently. It turned out that the estimated system is particularly robust, and the consistently is proved. During the financial crisis, however, also an index of monetary market risk must enter the equations in order to maintain the other parameters stable. By employing those two monetary policy tools as regressors, along with risk and liquidity, a good deal of the future changes in the interbank interest rates can be explained. During the crisis such forecasts are much better than those obtained by applying the usual term structure theory.
Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Lenka Křivánková
2017-01-01
Full Text Available According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a and (EU, 2013b instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA. Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescribed standards and also achieve the smallest possible impact on the bank’s earnings. To do so, a data set of interest rate swaps from 2015 is used. The interest rate term structure is simulated using the Hull-White one-factor model and Monte Carlo methods. Then, the probability of default for each counterparty is constructed. A safe level of CVA is reached in spite of the calculated the CVA achieving a lower level than CVA previously used by the bank. This allows a reduction of capital requirements for banks.
Finke, Katharina; Fuest, Clemens; Nusser, Hannah; Spengel, Christoph
2014-01-01
This paper discusses tax policy measures to reduce corporate tax avoidance by extending taxation in the source country without imposing double taxation. We focus on four options: Bilaterally restricting interest and royalty deductibility, introducing an inverted tax credit system, levying withholding taxes on all interest and royalty payments and levying withholding taxes as an anti-avoidance regulation. We calculate the tax revenue effects of introducing a minimum withholding ...
ROLE, INTERESTS AND CRITICS OF CREDIT RATING AGENCIES
Suzana Baresa
2012-06-01
Full Text Available Key role of credit rating agencies is reducing the asymmetry information about credit quality (of governments, business entities or securities between issuers and investors, and ensuring a common standard of measuring the creditworthiness. Credit rating agencies are engaged in the sale of opinions about creditworthiness in the form of an alphabetical letter or symbol, which represents a unique ranking. Their opinion is not a guarantee, but it largely dictates the costs and the profits in the financial markets. This work shows the influence of credit rating agencies to investors and publishers, and their role as market regulators. Conflict of interest is a fundamental problem, which is caused by their way of doing business, it arises from their two main objectives: profit and market regulation, which will be explored in the work. Looking back in history credit rating agencies often selected goal of making a profit at the cost of market regulation, therefore they have caused the collapse of the market, and founded themselves criticized by the public.
The stochastic string model as a unifying theory of the term structure of interest rates
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F.
2016-11-01
We present the stochastic string model of Santa-Clara and Sornette (2001), as reformulated by Bueno-Guerrero et al. (2015), as a unifying theory of the continuous-time modeling of the term structure of interest rates. We provide several new results, such as: (a) an orthogonality condition for the volatilities in the Heath, Jarrow, and Morton (1992) (HJM) model, (b) the interpretation of multi-factor HJM models as approximations to a full infinite-dimensional model, (c) a result of consistency based on Hilbert spaces, and (d) a theorem for option valuation.
Determination of the optimal exchange rate via control of the domestic interest rate in Nigeria
Virtue Ekhosuehi; Sunday Ogbonmwan
2014-01-01
We consider an economic scenario where the government seeks to achieve a favourable balance-of-payments over a fixed planning horizon through exchange rate policy and control of the domestic interest rate. We view the dynamics of such an economy as a bounded optimal control problem where the exchange rate is the state variable and the domestic interest rate is the control variable. The idea of balance-of-payments is used as a theoretical underpinning to specify the objective function. By assu...
Interest rate risk measurement in Brazilian sovereign markets
Caio Ibsen Rodrigues de Almeida
2004-06-01
Full Text Available Fixed income emerging markets are an interesting investment alternative. Measuring market risks is mandatory in order to avoid unexpected huge losses. The most used market risk measure is the Value at Risk, based on the profit-loss probability distribution of the portfolio under consideration. Estimating this probability distribution requires the prior estimation of the probability distribution of term structures of interest rates. An interesting possibility is to estimate term structures using a decomposition of the spread function into a linear combination of Legendre polynomials. Numerical examples from the Brazilian sovereign fixed income international market illustrate the practical use of the methodology.Os mercados emergentes de renda fixa são alternativas interessantes para investimentos. Devido ao elevado nível de incerteza existente em tais mercados, a mensuração dos riscos de mercado de uma carteira de investimentos é fundamental para que se evite um nível elevado de perdas. Uma das medidas de risco de mercado mais utilizadas é o Value at Risk, baseado na distribuição de probabilidades de perdas-ganhos da carteira sob análise. A estimação desta distribuição requer, no entanto, a estimação prévia da distribuição de pro-babilidades das variações da estrutura a termo da taxa de juros. Uma possibilidade interessante para a estimação de tal distribuição é efetuar uma decomposição da função de spread da estrutura a termo em uma combinação linear de Polinômios de Legendre. Exemplos numéricos do mercado internacional de títulos soberanos brasileiros são apresentados para ilustrar o uso prático desta nova metodologia.
hat Does the Rise in RMB Interest Rates Signify？
SUIJIANXIONG; LIWUZHOU
2005-01-01
ON October 28, 2004,the People's Bank ofChina took a U-turn and, after almost a decade of reductions, announced a 0.27 percent increase in RMB interest rates. This superficially inconsequential rise caused quite a stir on the international market. Mining stock plummeted,as did the prices of metals and crude oil futures. This reflexive investor response is just one indication that the Chinese economy has become a major driving force for global economic growth. Its huge demand has sustained high prices for oil and other staple commodities on the international market, international speculators itch to pour their hot money into China, and overseas investors too see it as a potential Klondike.
Nuclear Effects on Bremsstrahlung Neutrino Rates of Astrophysical Interest
Stoica, S
2002-01-01
We calculate in this work the rates for the neutrino pair production by nucleon-nucleon bremsstrahlung taking into account the full contribution from a nuclear one-pion-exchange potential. It is shown that if the temperatures are low enough ($T \\leq 20 MeV$), the integration over the nuclear part can be done for the general case, ranging from the completely degenerate (D) to the non-degenerate (ND) regime. We find that the inclusion of the full nuclear contribution enhances the neutrino pair production by $nn$ and $pp$ bremsstrahlung by a factor of about two in both the D and ND limits when compared with previous calculations. This result may be relevant for the physical conditions of interest in the semitransparent regions near the neutrinosphere in type II supernovae, cooling of neutron stars and other astrophysical situations.
Metal volatility in presence of oil and interest rate shocks
Hammoudeh, Shawkat; Yuan, Yuan [LeBow College of Business, Drexel University, 3141 Market Street, Philadelphia, PA 19104 (United States)
2008-03-15
This study uses three ''two factor'' volatility models of the GARCH family to examine the volatility behavior of three strategic commodities: gold, silver and copper, in the presence of crude oil and interest rate shocks. The results of the standard GARCH models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper. The CGARCH estimates indicate that the (short-run) transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence. However, the permanent volatility component demonstrates equally strong persistence in the long-run for all three metals. The EGARCH results suggest that the leverage effect is present and significant for copper only, implying that gold and silver can be good investment in anticipation of bad times. Past oil shock does not impact all three metals similarly. Monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the T bill rate is used. Crises such as the 2003 Iraq war heighten metal volatility. These results have implications for derivatives valuations, using gold as a reserve asset, risk analysis, and for the commodity-exporting countries and commodity-producing firms. (author)
S. A. J Obansa
2013-07-01
Full Text Available This study was specifically embarked upon to establish empirically the relationship exiting among Exchange rate, Interest rate and economic growth in Nigerian economy over the period of 1970-2010. Fundamentally, the period of the study was fractured into two prominent distinctions of economic era - the regulation era and the deregulation era. The study adopted vector auto- regression (VAR technique, with specific emphasis on Impulse Response factor and the Forecast Error Variance Decomposition. The result indicated that Exchange rate had a stronger impact on Economic growth than Interest rate. Particularly, Interest rate impact was found to be positive but however declined as the time horizon increased. It had a little impact on Economic growth in the period of regulation than in the deregulation era. The conclusion arising from the study shows that Exchange rate liberalization was good to Nigerian Economy as it promotes Economic growth. Interest rate liberalization on the other hand does not make an appreciable impact on the Economic growth as it undermines investment drive. The paper therefore recommends that Interest rate liberalization and deregulation should be replaced with the policy of Interest rate regulation as obtained in the 1970s and early 1980s. Normal 0 false false false EN-US X-NONE AR-SA /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin:0in; mso-para-margin-bottom:.0001pt; text-align:justify; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin;}
Moment generating function approach to pricing interest rate and foreign exchange rate claims
Dijkstra, T.K.; Yao, Y.
2002-01-01
This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are
Moment generating function approach to pricing interest rate and foreign exchange rate claims
Dijkstra, T.K.; Yao, Y.
2002-01-01
This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are avai
Oil Prices and Interest Rates: Do They Determine the Exchange Rate?
Law, I. A.; Old, J. L.
1986-01-01
Argues that the relationship between the British pound sterling, interest rates, and oil prices has been overemphasized by economic commentators because they ignored a basic economic theory about the determination of the exchange rate. Provides an example and suggestions for follow up instruction. (Author/JDH)
Moment generating function approach to pricing interest rate and foreign exchange rate claims
Dijkstra, T.K.; Yao, Y.
2002-01-01
This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are avai
78 FR 8060 - Treatment of Grantor of an Option on a Partnership Interest
2013-02-05
...: CC:PA:LPD:PR (REG-106918-08), room 5203, Internal Revenue Service, PO Box 7604, Ben Franklin Station... Sec. 1.761-3, Benjamin Weaver at (202) 622-3050; concerning the proposed regulations under Sec. 1.1234... (noncompensatory partnership option regulations) were published in the Federal Register (68 FR 2930)....
Polynomial Chaos Expansion Approach to Interest Rate Models
Luca Di Persio
2015-01-01
Full Text Available The Polynomial Chaos Expansion (PCE technique allows us to recover a finite second-order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochastic quantity ξ, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ method which aims at providing reliable numerical estimates for some uncertain physical quantities defining the dynamic of certain engineering models and their related simulations. In the present paper, we use the PCE approach in order to analyze some equity and interest rate models. In particular, we take into consideration those models which are based on, for example, the Geometric Brownian Motion, the Vasicek model, and the CIR model. We present theoretical as well as related concrete numerical approximation results considering, without loss of generality, the one-dimensional case. We also provide both an efficiency study and an accuracy study of our approach by comparing its outputs with the ones obtained adopting the Monte Carlo approach, both in its standard and its enhanced version.
Bounded rational expectations and the stability of interest rate policy
Gomes, Orlando; Mendes, Diana A.; Mendes, Vivaldo M.
2008-06-01
The New Keynesian model has recently been subject to two serious criticisms: the model cannot produce plausible inflation and output dynamics following a monetary shock, and the stability of its dynamics suffers from indeterminacy. The procedures that have been proposed to eliminate these two shortcomings fall into two categories: the introduction of some sort of backward price indexation into the standard model and/or other forms of stickiness (like sticky information); and the adoption of some form of policy rule that completely offsets the effects of forward looking dynamics in the optimization process. In this paper we do not eradicate forward looking behavior from the dynamics of the New Keynesian model, neither do we impose some form of backward price indexation. We assume that private economic agents have forward looking behavior and that they do try to optimize with all available information; the only novelty is that they are allowed to make small mistakes near the rational expectations equilibrium, in a fully deterministic setup. These “near rational” or “bounded rational” expectations show that the dynamics of the model with active interest rate rules is much richer than the simple problem of local indeterminacy as is usually found in the literature.
Assesment of the Interest Rates in the Serbian Banking Sector
Barjaktarović Lidija
2014-05-01
Full Text Available Lending interest rates (IR in the Serbian market are generally viewed as high. In accordance with the official NBS (National bank of Serbia data for 2010: lending (IR was 10.4% p.a., deposit IR was 4.2% p.a., and spread was 6.3% p.a. At the same time, IR on cross-border loans was 3.7% p.a. It means that the use of cross-border loans was a better solution for companies which were in position to take them. The indicator of IR spread in Serbia got worse and came down to 106th position (it used to be ranked 90th in 2009; WEF. If we analyse the structure of IR spread, we can notice that there is room for decreasing the level of active IR in the area of country risk premium and funding spread. Pearson Correlation shows that IR has strong relation with return on assets and volume of collected deposits i.e. profit margin per product.
Aanæs, Henrik; Dahl, Anders Lindbjerg; Pedersen, Kim Steenstrup
2012-01-01
on spatial invariance of interest points under changing acquisition parameters by measuring the spatial recall rate. The scope of this paper is to investigate the performance of a number of existing well-established interest point detection methods. Automatic performance evaluation of interest points is hard......Not all interest points are equally interesting. The most valuable interest points lead to optimal performance of the computer vision method in which they are employed. But a measure of this kind will be dependent on the chosen vision application. We propose a more general performance measure based...... position. The LED illumination provides the option for artificially relighting the scene from a range of light directions. This data set has given us the ability to systematically evaluate the performance of a number of interest point detectors. The highlights of the conclusions are that the fixed scale...
Stock market information and the relationship between real exchange rate and real interest rates
Junttila, Juha-Pekka; Korhonen, Marko
2013-01-01
In this paper we propose to augment the traditional relationship between real exchange rates and real interest rates (RERI) by adding the stock market equilibrium condition to it. We introduce the relative dividend yield as the new information variable. In the empirical analysis we use recent monthly observations from the U.K., Japan, Canada and Eurozone, all relative to the U.S. We show that the introduction of stock market information is highly relevant for the functioning of the RERI hypot...
Cristian Gheorghe Iacob
2015-05-01
Full Text Available The article, is trying to capture the way difference between active and passive interest rates influence macroeconomic sustainable development in a country. However the theory is limited on this area and the author is intending to merge practical aspects with conceptual terms. The role of banks in an economy is very important, as all inflows and outflows are done through financial institutions. Bank sustainability is the area of study and practice that captures the contribution of banks in sustainable development of a country. Banking instruments are the means by which banks are present and act in the economy. Banking techniques are the mechanisms of banking instruments. The most important banking instruments are the loans and the deposits. So banks take deposits from different entities and use them as resource to finance other entities. A bank is considered contributing to sustainable development, if lending divisions allocates resources to investments that bring long-term welfare to the community not only for today people, but for future generations. Therefore, we can establish a correlation between banking sustainability and sustainable development through the evolution of banking instruments. Looking to detail, bank sustainability is highly affected by the local macroeconomic issues, but also from global influences.
Exchange rate and interest rate distribution and volatility under the Portuguese target zone
Portugal Duarte António
2010-01-01
Full Text Available The aim of this study is to analyse the exchange rate and interest rate distribution and volatility under the participation of the Portuguese economy in the Exchange Rate Mechanism (ERM of the European Monetary System (EMS based on some of the main predictions of the target zone literature. Portugal adopted this exchange rate target zone from April 6 1992 until December 31 1998. During this period, the exchange rate distribution reveals that the majority of the observations lie close to the central parity, thus rejecting one of the key predictions of the Paul Krugman (1991 model. The analysis of the data also shows that exchange rate volatility tended to increase as the exchange rate approached the edges of the band, contrary to the predictions of the basic model. Interest rate differential volatility, on the other hand, seemed to behave in line with theoretical predictions. This suggests an increase in the credibility of monetary policy, allowing us to conclude that the adoption of a target zone has contributed decisively to the creation of the macroeconomic stability conditions necessary for the participation in the European Monetary Union (EMU. The Portuguese integration process should therefore be considered as an example to be followed by other small open economies in transition to the euro area.
Management options for women with uterine prolapse interested in uterine preservation.
Kow, Nathan; Goldman, Howard B; Ridgeway, Beri
2013-10-01
A variety of nonsurgical and surgical treatment options exist for the treatment of pelvic organ prolapse. While nonsurgical management is often selected as first-line treatment, many women eventually elect to undergo surgical management. Traditionally, prolapse repair often includes concomitant hysterectomy; however, women increasingly desire uterine preservation for a myriad of reasons. Multiple surgical procedures have been described to correct apical prolapse while preserving the uterus. Many studies suggest similar anatomic and functional outcomes compared to prolapse procedures with concomitant hysterectomy. Potential benefits include decreased operative time and avoidance of hysterectomy-specific complications, although there are several unique issues to consider if the uterus is retained. Surgeons must provide adequate counseling and preoperative evaluation before proceeding with uterine preservation.
Asymmetric Exchange Rate Exposures: A Search for the Effect of Real Options
Aabo, Tom
2001-01-01
Real options like the ability to reallocate production resources can lead to an asymmetric exchange rate exposure. Using a stock market approach in which the exchange rate exposure is derived from the information content in the stock prices this study examines the extra-market exchange rate...... exposures of a group of blue chip, industrial companies listed on the Copenhagen Stock Exchange. In these companies the existence of real options is an integrated part of the exchange rate exposure management process. The result of the stock market approach is mixed. Statistically significant asymmetric...... dependency in real options decision analysis partly disqualifies the stock market approach as a potent vehicle for identifying asymmetric exchange rate exposures caused by real options....
A generalized one-factor term structure model and pricing of interest rate derivative securities
Jiang, George J.
1997-01-01
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest
38 CFR 36.4212 - Interest rates and late charges.
2010-07-01
... adjustable rate mortgage shall be agreed upon by the lender and the veteran. The rate must be reflective of... 81/8 percent. (5) Pre-loan disclosure. The lender shall explain fully and in writing to the borrower... application, the nature of the obligation taken. The borrower shall certify in writing that he or she fully...
Real interest rates equalization: The case of Malaysia and Singapore
2006-01-01
This study provides some evidences showing high degree of financial integration from both evidences of common shocks and real interest parity in the context of two small and open economies, that is, Malaysia and Singapore. Few key policy implications may be suggested from the findings in this study. First, foreign investors who invest in these two countries may need to look for sources of diversification to protect their wealth against the occurrence of contagion effect due to the strong tr...
Protective interest rate as tax instrument of corporate capital protection
Vukašinović Jovan
2015-01-01
Full Text Available This paper deals with researching negative consequences of allocation of economic (virtual gains made as a result of conventional accounting concept by facing current income with historical expenses and necessity to promote additional stimulating instruments that are at disposal by the state in order to eliminate these negative consequences. one of them is certainly protective interest as a relatively new active fiscal instrument of capital protection and recognition of price of invested owner's equity in business ventures, i.e. a specific form of compensation by the state for invested capital bearing in mind, that no source is free, including ones own sources. We also showed mechanisms of protective interest which, together with other measures of macroeconomic policy, should contribute to the protection of real purchasing power of company equity and increase of net gain, left on company's disposal for new investments, new work places, more money in the budget, protection of actual assets against taxing in the conditions of inflation, etc.
RMB Interest Rate reform:Risk of International Monetary Environment
Sun Xiaoqing
2005-01-01
@@ On July 21, 2005, the People's Bank of China announced a new reform plan, according to which, RMB would no longer be pegged to the U.S. dollar but would reform the exchange rate regime by moving into a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. ① The reform is an important step in the process of China's reform and opening-up. Hence it has special significance for economic development of China. However,what merits attention is that the present international monetary regime is unstable, financial system is very fragile and big powers have shown an unwillingness to take financial cooperation.② This has posed great challenges to the process of RMB exchange rate reform. Now I would like to examine the possible risks of the reform and then try to make some suggestions through making some analysis of the status quo of international monetary and financial system.
Interest and Hazard Rates of Russian Saving Banks
M.A. Carree (Martin)
2000-01-01
textabstractThe number of (registered) commercial banks in Russia increased at a fast pace after the 1988 banking reform. Many of these banks lacked supervision and operated with dangerously low funding capital. In this paper we investigate the determinants of the hazard rates of banks active on the
31 CFR 535.440 - Commercially reasonable interest rates.
2010-07-01
... application of the penalty for early withdrawal of time deposits transferred before maturity, pursuant to... the Treasury Department. (c) For deposits held as time deposits, no penalty shall be imposed for early... time or savings deposits, the “commercially reasonable rate” is that rate provided for by the...
Day-Of-The-Week Effects in Overnight Interest Rates: Evidence from Turkish Money Markets
Recep Bildik
1998-01-01
This study examines the daily seasonalities in Turkish Money Markets. Day-of-the week effects in overnight interest rates in the Central Bank Interbank Money and Istanbul Stock Exchange Repo Markets are investigated. Results show that overnight interest rates significantly fall on Wednesdays and increase on Mondays relative the previous days which indicated the existence of significant day-of-the-week-effect in overnight interest rates. There are also two other strong trends in interest rates...
7 CFR 3575.80 - Interest rate changes after loan closing.
2010-01-01
... guarantee except the normal fluctuations in approved variable interest rate loans. ... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rate changes after loan closing. 3575.80..., DEPARTMENT OF AGRICULTURE GENERAL Community Programs Guaranteed Loans § 3575.80 Interest rate changes...
2012-02-03
... ADMINISTRATION 12 CFR Part 703 Financial Derivatives Transactions To Offset Interest Rate Risk; Investment and... independently. \\1\\ Interest rate risk refers to the vulnerability of a credit union's financial condition to..., Financial Derivatives Transactions To Offset Interest Rate Risk'' in the email subject line. Fax: (703) 518...
2010-01-01
... foreign exchange rate contracts than for interest rate contracts. e. No potential future credit exposure... certain cases, credit exposures arising from the interest rate and foreign exchange instruments covered by... calculating potential future credit exposure to a netting counterparty for foreign exchange rate contracts and...
THE VARIANCE AND TREND OF INTEREST RATE – CASE OF COMMERCIAL BANKS IN KOSOVO
Fidane Spahija
2015-09-01
Full Text Available Today’s debate on the interest rate is characterized by three key issues: the interest rate as a phenomenon, the interest rate as a product of factors (dependent variable, and the interest rate as a policy instrument (independent variable. In this article, the variance in interest rates, as the dependent variable, comes in two statistical sizes: the variance and trend. The interest rates include the price of loans and deposits. The analysis of interest rates on deposits and loan is conducted for non-financial corporation and family economy. This study looks into a statistical analysis, to highlight the variance and trends of interest rates for the period 2004-2013, for deposits and loans in commercial banks in Kosovo. The interest rate is observed at various levels. Is it high, medium or low? Does it explain growth trends, keep constant, or reduce? The trend is observed whether commercial banks maintain, reduce, or increase the interest rate in response to the policy that follows the Central Bank of Kosovo. The data obtained will help to determine the impact of interest rate in the service sector, investment, consumption, and unemployment.
Optimal convergence rate of the explicit finite difference scheme for American option valuation
Hu, Bei; Liang, Jin; Jiang, Lishang
2009-08-01
An optimal convergence rate O([Delta]x) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition using completely PDE methods. As a corollary, a binomial tree scheme of an American put option (where ) is convergent unconditionally with the rate O(([Delta]t)1/2).
31 CFR 359.9 - When are interest rates for Series I savings bonds announced?
2010-07-01
... 31 Money and Finance: Treasury 2 2010-07-01 2010-07-01 false When are interest rates for Series I... UNITED STATES SAVINGS BONDS, SERIES I General Information § 359.9 When are interest rates for Series I savings bonds announced? (a) The Secretary will furnish fixed rates, semiannual inflation rates, and...
13 CFR 120.213 - What fixed interest rates may a Lender charge?
2010-01-01
... Lender charge? 120.213 Section 120.213 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION... have a reasonable fixed interest rate. SBA periodically publishes the maximum allowable rate in the... government determines the interest rate on direct loans. SBA publishes the rate periodically in the...
陈道平
2002-01-01
The European and American call options,for which the prices of their underlying asset follow compound Poisson process,are evaluated by a probability method.Formulas that can be used to evaluate the options are obtained,which include not only the elements of an option:the price of the call option,the exercise price and the expiration date,but also the riskless interest rate,nevertheless exclude the volatility of the underlying asset.In practice,the evaluated results obtained by these formulas can proved references of making strategic decision for an investor who buys the call option and a company who sells the call option.
Mirdala, Rajmund
2015-01-01
Quantitative easing conducted by European central bank to fight persisting risks of deflation is drawing an attention of increasing number of empirical studies. Moreover, effectiveness of monetary policy at near zero inflation rates reveals lot of issues on whether interest rates really have a lower bound around zero percent. As a result, traditional views on the role of inflation expectations and expected real interest rates in the long-term interest rates determination face the challenge of...
Trade-off between Inflation, Interest and Unemployment Rate of Pakistan: Revisited
Arshad, Sumera; Ali, Amjad
2016-01-01
This study analyses the interrelationship of unemployment rate, interest rate and inflation rate in Pakistan over the period from 1974 to 2013. Autoregressive Distributed Lag (ARDL) model has been employed to find co-integration among variables of the models. Vector Error-Correction model is utilized for analysing short run dynamics of the models. The results do not provide significance trade-off between unemployment rate and inflation rate. Trade off exists in interest rate analysis over sho...
Tomáš Urbanovský
2017-01-01
Full Text Available The main aim of this paper is to investigate relationships between selected macroeconomic variables – interest rate, price level, money supply and real GDP – in the Czech Republic in order to find out definite implications of its interactions and give recommendations to macroeconomic policy authorities. Two implemented vector autoregression models with different lag length reached slightly different conclusions. VAR(1 suggests that three pairs of Granger causality exist, in particular between price level and interest rate, between real GDP and interest rate and between real GDP and price level. VAR(2 uncovered two more pairs of Granger causality between money supply and interest rate and between money supply and price level. Despite better prediction power of VAR(2 in case of money supply, low correlation coefficient comprising variable money supply raises doubts about the factual existence of causality between money supply and other variables. However, both models allow forecasting the direction of change in case of variables interest rate and real GDP with the same success rate nearly 82 %. Both VARs also agreed that interest rate could be changed by change of price level and that interest rate could be changed by change of real GDP. These conclusions represent potential recommendations to macroeconomic policy authorities. For the purpose of further research, exchange rate variable will be included in the model instead of interest rate, because effect of interest rate turned out to be limited in times of weakened state of Czech economy.
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, L.A.; Oosterlee, C.W.
2010-01-01
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, L.A.; Oosterlee, C.W.
2010-01-01
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of Hull
Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates
Baaquie, B E; Warachka, M C; Baaquie, Belal E.; Liang, Cui; Warachka, Mitch C.
2005-01-01
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps and Floors against fluctuations in underlying forward rates. An empirical illustration of our methodology is also conducted to demonstrate the influence of correlation on the hedging of interest rate risk.
Interest rate changes and stock returns in Spain: A wavelet analysis
Pablo Moya-Martínez
2015-04-01
Full Text Available This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further, the link between movements in interest rates and industry equity returns is stronger at the coarsest scales. This finding is consistent with the idea that investors with long-term horizons are more likely to follow macroeconomic fundamentals, such as interest rates, in their investment decisions.
An Analysis of Competition over Interest Rate among Banks in China
顾翌乐; 陈湛匀
2003-01-01
In 2000, the central bank of China adopted a policy to gradually liberalize its interest rate, and thus raised the curtain of competition over interest rate among the banks in China. The objective of this study is to put a focus on the existing banking market environment and thereafter the gaming behaviors of the banks on different stages given the interest rate is loosened gradually as scheduled.
On Interest-Rate Risk in Use of Postal Savings Funds
DU Chong-dong; ZHOU Zhi-cui
2006-01-01
This paper analyzes interest-rate risks that postal savings bureau may face. Our analysis is based on the cash flow characteristics of postal savings funds. The analyzed interest-rate risks consist of re-pricing risks, reinvestment risks,yield curve risks, basis risks and other derivative risks such as credit risks and liquidity risks. This paper presents alternative methods to control and manage these interest-rate risks.
Real Interest Rate and House Prices in Malaysia: An Empirical Stud
Tuck Cheong Tang; Pei Pei Tan
2015-01-01
This study examines the relationship between real interest rate and real house prices in Malaysia. The analysis covers recent quarterly data from 2001 to 2013. The regression results show a negative effect of real interest rate on the Kuala Lumpur house prices, but it is not the case for the remaining five reported states in Peninsular Malaysia. The Granger-causality tests also provide positive findings. The direction of causation is from real interest rate to real MHPI (the Malaysian House P...
The role of interest and inflation rates in life-cycle cost analysis
Eisenberger, I.; Remer, D. S.; Lorden, G.
1978-01-01
The effect of projected interest and inflation rates on life cycle cost calculations is discussed and a method is proposed for making such calculations which replaces these rates by a single parameter. Besides simplifying the analysis, the method clarifies the roles of these rates. An analysis of historical interest and inflation rates from 1950 to 1976 shows that the proposed method can be expected to yield very good projections of life cycle cost even if the rates themselves fluctuate considerably.
Adoption of multivariate copulae in prognostication of economic growth by means of interest rate
Saputra, Dewi Tanasia; Indratno, Sapto Wahyu, Dr.
2015-12-01
Inflation, at a healthy rate, is a sign of growing economy. Nonetheless, when inflation rate grows uncontrollably, it will negatively influence economic growth. Many tackle this problem by increasing interest rate to help protecting the value of money which is detained by inflation. There are few, however, who study the effects of interest rate in economic growth. The main purposes of this paper are to find how the change of interest rate affects economic growth and to use the relationship in prognostication of economic growth. By using expenditure model, a linear relationship between economic growth and interest rate is developed. The result is then used for prediction by normal copula and Vine Archimedean copula. It is shown that increasing interest rate to tackle inflation is a poor solution. Whereas implementation of copula in predicting economic growth yields an accurate result, with not more than 0.5% difference.
Driving factors behind O/N interbank interest rates – the Hungarian experiences
Szilárd Erhart
2005-01-01
This study examines overnight (O/N) interest rates which constitute the short end of the yield curve and the factors which have an impact on such rates. The MNB, unlike several other central banks, does not have a direct overnight interest rate target; it does, however, limit the divergence of O/N interest rates from its policy rate with the settings of its operational framework. First, the MNB’s regulations on compulsory reserves allow banks to apply averaging in the reserve maintenance peri...
12 CFR 563.176 - Interest-rate-risk-management procedures.
2010-01-01
... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Interest-rate-risk-management procedures. 563... ASSOCIATIONS-OPERATIONS Financial Management Policies § 563.176 Interest-rate-risk-management procedures... association's management of that risk. (b) The board of directors shall formerly adopt a policy for...
Bank-specific daily interest rate adjustment in the Dutch mortgage market
de Haan, Leo; Sterken, Elmer
2011-01-01
This paper presents an empirical analysis of the interest rate setting behavior of the four largest banks in the Dutch mortgage market, using advertised interest rates at a daily frequency. The evidence for the long run pricing behaviour suggests that the banks operate in a competitive environment a
ESTIMATING THE EFFICIENCY OF INTEREST-RATE POLICY IN THE FRAMEWORK OF MONETARY POLICY IN VIETNAM
Tche Dong Phung
2013-01-01
Full Text Available The article considers the evaluation process of interest-rate policy in Vietnam from 1980 to the present time and makes a conclusion that this policy was aimed at increasing the effectiveness of the interest-rate instrument in the framework of monetary policy of the State Bank of Vietnam.
Dynamic Asset Allocation with Stochastic Income and Interest Rates
Munk, Claus; Sørensen, Carsten
2010-01-01
We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports...
7 CFR 1610.10 - Determination of interest rate on Bank loans.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Determination of interest rate on Bank loans. 1610.10..., DEPARTMENT OF AGRICULTURE LOAN POLICIES § 1610.10 Determination of interest rate on Bank loans. (a) All loan fund advances made on or after December 22, 1987 under Bank loans approved on or after October 1,...
How low can you go? negative interest rates and investors’ flight to safety
Richard G. Anderson; Yang Liu
2013-01-01
It is not uncommon to observe negative interest rates during uncertain times, when investors flee to safety. But the existence of negative market yields provides no support for policies in which central banks set negative interest rates on deposits held at a central bank.
The interest rate and capital durability, and the importance of methodological pluralism
van Arkel, R.; Vermeylen, K.
2013-01-01
Champions of sustainable growth often call for more durable production technologies with less capital depreciation. As investment in more durable capital is encouraged by lower interest rates, we investigate whether policy makers can steer the economy towards a path with low interest rates in order
Bank-specific daily interest rate adjustment in the Dutch mortgage market
de Haan, Leo; Sterken, Elmer
This paper presents an empirical analysis of the interest rate setting behavior of the four largest banks in the Dutch mortgage market, using advertised interest rates at a daily frequency. The evidence for the long run pricing behaviour suggests that the banks operate in a competitive environment
12 CFR 615.5181 - Bank interest rate risk management program.
2010-01-01
....5181 Bank interest rate risk management program. (a) The board of directors of each Farm Credit Bank... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Bank interest rate risk management program. 615.5181 Section 615.5181 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM FUNDING...
12 CFR 652.15 - Interest rate risk management and requirements.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rate risk management and requirements. 652.15 Section 652.15 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM FEDERAL AGRICULTURAL MORTGAGE CORPORATION FUNDING AND FISCAL AFFAIRS Investment Management § 652.15 Interest rate...
12 CFR 617.7125 - How should a qualified lender determine the effective interest rate?
2010-01-01
... a loan using the discounted cash flow method showing the effect of the time value of money. (b) For all loans, the cash flow stream used for calculating the effective interest rate of a loan must... charges on the interest rate of a loan. A qualified lender must also establish policies and procedures for...
2011-10-27
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for First Quarter FY 2012 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after October 21, 2011. Military Reservist Loan Program--4.000%. Dated: October 19, 2011. James...
2013-01-25
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Second Quarter FY 2013 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after January 18, 2013. Military Reservist Loan Program--4.000% Dated: January 18, 2013. James E....
2013-10-31
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for First Quarter FY 2014 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after October 18, 2013. Military Reservist Loan Program: 4.000% Dated: October 21, 2013. James E....
2012-01-31
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Second Quarter FY 2012 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after January 23, 2012. Military Reservist Loan Program 4.000% January 23, 2012. James E....
2012-12-03
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for First Quarter FY 2013 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after November 26, 2012. Military Reservist Loan Program 4.000% Dated: November 19, 2012. James...
2013-05-07
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Third Quarter FY 2013 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after April 26, 2013. Military Reservist Loan Program--4.000%. Dated: May 2, 2013. James E....
13 CFR 123.512 - What is the interest rate on a Military Reservist EIDL?
2010-01-01
... Military Reservist EIDL? 123.512 Section 123.512 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION DISASTER LOAN PROGRAM Military Reservist Economic Injury Disaster Loans § 123.512 What is the interest rate on a Military Reservist EIDL? The interest rate on a Military Reservist EIDL will be...
2012-04-26
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for Third Quarter FY 2012 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after April 20, 2012. Military Reservist Loan Program--4.000% Dated: April 23, 2012. Joseph P....
2013-07-26
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for Fourth Quarter FY 2013 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after July 19, 2013. Military Reservist Loan Program--4.000% Dated: July 19, 2013. James E....
2012-08-03
... ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Fourth Quarter FY 2012 In... following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after July 20, 2012. Military Reservist Loan Program 4.000% ] Dated: July 30, 2012. James E....
Continuous Time Models of Interest Rate: Testing the Mexican Data (1998-2006)
Jose Luis de la Cruz; Elizabeth Ortega.
2007-01-01
Distinct parametric models in continuous time for the interest rates are tested by means of a comparative analysis of the implied parametric and nonparametric densities. In this research the statistic developed by Ait-Sahalia (1996a) has been applied to the Mexican CETES (28 days) interest rate in the period 1998-2006. With this technique, the discrete approximation to the continuous model is unnecessary even when the data are discrete. The results allow to affirm that the models of interest ...
Low loan Interest Rate, High Deposit loan Interest Rate Spread, and House Price%低贷款利率、高存贷利差与房价
缪仕国
2012-01-01
In this article, the author studies the impact of loan interest rate, and deposit/loan interest rate spread on the house price. The study shows that the house price boom can be attributed to two factors ： the persistent drop of the loan interest rate, and rise of the deposit/loan interest rate spread from 1998, because both will cause the boom of the real estate credit. And the author finds that the deposit/loan interest rate spread has much larger influence on the house price than the loan inter- est rate. In addition, the author finds the great inertia in the dynamics of the house price. According to this result, the author proposes two prescriptions for the soar of house priee： heighten the loan interest rate and reduce the deposit/loan interest rate spread; hold on the stiff housing policy so as to undermine the ever-growing expectation of house price.%文章研究了我国利率对房价的影响，但与以往研究不同，文章重点考察了贷款利率和存贷款利差与房价的关系。研究表明，我国1998年以来贷款利率持续走低和存贷款利差持续扩大对于房价的上涨有着明显的推动作用。在贷款利率下降的同时，存贷款利差不断扩大，激励金融机构增加对房地产等领域的贷款，从而进一步刺激了房价的上涨。文章发现，缩小存贷款利率差对房价产生的影响要远远大于提高贷款利率的影响，而且模型回归还表明房价变化有着很强的惯性。根据以上分析我们认为，要抑制房价过度上涨需要从两个方面采取措施：一是在提高贷款利率的同时，缩小存贷款利率差；二是坚持调控政策，打破房价上涨的预期。
Analysis of the Money Supply and Interest Rate of Inflation in Indonesia
Darman Darman
2016-03-01
Full Text Available Articleaimed to assess and analyze the effect of money supply and the interest rate on Inflation in Indonesia. This research applied descriptive quantitative approach with the nature of the explanatory method verification. The data used was secondary data in the money supply, interest rate and Inflation in Indonesia in 2000-2014. The results of this article are the partial test (t-test indicates the money supply (X1, the rate of interest (X2 and there is no effect on Inflation (Y. While the results of the simultaneous test (F test shows a strong and direct relationship between money supply and the interest rate on inflation. This means that the money supply and interest rates affect the rise and fall of inflation in Indonesia.
Schaling, E.; Eijffinger, S.C.W.; Tesfaselassie, M.F.
2004-01-01
In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework.Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e. the central bank and private agents - who have different information s
Ronald McKinnon
2011-01-01
The international dollar standard is malfunctioning. Near-zero US short-term interest rates launch massive hot money outflows into emerging markets （EM） in Asia and Latin America. Each EM central bank buys dollars to prevent its currency from appreciating but loses monetary control. Despite some appreciation, average inflation in EMs is now much higher than in the old industrial economies and world commodity prices are bid up sharply. This inflation on the dollar ＇s periphery only registers in the US CPI with a long lag. However, the more immediate effect of the Fed＇s zero interest rate is to upset the process of bank intermediation within the American economy. Bank credit continues to decline while employment languishes. Therefore, constructive international monetary reform calls for the Fed to abandon its zero-interest rate policy, which is best done in cooperation with the European Central Bank, the Bank of Japan, and the Bank of England also abandoning their ultra low interest rates.
Schaling, E.; Eijffinger, S.C.W.; Tesfaselassie, M.F.
2004-01-01
In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework.Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e. the central bank and private agents - who have different information
Schaling, E.; Eijffinger, S.C.W.; Tesfaselassie, M.F.
2004-01-01
In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework.Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e. the central bank and private agents - who have different information s
26 CFR 301.6621-3 - Higher interest rate payable on large corporate underpayments.
2010-04-01
... the underpayment rate is the sum of the Federal short-term rate (determined under section 6621(b... corporate underpayment is the sum of the Federal short-term rate (determined under section 6621(b)) plus 5... 26 Internal Revenue 18 2010-04-01 2010-04-01 false Higher interest rate payable on large corporate...
Jiang, GJ
1998-01-01
This paper develops a nonparametric model of interest rate term structure dynamics based an a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest rate
Jiang, GJ
1998-01-01
This paper develops a nonparametric model of interest rate term structure dynamics based an a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest rate
Holding company interest-rate sensitivity: before and after October 1979
1984-01-01
Since October 1979, market interest-rate movements have been frequent and large. Over the same time period, for a variety of reasons, competition has intensified in both bank loan and deposit markets. These developments have changed the benefits and costs of various types of asset/liability management strategies or alternatively a financial institution's level of interest-rate risk exposure. In this study, the rate-sensitivity postures of a sample of holding companies are examined over the 19...
Combining liquidity usage and interest rates on overnight loans: an oversight indicator
Laine, Tatu; Nummelin, Tuomas; Snellman , Heli
2011-01-01
This study utilises payment system data to analyse market participants’ liquidity usage and to trace interest rates paid on overnight loans. Our aim is to examine how liquidity usage has changed during the years 2006–2/2011 and to combine this information with data on overnight lending rates between market participants. It turns out that the Furfine algorithm used in the analysis produces overnight interest rates that correlate very closely with the EONIA curve. Based on Finnish payment syste...
Ramona Mariana CALINICA
2013-01-01
Information about possible manipulation of the overnight Robor interbank interest rates appeared in the press in late June 2012 when the British bank Barclays was fined for manipulating Libor. Suspicion of manipulation of interest rates has not spared Romania.The purpose of this paper is to provide mathematical support persons or authorities concerned in finding out whether the overnight ROBOR reference rates from October 2008 were the result of an agreement between banks or is a natural reac...
Edesiri Godsday Okoro
2014-12-01
Full Text Available This paper tests the relationship between interest rates volatility and market capitalization in Mauritius. Using annual time series data sourced from the Financial Services Commission Annual Statistical Bulletin of Mauritius during the period 2006 through 2010, data of interest rates volatility and market capitalization were estimated in a non-linear model using the Vector Auto-regression technique. The study found that interest rates volatility has significant effect on the level of market capitalization although a negative effect. This implies a negative relationship between interest rates volatility and market capitalization. Thus, if market capitalization is affected by interest rates, then the economy becomes highly susceptible to volatile external distress. This indicates some dangers for the economic survival of Mauritius. It was on this note that we recommended an effective policy aimed at stabilizing macroeconomic variable like interest rates, focusing at the same time on alternative measures of promoting market capitalization if aggregate economic growth must be harnessed. Policymakers should design the optimal policy mix that would help the nation cope efficiently with the economic and social costs of the external distress accompanying higher and dwindling interest rates in Mauritius.
Stewart, Louis J; Trussel, John
2006-01-01
Although the use of derivatives, particularly interest rate swaps, has grown explosively over the past decade, derivative financial instrument use by nonprofits has received only limited attention in the research literature. Because little is known about the risk management activities of nonprofits, the impact of these instruments on the ability of nonprofits to raise capital may have significant public policy implications. The primary motivation of this study is to determine the types of derivatives used by nonprofits and estimate the frequency of their use among these organizations. Our study also extends contemporary finance theory by an empirical examination of the motivation for interest rate swap usage among nonprofits. Our empirical data came from 193 large nonprofit health care providers that issued debt to the public between 2000 and 2003. We used a univariate analysis and a multivariate analysis relying on logistic regression models to test alternative explanations of interest rate swaps usage by nonprofits, finding that more than 45 percent of our sample, 88 organizations, used interest rate swaps with an aggregate notional value in excess of $8.3 billion. Our empirical tests indicate the primary motive for nonprofits to use interest rate derivatives is to hedge their exposure to interest rate risk. Although these derivatives are a useful risk management tool, under conditions of falling bond market interest rates these derivatives may also expose a nonprofit swap user to the risk of a material unscheduled termination payment. Finally, we found considerable diversity in the informativeness of footnote disclosure among sample organizations that used interest rate swaps. Many nonprofits did not disclose these risks in their financial statements. In conclusion, we find financial managers in large nonprofits commonly use derivative financial instruments as risk management tools, but the use of interest rate swaps by nonprofits may expose them to other risks
Is ASEAN Ready for Banking Integration? Evidence from Interest Rate Convergence
Fazelina Sahul Hamid
2016-07-01
Full Text Available Convergence in prices or returns of assets with similar characteristics indicates that the financial market is integrated with regional markets. This paper is the first that test of the movements of interest rates in ASEAN banking sector for the period 1990 - 2012. The empirical analysis is based on a yearly panel of commercial bank interest rate data from 5 ASEAN countries, namely, Indonesia, Malaysia, Philippines, Singapore and Thailand. We assessed the degree and speed of interest rate convergence using beta and sigma convergence method. The findings show that the difference and the dispersion in the interbank rates have reduced since the Asian financial crisis and this trend has become stronger after the Global financial crisis. The findings of this study confirm that interest rates in the ASEAN banking sector are converging. This provides evidence that the ASEAN banking sector is ready for financial integration.
Interest rate convergence in the EMS prior to European Monetary Union
Frömmel, Michael; Kruse, Robinson
In this paper we analyze the convergence of interest rates in the European Monetary System (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence means that a time series switches from stationarity to non......-stationarity, or vice versa. It is often argued that due to the specific historical situation in the EMS the interest rate differential was non-stationary before the full convergence of interest rates was achieved and stationary afterwards. Our empirical results suggest that the convergence date has been very different...
Estimating the value and interest rate risk of demand deposits in concentrated markets
2012-01-01
PURPOSE OF THE STUDY The purpose of this study is to determine the value and interest rate risk of funds deposited in demand deposit accounts under imperfect competition among banks. The value of a demand deposit is divided into two components, which are rent and liability. The former is defined as the profit bank receives from accepting demand deposits (by paying rates below the short-term market interest rate) and the latter as the nominal value of deposits minus the rent. The interest ...
Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
Patrice Gaillardetz
2010-01-01
Full Text Available We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market.
A framework for modeling the liquidity and interest rate risk of demand deposits
2016-01-01
The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. The volume model and the deposit rate model are used to determine the liquidity and interest rate risk, which is done separately. The liquidity risk is determined by a...
INTEREST RATE, YIELD SPREAD AND ECONOMIC GROWTH: THE CASE OF TURKEY (1990-2006
RAHMİ YAMAK
2013-06-01
Full Text Available In the literature, the difference between short-term interest rate and long-term interest rate is defined as yield spread or as the slope of the yield curve. The purpose of this study is to test whether yield spread affects the future economic growth for Turkey. For this purpose, in the empircal section of the study, quarterly real gross domestic product and the 3-month and 12-month interest rates are included into the analysis. Inflation rate as the control variable is included into the regressions to increase the validity of the findings. In addition, changes in the GDP are tried to be explained not only by yield spread but also by the level of the interest rates. The main purpose of this inclusion is to determine whether yield spread or interest rate level is effective in forecasting the changes of growth rates. Acording to the findings of the study, in Turkey both yield spread and interest rates affect the future economic growth .
Corporate interest rate risk management with derivatives in Australia: empirical results
Luiz Augusto Ferreira Carneiro
2008-04-01
Full Text Available Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is costective to reduce frictional costs such as taxes, agency costs and financial distress costs. A large number of previous empirical studies, most in the U.S., have tested the hypotheses underlying corporate risk management with financial derivative instruments. In order to quantify corporate hedge demand, most previous studies have used the ratio of principal notional amount of derivatives to company size, although they recognize that company size is not an appropriate proxy for financial risk. This paper analyzes the interest-rate-risk hedge demand by Australian companies, measured through the ratio of principal notional amount of interest rate derivatives to interest-rate-riskbearing liabilities. Modern panel data methods are used, with two panel data sets from 1998 to 2003 (1102 and 465 observations, respectively. Detailed information about interest-rate-risk exposures was available after manual data collection from financial annual reports, which was only possible due to specific reporting requirements in Australian accounting standards. Regarding the analysis of the extent of hedge, our measurement of interest-rate-risk exposures generates some significant results di erent from those found in previous studies. For example, this study shows that total leverage (total debt ratio is not significantly important to interest-rate-risk hedge demand and that, instead, this demand is related to the specific risk exposure in the interest bearing part of the firms liabilities. This study finds significant relations of interest-rate-risk hedge to company size, floating-interest-rate debt ratio, annual log returns, and company industry type (utilities and non-banking financial institutions.
Volatility of the interest rate, debt and firm investment : Dutch evidence
Bo, H; Sterken, E
This paper analyzes the joint impact of the interest rate volatility and debt on firm investment. We derive an investment model taking account of the risk attitude of the owners of the firm. Using a panel of Dutch listed firms in the period of 1984-1995, we find that the cross-effect of the interest
Tomáš Urbanovský
2017-01-01
... – interest rate, price level, money supply and real GDP – in the Czech Republic in order to find out definite implications of its interactions and give recommendations to macroeconomic policy authorities...
Jansen, Pieter W.
2006-01-01
International capital market convergence reduces the ability for monetary authorities to set domestic monetary conditions. Traditionally, monetary policy transmission is channelled through the short-term interest rate. Savings and investment decisions are effected through the response of the bond
Modelling the impact of changes in the interest rates on the economy: An Austrian perspective
P Le Roux
2015-07-01
Full Text Available Even though econometric models and yield curve analysis are useful in assessing the impact of interest rate changes on the economic structure, their power to predict the magnitude and direction of swings in the business cycle is often restricted to the use of short-term interest rates. From an Austrian school perspective on interest rates, empirical evidence suggests that the profitability of heavy industries further downstream outperforms that of light industries in the initial stages of monetary easing, due to a rising demand for investment goods and a rise in capacity utilisation levels. This paper assesses the impact of interest rates changes on the productive structure of the economy by taking into account the effect thereof on sector earnings and ultimately share prices.
Searching threshold effects in the interest rate: An application to Turkey case
Yavuz, Nilgun Cil; Guris, Burak; Yilanci, Veli
2007-06-01
This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555-1596] allows to simultaneously consider non-stationarity and non-linearity. Our finding indicates that the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1-2006:5.
The effects of different inflation risk premiums on interest rate spreads
Berument, Hakan; Kilinc, Zubeyir; Ozlale, Umit
2004-02-01
This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty-structural uncertainty, impulse uncertainty, and steady-state inflation uncertainty-are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural and steady-state inflation uncertainties increase interest rate spreads, while the empirical evidence for the impulse uncertainty is not conclusive.
Real short-term interest rates and expected inflation: Measurement and interpretation
Nicholas Ricketts
1996-01-01
This article compares different measures of real short-term interest rates for Canada over the period from 1956 to 1995. A new measure for the expected real interest rate is constructed using a proxy for inflation expectations that is based on the properties of past inflation. The history of inflation in Canada suggests that the characteristics of inflation have changed considerably over time. Past inflation can be characterized by three different types of behaviour: an environment in which a...
THE MONETARY POLICY TRANSMISSION MECHANISM THROUGH INTEREST RATE. EMPIRICAL ANALYSIS: ROMANIA
Gabriel Bistriceanu
2008-01-01
Understanding monetary policy transmission is necessary to moentary policy projection and implementation of monetary policy in a efficient manner. I consider that interest rate monetary policy mechanism is very important because the interest rate is now the main instrument used by the majority of central banks in the world in taking monetary policy decissions and by all central banks wich have inflation targeting strategy. In this paper, I analysed monetary policy transmission mechanism throu...
Unemployment benefits extensions at the zero lower bound on nominal interest rate
Albertini, Julien; Poirier, Arthur
2014-01-01
In this paper we investigate the impact of the recent US unemployment benefits extension on the labor market dynamic when the nominal interest rate is held at the zero lower bound (ZLB). Using a New Keynesian model, our quantitative experiments suggest that, in contrast to the existing literature that ignores the liquidity trap situation, unemployment benefits expansions cause a wage and inflationary pressure which curb the increase in real interest rate and slightly reduce unemployment at th...
Interest Rates Targeting of Monetary Policy: An Open Economy SVAR Study of Malaysia
Karim, Zulkefly Abdul; Karim, Bakri Abdul
2014-01-01
This paper examines the implementation of monetary policy during the interest rates targeting in a small-open economy (i.e. Malaysia) by using an open-economy structural VAR (SVAR) study. It tests the effect of foreign shocks upon domestic macroeconomic fluctuations and monetary policy, and examines how effective monetary policy is in influencing macroeconomic variables. The results show that during interest rates targeting, monetary policy plays a significant role in affecting macroeconomics...
Porter, Nathan; Xu, TengTeng
2013-01-01
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China's gradual process of interest rate liberalization. This paper investigates the main drivers of China's interbank rates by developing a stylized theoretical model of China's interbank market and estimating an EGARCH model for 7-day interbank repo rates. Our empirical findings suggest that move...
Dual-Track Interest Rates and the Conduct of Monetary Policy in China
He, Dong; Wang, Honglin
2011-01-01
China has a dual-track interest-rate system: bank deposit and lending rates are regulated, but money and bond market rates are market-determined. At the same time, the central bank also imposes an indicative target, which may not be binding at all times, on total credit in the banking system. We develop and calibrate a theoretical model to illustrate the conduct of monetary policy within the framework of dual-track interest rates and a juxtaposition of both price- and quantity-based policy in...
Marcelo Brutti Righi
2012-05-01
Full Text Available This paper examined the expected and non-expected impacts for interest rates, exchange and inflation rates in the Brazilian market. For this purpose, was applied the ARIMA model to estimate the expected value of the first differences of these variables, under a sample of 383 weekly observations for the period from 02/03/2003 to 19/12/2007. Finally, the results indicate that only unexpected shocks in the exchange rate on stock returns were significant.
Small groups, large profits: Calculating interest rates in community-managed microfinance
Rasmussen, Ole Dahl
2012-01-01
Savings groups are a widely used strategy for women’s economic resilience – over 80% of members worldwide are women, and in the case described here, 72.5%. In these savings groups it is common to see the interest rate on savings reported as "20-30% annually". Using panel data from 204 groups...... in Malawi, I show that the right figure is likely to be at least twice this figure. For these groups, the annual return is 62%. The difference comes from sector-wide application of a non-standard interest rate calculations and unrealistic assumptions about the savings profile in the groups. As a result......, it is impossible to compare returns in savings groups with returns elsewhere. Moreover, the interest on savings is incomparable to the interest rate on loans. I argue for the use of a standardized comparable metric and suggest easy ways to implement it. Developments of new tools and standard along these lines...
The Effects of Inflation and Interest Rates on Delay Discounting in Human Behavior
Kawashima, Kentaro
2006-01-01
Interest and inflation rates may be major determinants of delay discounting, but these variables have not been controlled in past experiments because they depend on macroeconomic conditions. This study uses a computer game-like task to investigate the effects of inflation rates on people's subjective valuation of delayed rewards. During the task,…
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
C.G. de Vries (Casper); X. Wang
2015-01-01
markdownabstract__Abstract__ The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of
26 CFR 1.430(h)(2)-1 - Interest rates used to determine present value.
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Interest rates used to determine present value... rates used to determine present value. (a) In general—(1) Overview. This section provides rules relating... present value of the benefits that are included in the target normal cost and the funding target for...
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
C.G. de Vries (Casper); X. Wang
2015-01-01
markdownabstract__Abstract__ The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of auto
Analysis of effects of foreign bank entry on credit interest rate behavior in Serbia
Đukić Đorđe
2007-01-01
Full Text Available Following foreign bank entry, credit interest rates have been extremely high in Serbia compared with a reference group of countries: Croatia, Bulgaria and Romania. This is connected with monetary authorities' poor predictions regarding the behavior of those banks in setting interest rates, creating an illusion that competition, per se, would rapidly result in decreasing interest rates; as well as undertaking monetary policy measures-such as an extreme increase in the reserve requirements rate-that contributed to unchanged or increased credit interest rates. The final outcome of poor predictions and measures undertaken by the National Bank of Serbia is limited to periodical appeals by its highest officials to citizens to consider the conditions under which they borrow from banks. However, under conditions of fully inelastic demand for bank credit and a cartel presence in the banking sector, such appeals are ineffective, merely reflecting an attempt to avoid responsibility for a possible wave of bankruptcies in the household sector. Only increasing competition among banks can lead to a significant decrease in credit interest rates in Serbia in the medium term. Empirical analysis shows that competition should be most intensive on the mortgage loan market.
What factors drive interest rate spread of commercial banks? Empirical evidence from Kenya
Maureen Were
2014-12-01
Full Text Available The paper empirically investigates the determinants of interest rate spread in Kenya's banking sector based on panel data analysis. The findings show that bank-specific factors play a significant role in the determination of interest rate spreads. These include bank size, credit risk as measured by non-performing loans to total loans ratio, return on average assets and operating costs, all of which positively influence interest rate spreads. On the other hand, higher bank liquidity ratio has a negative effect on the spreads. On average, big banks have higher spreads compared to small banks. The impact of macroeconomic factors such as real economic growth is insignificant. The effect of the monetary policy rate is positive but not highly significant. The results largely reflect the structure of the banking industry, in which a few big banks control a significant share of the market.
Jørgensen, Peter Løchte
2006, and supervisory authorities in many other European countries have implemented similar regulation. Traffic light options are therefore likely to attract the attention of a wider audience of pension fund managers in the future. Focusing on the valuation of the traffic light option we set up a Black......This paper introduces, prices, and analyzes traffic light options. The traffic light option is an innovative structured OTC derivative developed independently by several London-based investment banks to suit the needs of Danish life and pension (L&P) companies, which must comply with the traffic...... light scenarios. These stress scenarios entail drops in interest rates as well as in stock prices, and traffic light options are thus designed to pay off and preserve sufficient capital when interest rates and stock prices fall simultaneously. Sweden's FSA implemented a traffic light system in January...
Jørgensen, Peter Løchte
2007-01-01
2006, and supervisory authorities in many other European countries have implemented similar regulation. Traffic light options are therefore likely to attract the attention of a wider audience of pension fund managers in the future. Focusing on the valuation of the traffic light option we set up a Black......This paper introduces, prices, and analyzes traffic light options. The traffic light option is an innovative structured OTC derivative developed independently by several London-based investment banks to suit the needs of Danish life and pension (L&P) companies, which must comply with the traffic...... light scenarios. These stress scenarios entail drops in interest rates as well as in stock prices, and traffic light options are thus designed to pay off and preserve sufficient capital when interest rates and stock prices fall simultaneously. Sweden's FSA implemented a traffic light system in January...
Interest rate transmission mechanism of monetary policy in the selected EMU candidate countries
Mirdala Rajmund
2009-01-01
Full Text Available The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech Republic, Slovak Republic and crawling peg system (Hungary, Poland were replaced by the managed floating in the Czech Republic (May 1997, Poland (April 2000, Slovak Republic (October 1998 and fixed exchange rate to euro in Hungary (January 2000 with broad band (October 2001. Higher macroeconomic and banking sector stability allowed countries from the Visegrad group to implement the monetary policy strategy based on the interest rate transmission mechanism. Continuous harmonization of the monetary policy framework (with the monetary policy of the ECB and the increasing sensitivity of the economy agents to the interest rates changes allowed the central banks from the Visegrad countries to implement monetary policy strategy based on the key interest rates determination. In the paper we analyze the impact of the central banks' monetary policy in the Visegrad countries on the selected macroeconomic variables in the period 1999-2008 implementing SVAR (structural vector autoregression approach. We expect that higher sensitivity of domestic variables to interest rates shocks can be interpreted as a convergence of monetary policies in candidate countries towards the ECB's monetary policy.
Analysis of the impact of interest rate liberation on China＇s banking sector
Jingxin Huang; Deng Ma; Jianpeng Sun
2015-01-01
Actually China has achieved the liberation of deposit and lending rates to some extent, after the start of the reform, it is expected there may not be a great impact on the banking sector in the short term, but in the long term, the interest rate liberation will undoubtedly increase the cost of capital banks, especially after deposit rates achieve the full realization of market-oriented pricing, which will have long term impact on the banking business.
Kihm, Steve [Seventhwave, Madison, WI (United States); Satchwell, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Cappers, Peter [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
2017-07-26
This technical brief identifies conditions under which utility regulators should consider implementing policy approaches that seek to mitigate negative outcomes due to an increase in interest rates. Interest rates are a key factor in determining a utility’s cost of equity and investors find value when returns exceed the cost of equity. Through historical observations of periods of rising and falling interest rates and application of a pro forma financial tool, we identify the key drivers of utility stock valuations and estimate the degree to which those valuations might be affected by increasing interest rates.3 We also analyze the efficacy of responses by utility regulators to mitigate potential negative financial impacts. We find that regulators have several possible approaches to mitigate a decline in value in an environment of increasing interest rates, though regulators must weigh the tradeoffs of improving investor value with potential increases in customer costs. Furthermore, the range of approaches reflects today’s many different electric utility regulatory models and regulatory responses to a decline in investor value will fit within state-specific models.
Non-negative matrix factorization and term structure of interest rates
Takada, Hellinton H.; Stern, Julio M.
2015-01-01
Non-Negative Matrix Factorization (NNMF) is a technique for dimensionality reduction with a wide variety of applications from text mining to identification of concentrations in chemistry. NNMF deals with non-negative data and results in non-negative factors and factor loadings. Consequently, it is a natural choice when studying the term structure of interest rates. In this paper, NNMF is applied to obtain factors from the term structure of interest rates and the procedure is compared with other very popular techniques: principal component analysis and Nelson-Siegel model. The NNMF approximation for the term structure of interest rates is better in terms of fitting. From a practitioner point of view, the NNMF factors and factor loadings obtained possess straightforward financial interpretations due to their non-negativeness.
'EMU equity markets' return variance and spill over effects from short-term interest rates
Hou, Ai Jun
2013-01-01
), stock returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to equity returns, especially to bad news. The other regime (a bull market regime) appears to be a high mean, low variance state, within which the returns have a positive...... relationship with the volatility, and the volatility is lower and more persistent. We find also that there is a significant impact of fluctuations in the short term interest rate on the conditional variance and conditional returns in the EMU countries. Such impact is asymmetrical, and it appears to be stronger...... in the bear market and when the interest rate changes upward. The results are of importance to EMU monetary policy makers stabilizing the inflation and output through the interest rate, and to financial market participants making effective investment decisions and formulating appropriate risk management...
Low interest rates - do they revise household saving motives in the Euro area?
Katarzyna Kochaniak
2016-07-01
Full Text Available This paper presents the impact of decreasing MFI interest rates on household deposits and saving goals in 12 Monetary Union member countries in the years 2009-2015. It analyses tendencies in household deposits (overnight, with agreed maturity and redeemable at notice, and attempts to link them with certain household saving motives (target, retirement and precautionary. The paper identifies those deposit categories which appeared as sensitive to declining interest rates and indicates the Eurozone countries whose populations are expected to revise their savings plans. Precise implications are drawn for target saving motives of households in Austria, Cyprus and Malta. However, in the case of two other motives, the analysis does not conclude on the impact of decreasing MFI interest rates.
Yu Hsing
2009-12-01
Full Text Available Extending the open-economy loanable funds model, this paper finds that more government deficit as a percentage of GDP does not lead to a higher government bond yield. In addition, a higher real Treasury bill rate, a higher expected inflation rate, a higher EU government bond yield, or an expected depreciation of the euro against the U.S. dollar would increase Slovenia’s long-term interest rate. The negative coefficient of the percentage change in real GDP is insignificant at the10% level. Applying the standard closed-economy or open-economy loanable funds model without including the world interest rate and the expected exchange rate, we find similar conclusions except that the positive coefficient of the ratio of the net capital inflow to GDP has a wrong sign and is insignificant at the 10% level.
Causes of Interest Rate Volatility and its Economic Implications in Nigeria
Wehnam Peter Dabale; Nelson Jagero
2013-01-01
The paper explored causes of interest rate volatility and its implications on the socio-economic development of Nigeria for the year 2000–2005 periods. Its objective had been the provision of a deeper understanding of the causes of interest rate volatility and whether this has effects on the Nigerian economy. Data for this study were mainly collected from secondary sources and have been log- linearised. An econometric model specification was then built and E-View 5.0 software was used in comp...
Interest Rates Targeting of Monetary Policy: An Open Economy SVAR Study of Malaysia
Zulkefly Abdul Karim
2014-02-01
Full Text Available This paper examines the implementation of monetary policy during the interest rates targeting in a small-open economy (i.e. Malaysia by using an open-economy structural VAR (SVAR study. It tests the effect of foreign shocks upon domestic macroeconomic fluctuations and monetary policy, and examines how effective monetary policy is in influencing macroeconomic variables. The results show that during interest rates targeting, monetary policy plays a significant role in affecting macroeconomics variables. This finding suggests that monetary policy has an important role as a stabilization policy in a small-open economy.
Interest Rate Variations and Stock Market Capitalization in Nigeria: An Empirical Analysis
Edirin Jeroh
2012-10-01
Full Text Available In most economies, variations in interest rates have become a prominent feature both in the long-run and short-run. This study thus examines by means of robust analysis, the effect of the variations in interest rates on the level of stock market capitalization in Nigeria for a period of 29 years (1981 – 2009. Data was obtained from the statistical bulletin of the Central Bank of Nigeria (CBN for the relevant years. The analysis of the data obtained was done with the Ordinary Least Square (OLS method. The results from the study showed that variations in interest rate significantly affect the level of stock market capitalization, thereby suggesting that there is a significant relationship between interest rate variation and the level of stock market capitalization in Nigeria for the period under study. Based on the above, it was recommended that the Government of Nigeria and the appropriate monetary authorities should continue to give serious attention to policies geared towards lending rate in the country, if a desired level of market capitalization must be achieved.
Interest Rate Policy Of Selected Central Banks In Central And Eastern Europe
GRABIA TOMASZ
2015-03-01
Full Text Available The aim of this article is to present and evaluate interest rate policies of three selected central banks in Central and Eastern Europe (Poland, the Czech Republic, and Hungary from 2001 to 2013. The study consists of an introduction (Section 1 and three main parts. The introduction contains a theoretical description of the role of interest rate policy, the dilemmas connected with it, as well as an analysis of the strategies and goals of monetary policies of the National Bank of Poland (NBP, the Czech National Bank (CzNB, and the National Bank of Hungary (NBH in the context of existing legal and institutional conditions. In turn, the first empirical part (Section 2 examines how the analysed central banks responded to changes in inflation, unemployment, and economic growth rates. The tools of the analysis are the nominal and real interest rates of those banks. The subsequent research part (Section 3 attempts to evaluate the degree of the contractionary nature of interest rate policies in specific countries in the context of the Taylor rule. The text ends with a summary (Section 4 encompassing concise conclusions drawn from the earlier analyses.
Interest rate, debt, distribution and capital accumulation in a post-Kaleckian model
Hein, Eckhard
2004-01-01
"The introduction of monetary variables into post-Keynesian models of distribution and growth is an ongoing process. Lavoie (1995) has proposed a Kaleckian ‘Minsky-Steindl-model’ of distribution and growth, incorporating the effects debt and debt services have on short and long run capital accumulation. This attempt, however, can be extended because neither has the rate of capacity utilisation been endogenously determined, nor have the potential effects of interest rate variations on distribu...
Chaudhuri, Sarbajit; GUPTA, Manash Ranjan
2011-01-01
This paper makes a pioneering attempt to provide a theory of determination of interest rate in the informal credit market in a small open economy in terms of a three-sector general equilibrium model. There are two informal sectors which obtain production loans from a monopolistic moneylender and employ labour from the informal labour market. On the other hand, the formal sector employs labour at an institutionally fixed wage rate and takes loans from the competitive formal credit market. We s...
Population growth, saving, interest rates and stagnation: Discussing the Eggertsson-Mehrotra model
Spahn, Peter
2016-01-01
Post Keynesian stagnation theory argues that slower population growth dampens consumption and investment. A New Keynesian OLG model derives an unemployment equilibrium due to a negative natural rate in a three-generations credit contract framework. Besides deleveraging or rising inequality, also a shrinking population is a triggering factor. In all cases, a saving surplus drives real interest rates down. In other OLG settings however, with bonds as stores of value, slower population growth, o...
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
Vries, Casper; Wang, X.
2015-01-01
markdownabstract__Abstract__ The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the risk premium becomes time varying and we can rationalize the failure of the expectations hypothesis. ...
Impact of bank competition on the interest rate pass-through in the euro area
van Leuvensteijn, M.; Kok Sørensen, C.; Bikker, J.A.; van Rixtel, A.A.R.J.M.
2008-01-01
This paper analyses the impact of loan market competition on the interest rates applied by euro area banks to loans and deposits during the 1994-2004 period, using a novel measure of competition called the Boone indicator. We find evidence that stronger competition implies significantly lower spread
Small groups, large profits: Calculating interest rates in community-managed microfinance
Rasmussen, Ole Dahl
2012-01-01
Savings groups are a widely used strategy for women’s economic resilience – over 80% of members worldwide are women, and in the case described here, 72.5%. In these savings groups it is common to see the interest rate on savings reported as "20-30% annually". Using panel data from 204 groups in M...
The zero lower bound on nominal interest rates and monetary policy effectiveness: A survey
C.A. Uilersma
2003-01-01
textabstractThis paper surveys the literature on monetary policy at the zero lower bound on nominal interest rates. Certain crucial insights regarding expectations have been neglected in recent research in this field. Taking this into account, the interactions between demand, confidence and supply s
Jansen, Pieter W.
2006-01-01
International capital market convergence reduces the ability for monetary authorities to set domestic monetary conditions. Traditionally, monetary policy transmission is channelled through the short-term interest rate. Savings and investment decisions are effected through the response of the bond yi
Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates
M.D. de Pooter (Michiel)
2007-01-01
markdownabstractThis dissertation consists of a collection of studies on two topics: stock return volatility and the term structure of interest rates. _Part A_ consists of three studies and contributes to the literature that focuses on the modeling and forecasting of financial market
Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
Osterrieder, Daniela
We propose a model for the term structure of interest rates that is a generalization of the discrete-time, Gaussian, affine yield-curve model. Compared to standard affine models, our model allows for general linear dynamics in the vector of state variables. In an application to real yields of U...
12 CFR 615.5180 - Interest rate risk management by banks-general.
2010-01-01
... § 615.5135 of this part. The program shall establish a risk management process that effectively... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rate risk management by banks-general... FISCAL AFFAIRS, LOAN POLICIES AND OPERATIONS, AND FUNDING OPERATIONS Risk Assessment and Management § 615...
Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert
2008-01-01
This dissertation bundles five studies in financial econometrics that are related to the theme of modeling the term structure of interest rates. The main contribution of this dissertation is a new arbitrage-free term structure model that is applied in an empirical analysis of the US term structure.
Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert
2008-01-01
This dissertation bundles five studies in financial econometrics that are related to the theme of modeling the term structure of interest rates. The main contribution of this dissertation is a new arbitrage-free term structure model that is applied in an empirical analysis of the US term structure.
The Impact of Government Debt Issuance on Short-Term interest rates in Indonesia
Sri Adiningsih
2009-08-01
Full Text Available This paper analyzes whether the expansionary fiscal policy funded by issuing debt instruments in financial markets will increase short-term interest rates. If the expansionary fiscal policy increases interest rates, which decrease private spending especially investment, crowding out occurs. This is interesting because global economic crisis has encouraged many countries to run large budget deficits to stimulate the economy. Indonesia has also run budget deficit during this crisis and even in years before. The impact of such a policy can be significant because Indonesia’s debt market is still narrow and shallow. Therefore, its capability of absorbing the government debt instruments without influencing the private sector funding is limited. This study tests whether the crowding out occurs in Indonesia using a time series econometric model inspired by Cebula and Cuellar’s model. The Cointegration Regression and Error Correction Model (ECM are used in this study. Monthly data from April 2000 to December 2008 are used for overnight real interbank call money interest rates, real net government bond issues in trading, real narrow money supply, real rate of one-month Certificate of Bank Indonesia, growth of Gross Domestic Product, and real net international capital flows. This empirical study shows that the crowding out problem occurred in Indonesia during the period. This indicates that financing budget deficit in Indonesia by issuing debt instruments in the financial markets has a negative impact on the private sector.
EFFECTS OF INTEREST RATE DEREGULATION ON AGRICULTURAL FINANCE AND GROWTH IN NIGERIA
Louis O. ONYISHI
2015-03-01
Full Text Available The study examined the effects of interest rate deregulation on agricultural finance and growth in Nigeria. The study specifically ascertained the factors that determine the aggregate credit volume to agriculture within the periods of regulation and deregulation in the Nigerian economy, determined the effects of government finance interventions on agricultural sector performance in the Nigerian economy, determined the periodic effects of macroeconomic financial indicators on Agriculture’s gross domestic product (GDP contribution to Nigerian economy and estimated the level of real credit growth of agricultural finance in Nigeria. Descriptive statistics, Ordinary Least Squares (OLS regression technique and chow test were used for data analysis. The chow test showed that there was a significant differential effect on the aggregate credit volume to agricultural sector between the regulated and deregulated regimes. Interest rate was an important determinant of aggregate credit volume to the agricultural sector in Nigeria, especially during the deregulated period but monetary authorities should ensure appropriate determination of interest rate level that will break the double-edge effect of interest rates on savers and investors.
Fischer, Bernhard; Mayer, Thomas
1982-01-01
This paper evaluates the impact of rising international interest rates on the South Korean economy during the seventies with the help of an econometric macro model. The results show that there was an induced reduction of investment and GDP, yet inflationary pressures were somewhat mitigated by a lowering of capital inflows.
Empirical studies on the pricing of bonds and interest rate derivatives
Driessen, J.J.A.G.
2001-01-01
Nowadays, both large financial and non-financial institutions use models for the term structure of interest rates for risk management and pricing purposes. This thesis focuses on these two important applications of term structure models. In the first part, the empirical performance of several term s
The ruin probability of a discrete time risk model under constant interest rate with heavy tails
Tang, Q.
2004-01-01
This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and co
2011-07-27
... No: 2011-18897] SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans... Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury Disaster Loans approved on or after July 22, 2011. Military Reservist Loan Program:...
Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
Konstantinos Kiriakopoulos
2014-10-01
Full Text Available In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numerical approximation scheme is presented and applied using a single factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR and Conditional Value at Risk (CVAR techniques, although very useful and easy to understand, fail to grasp the need for on-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified and controlled in every possible state of the world. We hope that this methodology contributes towards this direction.
2011-06-24
... ADMINISTRATION 12 CFR Part 703 Financial Derivatives Transactions To Offset Interest Rate Risk; Investment and... Administration (``NCUA'') requests public comments on whether and how to modify its rule on investment and deposit activities to permit a natural person credit union to engage in the purchase and sale of financial...
Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates
Marcus C. Christiansen
2013-10-01
Full Text Available In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic diffusion models with an affine drift term and additive noise. As a result, the diffusion process is Gaussian and, thus, analytically tractable, but negative values occur with positive probability. The argument is that the class of Gaussian diffusions would be a good approximation of the real future development. We challenge that reasoning and study the asymptotics of diffusion processes with affine drift and a general noise term with corresponding diffusion processes with an affine drift term and an affine noise term or additive noise. Our study helps to quantify the error that is made by approximating diffusive interest and mortality rate models with Gaussian diffusions and affine diffusions. In particular, we discuss forward interest and forward mortality rates and the error that approximations cause on the valuation of life insurance claims.
Do purchasing power parity and uncovered interest rate parity hold in the long run?
Juselius, Katarina
1995-01-01
The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the nomical...... exchange rate removes the I(2) trend from the data. A structural representation of the full cointegration space is found to facilitate the understanding of the interaction between the goods and the capital market and hence the mechanisms behind the inflationary effects transmitted from abroad...
Ramona Mariana CALINICA
2013-08-01
Full Text Available Information about possible manipulation of the overnight Robor interbank interest rates appeared in the press in late June 2012 when the British bank Barclays was fined for manipulating Libor. Suspicion of manipulation of interest rates has not spared Romania.The purpose of this paper is to provide mathematical support persons or authorities concerned in finding out whether the overnight ROBOR reference rates from October 2008 were the result of an agreement between banks or is a natural reaction to the difficult conditions prevailing at that time, and why not, decision support to establish a intervention policies when deviations of the interbank money market parameters, in relation to a specific goal, above a certain value.
Zhongyuan Geng; Xue Zhai
2015-01-01
This paper applies the Panel Smooth Transition Regression (PSTR) model to simulate the effects of the interest rate and reserve requirement ratio on bank risk in China. The results reveal the nonlinearity embedded in the interest rate, reserve requirement ratio, and bank risk nexus. Both the interest rate and reserve requirement ratio exert a positive impact on bank risk for the low regime and a negative impact for the high regime. The interest rate performs a significant effect while the res...
Zhongyuan Geng; Xue Zhai
2015-01-01
This paper applies the Panel Smooth Transition Regression (PSTR) model to simulate the effects of the interest rate and reserve requirement ratio on bank risk in China. The results reveal the nonlinearity embedded in the interest rate, reserve requirement ratio, and bank risk nexus. Both the interest rate and reserve requirement ratio exert a positive impact on bank risk for the low regime and a negative impact for the high regime. The interest rate performs a significant effect while the res...
Chan, Tze-Haw
2011-01-01
This study constructs a structural system that allows for possible interactions between the goods and capital markets for Malaysia vis-à-vis China in the liberalization era (1994: Jan to 2011: June). It encompasses the joint hypothesis of Purchasing Power (PPP) and Interest Rate Parity (IRP) conditions in the presence of I(1) exogenous variables. Advanced econometric procedures including the structural VARX, VECX*, over-identifying restrictions, bootstrapping, persistent profiles and generali...
Political independence of the South African Reserve Bank: Managing interest rates
Ewert P.J. Kleynhans
2013-02-01
Full Text Available Purpose: The purpose of this article is to determine whether the South African Reserve Bank (SARB is politically independent and able to operate without undue external influence.Problem investigated: The SARB is under increasing pressure to shift its monetary policy stance in order to boost the country’s competitiveness. Whether external demands have compromised its independence at times has been the subject of debate.Methodology: The study comprised a literature review and econometric analysis of the Bank’s independence. Movements in interest rates were used as an indicator of dependence. The analysis was between actual interest rates in South Africa over the past two decades, and a model of what interest rates should have been during this period, with reference to Taylor’s Rule. Differences between the two were assumed to expose shortcomings in the direction of South Africa’s monetary policy and therefore some degree of dependence.Findings and implications: Movement of the two sets of rates correlated, which suggests SARB independence. The findings did not reveal harmony between the levels of the two sets of rates. However, the latter correlation was not the focus of this study.Originality and value of the research: This study makes an important contribution, as few authors researched the relationship between interest rates and the SARB’s independence scientifically. The study is well timed as the SARB’s independence debate has reached concerning levels.Conclusion: The results suggest almost no level of dependence – which does not necessarily imply that the SARB is entitled to reject all external input, but rather that it can prioritise its objective of price stability over other concerns.
Mo Zhou; Joseph Buongiorno
2011-01-01
Most economic studies of forest decision making under risk assume a fixed interest rate. This paper investigated some implications of this stochastic nature of interest rates. Markov decision process (MDP) models, used previously to integrate stochastic stand growth and prices, can be extended to include variable interest rates as well. This method was applied to...
2013-01-22
... paid in cash, the debenture interest rate for purposes of calculating a claim shall be the monthly... Interest Rates AGENCY: Office of the Assistant Secretary for Housing--Federal Housing Commissioner, HUD. ACTION: Notice. SUMMARY: This notice announces changes in the interest rates to be paid on...
2012-01-27
... paid in cash, the debenture interest rate for purposes of calculating a claim shall be the monthly... Interest Rates AGENCY: Office of the Assistant Secretary for Housing--Federal Housing Commissioner, HUD. ACTION: Notice. SUMMARY: This notice announces changes in the interest rates to be paid on...
2011-01-24
... paid in cash, the debenture interest rate for purposes of calculating a claim shall be the monthly... Interest Rates AGENCY: Office of the Assistant Secretary for Housing--Federal Housing Commissioner, HUD. ACTION: Notice. SUMMARY: This notice announces changes in the interest rates to be paid on...
INTEREST RATE REGIME AND THE PERFORMANCE OF THE NIGERIAN CAPITAL MARKET
Edirin Jeroh
2016-02-01
Full Text Available This study x-ray’s the interest rates regime in Nigeria as it affects the performance of the Nigerian Capital Market. In order to achieve this objective, relevant data for a period of 33 years spanning from 1981 – 2013 were obtained from the Factbook of the Nigerian Stock Exchange, CBN Statistical Bulletin as well as the annual accounts of quoted firms for the relevant years. The data obtained were analysed with the Ordinary Least Square (OLS technique. The result from our analysis reveal among others that changes in interest rate regimes have majorly influenced the level of the performance of the Nigerian Capital Market. Based on the above, we recommend that capital market regulators and other regulatory agencies should keep an eye on movements in interest rates and the Minimum Rediscount Rate (MRR (now MPR and watch their trend. We also recommend that efforts must be put in place to establish a policy review and reassessment mechanism that would help in assessing the impact of selected policy measures on the economy so that policy makers would know the effectiveness and efficiency of designed policies and be guided in the policy review and development process in the country.
Optional time-of-use prices for electricity: Analysis of PG E's experimental TOU rates
Train, K.; Mehrez, G.
1992-07-01
We examine customers' time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer's demand curves determine the customer's choice of rate schedule. We estimate the model on data from Pacific Gas Electric Company's experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility's revenues and costs. The analysis suggests that the TOU rates offered under PG E's experiment decreased PG E's profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
Optional time-of-use prices for electricity: Analysis of PG&E`s experimental TOU rates. Final report
Train, K.; Mehrez, G.
1992-07-01
We examine customers` time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer`s demand curves determine the customer`s choice of rate schedule. We estimate the model on data from Pacific Gas & Electric Company`s experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility`s revenues and costs. The analysis suggests that the TOU rates offered under PG&E`s experiment decreased PG&E`s profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
MACROECONOMIC AND MARKET DETERMINANTS OF INTEREST RATE SPREAD: EVIDENCE FROM ALBANIA
Brunilda NELI
2015-12-01
Full Text Available The banking system, as the most important component of the financial system in Albania, plays a crucial role in economic development. Measuring the efficiency of the intermediation system requires special attention because of its implications on the level of investments, savings, resource allocation etc. The most common indicator for the efficiency of the banking system is the cost of intermediation, measured by the spread of interest rates (the difference between the average lending rate and the average deposit rate. The study aims to analyze the trend of interest rate spread (IRS in Albania for the period 2005-2014 based on a comparative analysis with other countries and to identify the factors with significant impact on the level of IRS in the local currency. It is based on the empirical analysis of several macroeconomic and market factors that determine IRS, used in previous studies in this field, but also incorporating other elements that are associated with the characteristics of the Albanian system. Albania has experienced high IRS during the last decade, with large fluctuations, especially in the local currency. The results of the study based on quarterly panel data for the period 2005-2014 show that IRS in Albania is negatively affected by the level of development of the banking sector and the discount rate, while inflation, deficit rate and monetary supply put positive pressure on this indicator.
APPLICATION OF ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM IN INTEREST RATES EFFECTS ON STOCK RETURNS
ELEFTHERIOS GIOVANIS
2011-02-01
Full Text Available In the current study we examine the effects of interest rate changes on common stock returns of Greek banking sector. We examine theGeneralized Autoregressive Heteroskedasticity (GARCH process and an Adaptive Neuro-Fuzzy Inference System (ANFIS. The conclusions of our findings are that the changes of interest rates, based on GARCH model, are insignificant on common stock returns during the period we examine. On the other hand, with ANFIS we can get the rules and in each case we can have positive or negative effects depending on the conditions and the firing rules of inputs, which information is not possible to be retrieved with the traditional econometric modelling. Furthermore we examine the forecasting performance of both models and we conclude that ANFIS outperforms GARCH model in both in-sample and out-of-sample periods.
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation
Pedro L. Valls Pereira
2005-06-01
Full Text Available This article deals with a model for the term structure of interest rates and the valuation of derivative contracts directly dependent on it. The work is of a theoretical nature and deals, exclusively, with continuous time models, making ample use of stochastic calculus results and presents original contributions that we consider relevant to the development of the fixed income market modeling. We develop a new multifactorial model of the term structure of interest rates. The model is based on the decomposition of the yield curve into the factors level, slope, curvature, and the treatment of their collective dynamics. We show that this model may be applied to serve various objectives: analysis of bond price dynamics, valuation of derivative contracts and also market risk management and formulation of operational strategies which is presented in another article.
Chubing Zhang
2013-01-01
Full Text Available We study the optimal investment strategies of DC pension, with the stochastic interest rate (including the CIR model and the Vasicek model and stochastic salary. In our model, the plan member is allowed to invest in a risk-free asset, a zero-coupon bond, and a single risky asset. By applying the Hamilton-Jacobi-Bellman equation, Legendre transform, and dual theory, we find the explicit solutions for the CRRA and CARA utility functions, respectively.
Zero nominal interest rates, unemployment, excess reserves and deflation in a liquidity trap
Murota, Ryu-ichiro; ONO, Yoshiyasu
2009-01-01
We present a dynamic and monetary model that consistently explains such various phenomena as unemployment, deflation, zero nominal interest rates and excess reserves held by commercial banks. These phenomena are commonly observed during the Great Depression in the United States, the recent long-run stagnation in Japan, and the worldwide financial crisis triggered by the US subprime loan problem of 2008. We show that an excessive liquidity preference leads to a liquidity trap and thereby gener...
Money and Interest Rates in the United States during the Great Depression
Peter F. Basile; John Landon-Lane; Hugh Rockoff
2010-01-01
This paper reexamines the debate over whether the United States fell into a liquidity trap in the 1930s. We first review the literature on the liquidity trap focusing on Keynes's discussion of "absolute liquidity preference" and the division that soon emerged between Keynes, who believed that a liquidity trap had not been reached, and the American Keynesians who believed that the United States had fallen into a liquidity trap. We then explore several interest rates that have been neglected in...
Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a
Esther Fernández Galar; Javier Gómez Biscarri
2003-01-01
In this paper we examine the power of the interest rate spread and of other financial variables as predictors of economic recessions in Spain. The domestic term spread is found to have little information about future real activity. However, term spreads in big economies to which Spain is related, specifically Germany and the US, are found to have significant predicting power but at different time horizons. Both these findings are in line with the facts that the monetary policy of Spain has no...
Long-Term Behaviors of Stochastic Interest Rate Models with Jumps and Memory
Bao, Jianhai
2011-01-01
In this paper we show the convergence of the long-term return $t^{-\\mu}\\int_0^tX(s)\\d s$ for some $\\mu\\geq1$, where $X$ is the short-term interest rate which follows an extension of Cox-Ingersoll-Ross type model with jumps and memory, and, as an application, we also investigate the corresponding behavior of two-factor Cox-Ingersoll-Ross model with jumps and memory
The Discretization Bias for Processes of the Short-Term Interest Rate : An Empirical Analysis
1995-01-01
This paper compares difference continuous-time specifications for the short-term interest rate dynamics on five European markets. We propose a general specification which encompasses nine well-known processes of the financial literature. A classical estimation of the parameters leads us to the choice of simple models like the Ornstein-Uhlenbeck process of Vasicek (1977) or the “Square Root” process of Cox, Ingersoll and Ross (1985). Then we focus on the discretization bias and a methodology t...
Measurement of reaction rates of interest in stellar structure and evolution
Terrasi, F.; D`Onofrio, A. [Dipt. di Scienze Ambientali, Seconda Univ. di Napoli, Caserta (Italy)]|[INFN, Napoli (Italy); Campajola, L.; Imbriani, G. [INFN, Napoli (Italy)]|[Dipt. di Scienze Fisiche, Univ. Federico II, Napoli (Italy); Gialanella, L. [INFN, Napoli (Italy)]|[Dipt. di Scienze Fisiche, Univ. Federico II, Napoli (Italy)]|[Inst. fuer Experimentalphysik III, Ruhr-Univ. Bochum, Bochum (Germany); Greife, U.; Rolfs, C.; Strieder, F.; Trautvetter, H.P. [Inst. fuer Experimentalphysik III, Ruhr-Univ. Bochum, Bochum (Germany); Roca, V.; Romano, M. [INFN, Napoli (Italy)]|[Dipt. di Scienze Fisiche, Univ. Federico II, Napoli (Italy); Straniero, O. [Osservatorio Astronomico di Collurania, Teramo (Italy)
1998-06-01
Accurate determinations of reaction rates at astrophysical energies are very important in stellar structure and evolution studies. The cases of two key reactions, namely {sup 7}Be(p,{gamma}){sup 8}B and {sup 12}C({alpha},{gamma}){sup 16}O are discussed, both from the point of view of their astrophysical interest and of the experimental difficulties in the measurement of their cross section. (orig.)
The impact of the recent financial crisis on bank loan interest rates and guarantees.
Calcagnini, Giorgio; Farabullini, Fabio; Giombini, Germana
2012-01-01
The paper analyzes the role of guarantees on loan interest rates before and during the recent financial crisis in Italian firm financing. The paper improves on existing literature by distinguishing between real and personal guarantees. Further, the paper investigates the potential different role of guarantees in the bank-borrower relationship during the recent financial crisis. This paper draws from individual Italian bank and firm data taken from the Banks’ Supervisory Reports to the Bank...
Gilani, S N S
2012-01-31
BACKGROUND: Treatment of pilonidal sinus disease is controversial. Many claim policy of marsupialisation and healing by secondary intention. This is demanding in terms of nursing care and time lost from work. AIMS: To examine outcome of excision and primary closure of chronic pilonidal disease on recurrence rate and patient\\'s daily activities. PATIENTS AND METHODS: One hundred and fourteen consecutive elective patients who had excision and primary closure of pilonidal sinus disease were reviewed. The demographic data and the post-operative outcome were studied. RESULTS: The recurrence of pilonidal sinus was noted in 9% of patients, wound breakdown occasioning delayed healing in 9%, patients able to drive by day 16 on average. The mean time to return to work was 20.5 days; duration of analgesia, 2.4 days; and duration of antibiotic treatment, 4.7 days. CONCLUSION: Excision and primary closure of chronic pilonidal sinus has low recurrence rate with early return to activities. Primary closure appears to be a cost-effective option for uncomplicated pilonidal sinus disease.
Interest rate prediction: a neuro-hybrid approach with data preprocessing
Mehdiyev, Nijat; Enke, David
2014-07-01
The following research implements a differential evolution-based fuzzy-type clustering method with a fuzzy inference neural network after input preprocessing with regression analysis in order to predict future interest rates, particularly 3-month T-bill rates. The empirical results of the proposed model is compared against nonparametric models, such as locally weighted regression and least squares support vector machines, along with two linear benchmark models, the autoregressive model and the random walk model. The root mean square error is reported for comparison.
Bank Efficiency and Interest Rate Pass-Through:Evidence from Czech Loan Products
Havránek, Tomáš; Havránková, Zuzana; Lešanovská, Jitka
2015-01-01
An important component of monetary policy transmission is the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. Yet the available evidence on the strength and speed of the pass-through is mixed and varies across countries, time periods, and even individual banks. We examine the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determin...
Estimating Interest Rate Setting Behavior in Brazil: A LSTR Model Approach
Yosra Baaziz
2015-04-01
Full Text Available Given limited research on monetary policy rules in emerging markets, this paper challenges the applicability of a nonlinear Taylor rule in characterizing the monetary policy behavior of the Brazilian Central Bank. It also investigates whether and how the process of setting interest rates has been developed in response to contingencies and special events. We extend the linear Taylor rule to a regime-switching framework, where the transition from one regime to another occurs in a smooth way, using a Logistic Smooth Transition Regression (LSTR approach. In this sense, we empirically analyze the movement of the nominal short term interest rate of the Brazilian Central Bank using quarterly data, covering the period 1994.Q4–2012.Q2. We find that the nonlinear Taylor rule provides a better description of the Brazilian interest rate setting and is consistent with historical macroeconomic events. In particular, our results show that adopting a nonlinear specification, instead of the linear, leads to a costs reduction in terms of ﬁt: 190 basis points in 1995 and 140 basis points in the mid-2002 presidential election campaign in Brazil. Moreover, the Brazilian monetary policy exhibits nonlinear patterns that better captures special events and may contain relevant information rendering it applicable to unusual conditions, i.e., a financial crisis, which require disconnection from the automatic pilot rule and use of judgement to make decision.
Population growth, interest rate, and housing tax in the transitional China
He, Ling-Yun; Wen, Xing-Chun
2017-03-01
This paper combines and develops the models in Lastrapes (2002) and Mankiw and Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow) tax reduces the housing price fluctuations caused by interest rate or population growth shocks. Simulation results imply that the choice of housing tax tools depends on the kind of shock that housing market faces. In the situation where the housing price volatility is caused by the population growth shock, the flow tax can reduce the volatility of housing price while the stock tax makes no difference to it. If the shock is resulting from the interest rate, the policy maker should not impose any kind of the housing taxes. Furthermore, the effect of one kind of the housing tax can be strengthened by that of the other type of housing tax.
Widyawan, A.; Pasaribu, U. S.; Henintyas, Permana, D.
2015-12-01
Nowadays some firms, including insurer firms, think that customer-centric services are better than product-centric ones in terms of marketing. Insurance firms will try to attract as many new customer as possible while maintaining existing customer. This causes the Customer Lifetime Value (CLV) becomes a very important thing. CLV are able to put customer into different segments and calculate the present value of a firm's relationship with its customer. Insurance customer will depend on the last service he or she can get. So if the service is bad now, then customer will not renew his contract though the service is very good at an erlier time. Because of this situation one suitable mathematical model for modeling customer's relationships and calculating their lifetime value is Markov Chain. In addition, the advantages of using Markov Chain Modeling is its high degree of flexibility. In 2000, Pfeifer and Carraway states that Markov Chain Modeling can be used for customer retention situation. In this situation, Markov Chain Modeling requires only two states, which are present customer and former ones. This paper calculates customer lifetime value in an insurance firm with two distinctive interest rates; the constant interest rate and uniform distribution of interest rates. The result shows that loyal customer and the customer who increase their contract value have the highest CLV.
Okike, Kanu; Kocher, Mininder S; Torpey, Jennifer L; Nwachukwu, Benedict U; Mehlman, Charles T; Bhandari, Mohit
2011-03-01
To identify the scientific and nonscientific factors associated with rates of citation in the orthopedic literature. All original clinical articles published in three general orthopedics journals between July 2002 and December 2003 were reviewed. Information was collected on variables plausibly related to rates of citation, including scientific and nonscientific factors. The number of citations at 5 years was ascertained and linear regression was used to identify factors associated with rates of citation. In the multivariate analysis, factors associated with increased rates of citation at 5 years were high level of evidence (22.2 citations for level I or II vs. 10.8 citations for level III or IV; P=0.0001), large sample size (18.8 citations for sample size of 100 or more vs. 7.9 citations for sample size of 25 or fewer; Pinterest disclosure involving a nonprofit organization (17.4 citations for nonprofit disclosure vs. 10.6 citations for no disclosure; P=0.027), and self-reported conflict of interest disclosure involving a for-profit company (26.1 citations for for-profit disclosure vs. 10.6 citations for no disclosure; P=0.011). High level of evidence, large sample size, representation from multiple institutions, and conflict of interest disclosure are associated with higher rates of citation in orthopedics. Copyright Â© 2011 Elsevier Inc. All rights reserved.
Delgado-López, Pedro David; Rodríguez-Salazar, Antonio; Martín-Alonso, Javier; Martín-Velasco, Vicente
Indication for surgery in lumbar disc herniation (LDH) varies widely depending on the geographical area. A literature review is presented on the natural history, role of physical examination, timing of surgery, evidence-based treatment, and conflicts of interests in LDH. Surgery is shown to provide significant faster relief of pain compared to conservative therapy, although the effect fades after a year. There is no treatment modality better than the rest in terms of pain control and neurological recovery, nor is there a surgical technique clearly superior to simple discectomy. The lack of sound scientific evidence on the surgical indication may contribute to its great geographical variability. Since LDH has a favourable natural history, neuroimaging and surgery should not be considered until after a 6-week period. It is necessary to specify and respect the surgical indications for LDH, avoiding conflicts of interests. Copyright © 2016 Sociedad Española de Neurocirugía. Publicado por Elsevier España, S.L.U. All rights reserved.
Tenopir, Carol
1998-01-01
Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…
A panel-data analysis of interest rates and dollarization in Brazil
Edmar L. Bacha
2009-12-01
Full Text Available We investigate the role of financial dollarization and systemic risks in the determination of real interest rates in Brazil. In a simple currency-choice portfolio model, we show that a strategy of reducing dollarization, if it fails to address fundamental macroeconomic risks, leads to higher domestic real interest rates. We confirm this prediction in an empirical panel-based model, involving systemic risk variables, but find that the effect is small after controlling for the risks of dilution and default. We apply our empirical estimates to the case of Brazil - a natural case study given its low degree of financial dollarization and very high real interest rates. The estimated model is unable to explain the high interest rate levels in the aftermath of Brazil's 1994 inflation stabilization. However, since the adoption in 1999 of inflation targeting and floating exchange rates, Brazil's real interest rates are found to be gradually converging to the model's predicted values. The estimation also shows that further reductions in Brazil's real interest rates could be achieved through sound fundamentals that led to investment-grade status rather than financial dollarization.Analisamos o papel da dolarização financeira e do risco sistêmico na determinação da taxa real de juros no Brasil. Em um modelo simples de portfólio, nós mostramos que a estratégia de reduzir a dolarização da economia, se ainda persistirem riscos macroeconômicos, leva a uma maior taxa real de juros doméstica. Nós confirmamos essa assertiva a partir de um modelo em painel, envolvendo variáveis de risco sistêmico; contudo, os efeitos são pequenos quando controlados por riscos de inflação e de default. Em seguida, aplicamos nossas estimações para o caso do Brasil - um caso natural dado seu baixo nível de dolarização financeira e altas taxas reais de juros. O modelo estimado é incapaz de explicar os elevados níveis de taxas de juros no Brasil após a
Akram Javanbakht
2013-05-01
Full Text Available Interest rate plays an important role on financial market in any different sectors from real state to auto industry. An increase on interest rates will increase cost of borrowing money from banks, which reduces profitability. The proposed study of this paper investigates the relationship between bank interest rates on performance of stock exchange over the period 2001-2010. The proposed study categorizes interest rates into five different categories including short-term interest rate, special short-term rate, one-year, two-year, three-year, four-year and five-year terms. The results of performing regression analysis have confirmed that there are some positive and meaningful relationship between interest rate in all groups and performance of stock exchange.
Current treatment options and response rates in children with chronic hepatitis C
Stefan Wirth
2012-01-01
Vertical transmission has become the most common mode of transmission of hepatitis C virus (HCV) in children. The rate of perinatal transmission from an HCVinfected mother to her child ranges from 2% to 5% and the prevalence of HCV in children in developed countries ranges between 0.1% and 0.4%. Spontaneous viral clearance seems to be dependent on the genotype and has been reported between 2.4%-25%. For chronically infected patients, treatment with recombinant polyethylene glycol (PEG)-interferon α-2b and daily ribavirin has now been approved as standard treatment for children 2-17 years of age. In five large prospective studies, a total of 318 children and adolescents aged 3-17 years were treated either with subcutaneous PEG-interferon α-2b at a dose of 1-1.5 μg/kg or 60 μg/m2 once a week in combination with oral ribavirin (15 mg/kg per day) or PEG-interferon α-2a with ribavirin. Subjects with genotype 1 and 4 received the medication for 48 wk and individuals with genotype 2 and 3 mainly for 24 wk. Overall sustained viral response (SVR) was achieved in 193/318 (60.7%) of treated patients. Stratified for genotype; 120/234 (51%) with genotype 1, 68/73 (93%) with genotype 2/3, and 6/11 (55%) with genotype 4 showed SVR. Relapse rate was between 7.7% and 17%. Overall, treatment was well tolerated; however,notable side effects were present in approximately 20%. According to recent experiences in the treatment of chronic hepatitis C in children and adolescents, a combination of PEG-interferon α with ribavirin has been found to be well tolerated and highly efficacious, particularly in individuals with genotype 2/3. Thus, this treatment can be recommended as standard of care until more effective treatment options will become available for genotype 1 patients.
The legality of unilateral increase of interest rate in banking loan contracts under Serbian law
Dudaš Atila I.
2016-01-01
Full Text Available The economic crisis spread in 2008 through the world and reached Serbia, rendered the repayment of banking loans indexed in foreign currencies, mostly in CHF at the time, even more difficult. The growing number of non-performing loans inevitably led to an increase in number of the court proceedings in which the debtors made attempts to have the loan contracts declared null and void. In these proceedings, the courts needed to take a stand on some typical clauses in loan contracts and on some banking practices that the debtors considered to be contrary to the principle of good faith, which, before the crisis, was hardly ever given judicial epilogue. In the majority of cases, two types of clauses proved to be unlawful: a clause establishing a right of the bank to subsequently, i.e. after the formation of the contract, and unilaterally, i.e. without a specific consent of the debtor, change (regularly increase the interest rate for the remainder of the credit period; and a clause establishing the right of the bank to apply different exchange rates, i.e. the buying rate to the disbursement of the loan, and the selling rate to the value of credit installments. These clauses certainly existed even before the crisis, but the difficulties in performing the loans caused by the crisis was the social propelling force that brought these cases within the sight of the judiciary. In this paper the author analyzes the reaction of courts, and subsequently that of the legislator, to the clause in loan contracts entitling the bank to unilaterally increase the variable interest rate after the formation of contract. The application of this clause was usually conditioned on significant changes in international financial markets or changes in the costs of the sources of financing, while in some cases the conditions of the application of the clause were simply changes in the business policy of the bank or the need to operate with profit. In any case, these are
A preventive maintenance and minimal repair costs model with interest rate
Lewaherilla, Norisca; Pasaribu, Udjianna S.; Husniah, Hennie; Supriantna, Asep K.
2016-02-01
This paper deals with minimal repair and sequential imperfect preventive maintenance (imperfect PM) for a fishing vessel. Failure that occur at random times rectified by minimal repair, result minimal repair cost. We add the downtime cost to modify the cost model previously discussed by Jiang and Murthy (2008). That cost is intended as a cost of losses when the vessel is being repaired. Because of the time value of money, each cost should be subject to interest rate. The performance measure is the minimization of the expected total maintenance cost during a certain period. The decision variables are the number of imperfect PM and the level of preventive actions. We assume the distribution of first failure rate is Weibull and follows a nonhomogeneous Poisson process (NHPP). We give the comparison of maintenance costs between the cost resulting from our model and that from the previous model. The previous model is nested in our model and the result shows that in our model a higher interest rate will increase the maintenance cost.
雷耀斌; 吴让泉
2001-01-01
We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of Ra, and in the presence of a higher interest rate for borrowing. The setting is that of a continuous-time, Ito process model for the underlying asset prices. The solution of the unconstrained problem is given. In addition to the original constrained optimization problem, a so-called combined dual problem is introduced. Finally, the existence question of optimal processes for both the dual and the primal problem is settled.
Finite Time Ruin Probability with Variable Interest Rate and Extended Regular Variation
WEI Xiao; HU Yi-jun
2004-01-01
Consider an insurance risk model, in which the surplus process satisfies a recursive equation Un=Un-1(1+rn)-Xn for n≥ 1, where U0=x≥0 is the initial surplus, {rn;n≥1} the interest rate sequence, {Xn;n≥1} the sequence of i.i.d. real-valued random variables with common distribution function F, which denotes the gross loss during the nth year. We investigate the ruin probability within a finite time horizon and give the asymptotic result as x→∞.
The Credit-Risk Decision Mechanism on Fixed Loan Interest Rate with Imperfect Information
无
2001-01-01
In this paper, decision mechanism of credit-risk for banks is studied when the loan interest rate is fixed with asymmetry information in credit market. We give out the designs of rationing and non-rationing on credit risky decision mechanism when collateral value provided by an entrepreneur is not less than the minimum demands of the bank. It shows that under the action of the mechanism, banks could efficiently identify the risk size of the project. Finally, the condition of the project investigation of bank is given over again.
The coming US interest rate tightening cycle: Smooth sailing or stormy waters?
Arteta, Carlos Ó.; Kose, M. Ayhan; Ohnsorge, Franziska; Stocker, Marc
2015-01-01
The U.S. Federal Reserve (Fed) is expected to start raising policy interest rates in the near term and thus commence a tightening cycle for the first time in nearly a decade. The taper tantrum episode of May-June 2013 is a reminder that even a long anticipated change in Fed policies can trigger substantial financial market volatility in Emerging and Frontier Market Economies (EFEs). This paper provides a comprehensive analysis of the potential implications of the Fed tightening cycle for EFEs...
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
Rincón-Zapatero, Juan Pablo; Josa-Fombellida, Ricardo
2008-01-01
In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the paramete...
2012-07-20
... adjusted to a constant maturity of 10 years. FOR FURTHER INFORMATION CONTACT: Yong Sun, Department of... issued pursuant to section 221(g)(4) of the Act) will bear interest at the rate in effect on the date the... interest rate will be the rate borne by debentures issued with respect to any insured loan or...
2011-08-04
... adjusted to a constant maturity of 10 years. FOR FURTHER INFORMATION CONTACT: Yong Sun, Department of... issued pursuant to section 221(g)(4) of the Act) will bear interest at the rate in effect on the date the... interest rate will be the rate borne by debentures issued with respect to any insured loan or...
Seyyed Aqil Hoseiny
2013-08-01
Full Text Available In the Bewley models, the endowment is faced to idiosyncratic risks. But contingent claims markets is restricted or completely excluded by assumption and so households couldn’t insure themselves against these risks. Consequently, households will have strong motive to precautionary saving for self-insurance. Households’ only option is to “self-insure” by managing a stock of a single asset to buffer their consumption against adverse shocks. The bewley models differ mainly with respect to the particular asset that is the instrument for self-insurance: fiat currency, credit (such as IOU's, bank deposits, government bonds and so on or capital. In these models if the interest rate would be equal to the rate of the time preference then asset and consumption diverge to infinity and so monetary equilibrium doesn't exist. Therefore these models conclude that the use of Friedman rule can be misleading in an incomplete market setup. Therefore these models reduce the interest rate so that asset and consumption converge and consequently the monetary equilibrium exists.In this paper we extend the bewley models and construct a heterogeneous model with idiosyncratic risks and borrowing constraint where agents hold money and bearing interest assets as government bonds for precautionary motives and self-insurance. We show that the consequences of bewley models in this condition are still true: There should be the interest rate lower than time preference to insure the existence of monetary equilibrium. With sufficient uncertainty in the income and interest rate sequences, consumption will grow without bound even if the rate of interest is equal to or greater than the discount rate.
Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate
José Carlos Nogueira Cavalcante Filho
2015-01-01
Full Text Available In order to capture the informational effect of the Brazilian short-term interest rate (SELIC rate by Poisson jumps, we build on the tests condu cted by Das (2002 and Johannes (2004, which show the significance of such structures for U.S. Federal Open Market Committee (FOMC announcements. As in the above researches, w e have found evidence that a relevant amount of the short-term volatility in the fixed in come market is captured by introducing jumps on the stochastic process of the short-term r ate. This structure also allows the verification of the information content of specific events, such as Brazilian monetary policy authority (COPOM meetings and public bond auctions.
WORLD OIL PRICE IMPACT ON INTEREST RATE AND UNEMPLOYMENT: EVIDENCE FROM EURO
Husnirokhim N Alim
2014-03-01
Full Text Available Tingginya harga minyak dunia telah dipercaya sebagai faktor yang mempengaruhi aktifitas ekonomi dan kebijakan makroekonomi. Penelitian ini bertujuan untuk menganalisis hubungan antara harga minyak dan kebijakan makroekonomi dengan menganalisis dampak harga minyak pada tingkat bunga riil dan pengangguran. Studi ini menguji hubungan tersebut di negara-negara Eropa dengan menggunakan data tahunan mulai tahun 1970- 2009 dengan database AWM. Inovasi dan tingginya harga minta akan mempengaruhi suku bunga riil dan pengangguran mulai dari periode awal dan berakhir dalam jangka waktu yang lama. Notable increases in the world price of oil have been generally recognized implies economic activities and macroeconomic policies. This paper tries to analyze the oil price and macroeconomic policy relationship by means of analyzing the impact of oil prices on real interest rate and unemployment. This paper tests these relationships in Europe Area Countries using annual data from 1970 to 2009 by using AWM database. Innovation or shock in world price of oil will affect the real interest rate and unemployment from initial period and fade away in very long time horizon.
Zhongyuan Geng
2015-01-01
Full Text Available This paper applies the Panel Smooth Transition Regression (PSTR model to simulate the effects of the interest rate and reserve requirement ratio on bank risk in China. The results reveal the nonlinearity embedded in the interest rate, reserve requirement ratio, and bank risk nexus. Both the interest rate and reserve requirement ratio exert a positive impact on bank risk for the low regime and a negative impact for the high regime. The interest rate performs a significant effect while the reserve requirement ratio shows an insignificant effect on bank risk on a statistical basis for both the high and low regimes.
Haulica Dana
2015-07-01
Full Text Available This paper is part of a larger research that aims to analyze the deviation between the Real Exchange Rate and the Equilibrium Exchange Rate in Romania (EUR/RON currency and to come up with conclusions regarding this deviation and with solutions to minimize it, if the case. Because this is the most important discussion after having the empirical results: what do emergent markets like Romania need to do to keep up with the EU trend? Which are the concessions they have to make in order to maintain a sustainable growth? Do these concessions include breaking the present equilibrium for a future BETTER? Starting with the most well-known methods to calculate the Equilibrium Exchange Rate, this article`s purpose is to create an accurate overview on the UIP model in Romania (the interest rate differential, to verify, using the latest data if the economic environment has brought any changes on the results of this model in the latest years. Is the UIP model a trustworthy equation to establish the Equilibrium Exchange Rate? In order to verify if the UIP model was more reliable in returning a value for the Equilibrium Exchange rate in the latest years on the Romanian market, this paper presents an empirical study containing recent compiled data from the last 10 years, analyzing the 2005 – 2014 period. The NEW in this article is that the used data is very fresh, currently, most probably the only study that verifies the UIP model in Romania for this specific period of time. Why is it useful? Why is it important? Because it doesn`t only bring a confirmation of weather the UIP works for Romania or not but comes up with hints and conclusions regarding the current economic situation of Romania. We can see what has been changed in the local market in the last ten years in terms of monetary policy and what has this change brought with it – if the results are those expected or not and also, what would be the direction for the next years – to most suitable
Jørgensen, Peter Løchte
This paper introduces, prices, and analyzes traffic light options. The traffic light option is an innovative structured OTC derivative developed independently by several London-based investment banks to suit the needs of Danish life and pension (L&P) companies, which must comply with the traffic...... light solvency stress test system introduced by the Danish Financial Supervisory Authority (DFSA) in June 2001. This monitoring system requires L&P companies to submit regular reports documenting the sensitivity of the companies' base capital to certain pre-defined market shocks - the red and yellow...... light scenarios. These stress scenarios entail drops in interest rates as well as in stock prices, and traffic light options are thus designed to pay off and preserve sufficient capital when interest rates and stock prices fall simultaneously. Sweden's FSA implemented a traffic light system in January...
Sushmita Choudhury
2006-01-01
.... If there is anybody smiling through all this it is the fixed rate borrowers. They don't have to worry about rising interest rates because everything in their loan is fixed-the interest rate, the EMI and the term...
Lukman Hakim
2016-06-01
Full Text Available The relationship of the financial deepening to the interest rate has become an important study for the Southeast Asia countries, especially preparation for entering the ASEAN Economic Community (AEC in 2015. This study will explore the effect of interest rates on deposits and credit to the financial deepening in ASEAN 5. By using VECM showed that Indonesia, the Philippines and Singapore possessed a similar pattern where lending rates negatively affect financial deepening, while the deposit rate positive effect. In contrast to Malaysia and Thailand, deposit rates had a negative impact on financial depth, while the loan interest rate was positive. Meanwhile, using panel data for the ASEAN 5 showed that the effect of interest rates on loans to the depth of the financial sector is negative, whereas the effect of deposit rate was positive
Bahram Fathi
2011-08-01
Full Text Available In this research the effect of variation of interest rate of each energy source on optimal results are investigated. This study presents an optimized design of Hybrid Power System in a distribution system including sources like, photovoltaic array, fuel cell and battery bank. In this study, an algorithm has been developed for evaluation and cost optimization Hybrid Power System. The costs include capital cost, replacement cost, operation and maintenance cost, fuel cost and production cost for Hybrid Power System and DG power during different load profile. Then an objective function with aim to minimizing of total costs has been considered. A genetic algorithm approach is employed to obtain the best cost value of Hybrid Power System construction.
A permutation information theory tour through different interest rate maturities: the Libor case.
Bariviera, Aurelio Fernández; Guercio, María Belén; Martinez, Lisana B; Rosso, Osvaldo A
2015-12-13
This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001-2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006-2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument. © 2015 The Author(s).
Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies
Jin Zhu LI; Rong WU
2012-01-01
In this paper,we study the upper bounds for ruin probabilities of an insurance company which invests its wealth in a stock and a bond.We assume that the interest rate of the bond is stochastic and it is described by a Cox-Ingersoll-Ross (CIR) model.For the stock price process,we consider both the case of constant volatility (driven by an O-U process) and the case of stochastic volatility (driven by a CIR model).In each case,under certain conditions,we obtain the minimal upper bound for ruin probability as well as the corresponding optimal investment strategy by a pure probabilistic method.
A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives with Target Redemption Features
Christara, Christina C.; Minh Dang, Duy; Jackson, Kenneth R.; Lakhany, Asif
2010-09-01
We propose a general framework for efficient pricing via a partial differential equation (PDE) approach for exotic cross-currency interest rate (IR) derivatives, with strong emphasis on long-dated foreign exchange (FX) IR hybrids, namely Power Reverse Dual Currency (PRDC) swaps with a FX Target Redemption (FX-TARN) provision. The FX-TARN provision provides a cap on the FX-linked PRDC coupon amounts, and once the accumulated coupon amount reaches this cap, the underlying PRDC swap terminates. Our PDE pricing framework is based on an auxiliary state variable to keep track of the total accumulated PRDC coupon amount. Finite differences on uniform grids and the Alternating Direction Implicit (ADI) method are used for the spatial and time discretizations, respectively, of the model-dependent PDE corresponding to each discretized value of the auxiliary variable. Numerical examples illustrating the convergence properties of the numerical methods are provided.
The Influence of the Active Rate of Interest over the Financing Decision of the Enterprise
Irena Munteanu
2008-06-01
Full Text Available The elaboration of some coherent strategies of development of the long term firms requires the existence of material resources which ensures, besides other necessary competences, the development and the pereniality of the firm. The enterprise has multiple choices of financing its activities: the credit lines, the treasury lines, the discount of the commerce effects, factoring, and leasing and investment credits. Tasking into account the Romanian market, one notices that the most important financing source at which the enterprises appeal to is represented by the nongovernmental credits. The main purpose of the article is to determine how the modification of the rate of interest can influence the structure of the capital and which are the particularities of this dependency for the Romanian market.
Government debt-interest rate nexus in G7 countries over a long horizon
Malešević-Perović Lena
2016-01-01
Full Text Available The goal of this paper is to investigate the influence of government fiscal positions on long-term interest rates in G7 countries during the period 1948-2012. Our results suggest that a one percentage point increase in the stock of government debt in GDP is associated with an increase in government bond yields of 2.27-6.28 basis points, while an increase in government deficit in GDP of one percentage point is associated with an increase in government bond yields of 3.15-14.3 basis points. In addition, our results indicate that under reasonable assumptions and in the presence of widening output gaps, the neoclassical growth model predicts a rather low degree of crowding-out (around 36 percent, while the narrowing of the output gap leads to a complete crowding-out.
Hampton, Tim
2002-01-01
.... In this sense, model projections are referred to as endogenous interest rate projections. This article explains the rationale for endogenous interest rate projections and why the Reserve Bank has adopted this approach. 1 Introduction The Bank's submission to the Monetary Policy Review outlined a number of the reasons why we prepare and p...
Government Regulation, Interest Rate Liberalization and Net Interest Margin%政府管制、利率市场化和商业银行净利差
傅利福; 魏建
2014-01-01
中国的利率受管制和市场化两股力量决定，这两种力量对于不同类型的银行有着不同的影响。本文利用kumbhaka ＆ Parmeter （2009）提出的双边随机前沿模型，实证分析了政府管制和利率市场化对我国商业银行净利差的影响。结果表明：（1）我国商业银行净利差处于低位运行状态。（2）相对于利率市场化，我国的商业银行净利差受政府管制的影响更为明显。（3）政府管制和利率市场化对地方性银行净利差的影响均要大于对全国性银行的影响。我们建议在实施利率市场化的过程中，对不同类别的银行应当差别化对待。%China's interest rate is determined by the two forces of government regulation and market liberalization , which have varied effects on different banks .Using the Two-tier Stochastic Frontier Model proposed by Kumbhaka & Parmeter (2009), the paper studies the respective influence of government regulation and interest rates liberalization on the net interest margin of commercial banks in China .The results show that:(1) interest margins in commercial banks are operating at low level;(2) government regulation has greater effect on interest margins than interest rates liberalization ;(3) compared with national banks , local banks are more vulnerable to government regulation and interest rates liberalization .The paper suggests that during the implementation of interest rates liberalization , differentiated treatments should be applied to banks of different categories .
Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates
Marcelo Ganem
2011-06-01
Full Text Available The risk premium in the Brazilian term structure of interest rates is partially driven by some specific defensive behavior following past monetary decisions. Until 2008, the Brazilian Central Bank has primarily dealt with domestic and external crises by raising the short term rate to restrain capital outflows, generating a well-known asymmetry in the market’s response functions to risk aversion. Therefore, the traditional parameterization of risk based on mean and variance estimators fails to capture the market price of risk eventually assigned to higher order moments of bond returns across several maturities. In this paper we propose an arbitrage-free, discrete-time model that provides the form for a lagged endogenous regression which tests the significance and magnitude of the market price of asymmetry in the Brazilian fixed income market. The results are analyzed from a historical perspective, comparing the evolution of the price of asymmetry, the improvement of Brazil’s sovereign risk and the monetary policy conduction from 2003 to 2009.
NUMERICAL ANALYSIS ON BINOMIAL TREE METHODS FOR AMERICAN LOOKBACK OPTIONS
戴民
2001-01-01
Lookback options are path-dependent options. In general, the binomial tree methods,as the most popular approaches to pricing options, involve a path dependent variable as well as the underlying asset price for lookback options. However, for floating strike lookback options, a single-state variable binomial tree method can be constructed. This paper is devoted to the convergence analysis of the single-state binomial tree methods both for discretely and continuously monitored American floating strike lookback options. We also investigate some properties of such options, including effects of expiration date, interest rate and dividend yield on options prices,properties of optimal exercise boundaries and so on.
Data-driven region-of-interest selection without inflating Type I error rate.
Brooks, Joseph L; Zoumpoulaki, Alexia; Bowman, Howard
2017-01-01
In ERP and other large multidimensional neuroscience data sets, researchers often select regions of interest (ROIs) for analysis. The method of ROI selection can critically affect the conclusions of a study by causing the researcher to miss effects in the data or to detect spurious effects. In practice, to avoid inflating Type I error rate (i.e., false positives), ROIs are often based on a priori hypotheses or independent information. However, this can be insensitive to experiment-specific variations in effect location (e.g., latency shifts) reducing power to detect effects. Data-driven ROI selection, in contrast, is nonindependent and uses the data under analysis to determine ROI positions. Therefore, it has potential to select ROIs based on experiment-specific information and increase power for detecting effects. However, data-driven methods have been criticized because they can substantially inflate Type I error rate. Here, we demonstrate, using simulations of simple ERP experiments, that data-driven ROI selection can indeed be more powerful than a priori hypotheses or independent information. Furthermore, we show that data-driven ROI selection using the aggregate grand average from trials (AGAT), despite being based on the data at hand, can be safely used for ROI selection under many circumstances. However, when there is a noise difference between conditions, using the AGAT can inflate Type I error and should be avoided. We identify critical assumptions for use of the AGAT and provide a basis for researchers to use, and reviewers to assess, data-driven methods of ROI localization in ERP and other studies.
王华玲
2015-01-01
The interest rate not only has the price of money, monetary policy intermediary variable attributes, but also is the core category of mone-tary economics.The basic path of evolution research of interest rate theory , the theory of interest into two levels of classical interest rate theory and Keynes's interest theory, the evolution path of interest rates do explain many economic phenomenon , but the interest rate in the market has also brought many problems.%利率不但具有货币价格、货币政策中介变量等多种属性，而且是货币经济学研究的核心范畴。通过梳理利率理论研究的基本演变路径，可以将利率理论区分为古典利率理论和凯恩斯利率理论两个层面，利率的这种演进路径确实解释了许多经济现象，但是利率在市场化过程中也带来了许多问题。
Anca Elena NUCU
2013-02-01
Full Text Available The purpose of our paper is to evaluate the effectiveness of monetary policy transmission mechanism in Romania, via interest rate channel. Using a Vector Error Correction Model and impulse response analysis, we study the impact of a positive monetary policy shock via short term interest rate on macroeconomic variables over the period 2003M01-2012M06. Our empirical results are in line with economic theory and we can say that we are witnessing to an improvement in the transmission effectiveness of monetary policy impulses via interest rate channel.
Time Scale Analysis of Interest Rate Spreads and Output Using Wavelets
Marco Gallegati
2013-04-01
Full Text Available This paper adds to the literature on the information content of different spreads for real activity by explicitly taking into account the time scale relationship between a variety of monetary and financial indicators (real interest rate, term and credit spreads and output growth. By means of wavelet-based exploratory data analysis we obtain richer results relative to the aggregate analysis by identifying the dominant scales of variation in the data and the scales and location at which structural breaks have occurred. Moreover, using the “double residuals” regression analysis on a scale-by-scale basis, we find that changes in the spread in several markets have different information content for output at different time frames. This is consistent with the idea that allowing for different time scales of variation in the data can provide a fruitful understanding of the complex dynamics of economic relationships between variables with non-stationary or transient components, certainly richer than those obtained using standard time domain methods.
2013-10-28
... to Existing Regulation Concerning the Interest Rate Paid on Cash Deposited To Secure Immigration... rate set by Treasury--3 per centum per annum--has been paid on cash bond deposits received after April... the rate of 3 percent per year on cash deposited by bond obligors to secure immigration bonds....
Mehmet ARSLAN
2012-09-01
Full Text Available This study empirically tests the expectations hypothesis of term structure of interest rates, in Turkish fixed-income securities market. In the study Johansen and Juselius (JJ test co-integration test has been applied to determine the existence of at least one common trend between short and long term bond interest rates, and it has determined. Therefore both r =0 and also r≤1 co-integration vector hypothesis have been rejected. In other words, based on the data covering January 3, 2003 through June 2010, and consist of 89 observation on each of the 8 different maturity ranging from 3 months to 5 years, it was determined that there were more than 1 co-integration ( r>1 vector in the series. The results indicate that in Turkish fixed-income securities market shorter-term interest rates effects longer-term interest rates. In fact, granger causality test applied and its results also confirm the findings cited above. Besides, the study is bearing some very important implications for Turkish monetary authorities that they could predict and observe behavior of the longer-term interest rates, and also inflation rates, based on the given change in short-term interest rates. In this aspect, this study is unique.
Djukic, Djordje; Djukic, Malisa
2009-01-01
.... The inability of the National Bank of Serbia to follow the aggressive reduction of the key interest rate that has been implemented by central banks in developed countries, partly explains the lack...
Duarte, Antonio Aurelio; Silva, Aldy Fernandes da; Oliveira, Luciano Vereda; Weffort, Elionor Farah Jreige; Chan, Betty Lilian
2015-01-01
The Brazilian regulation for applying the Liability Adequacy Test (LAT) to technical provisions in insurance companies requires that the current estimate is discounted by a term structure of interest rates (hereafter TSIR...
Hein, Eckhard
2010-01-01
We review the main arguments put forward against the horizontalist view of endogenous credit and money and an exogenous rate of interest under the control of monetary policies. We argue that the structuralist arguments put forward in favour of an endogenously increasing interest rate when investment and economic activity are rising, due to increasing indebtedness of the firm sector or decreasing liquidity in the commercial bank sector, raise major doubts from a macroeconomic perspective. This...
Othman, Arshad Nuval; Masih, Mansur
2014-01-01
This paper seeks to close the gap of the lack of empirical evidence surrounding the different impact of conventional interest rates on Islamic finance components – Islamic stock markets, Islamic banking and Islamic insurance (called takaful). Such evidence remains imperative in order for the Islamic finance system to formulate effective countermeasures against changes in conventional interest rates. Using Malaysia as a case in point, this paper employs time-series techniques to establish long...
Ivan Tchakarov; Selim Elekdag
2006-01-01
Emerging market countries have enjoyed an exceptionally favorable economic environment throughout 2004, 2005, and early 2006. In particular, accommodative U.S. monetary policy in recent years has helped create an environment of low interest rates in international capital markets. However, if world interest rates were to take a sudden upward course, this would lead to less hospitable financing conditions for emerging market countries. The purpose of this paper is to measure the effects of worl...
A Brief Rating Scale of Preschool Children's Interest in Shared Picture Book Reading.
Ortiz, Camilo; Arnold, David H.; Stowe, Rebecca M.
Despite its supposed importance, children's emergent interest in literacy has been seldom studied. As a result, no easy-to-use and psychometrically sound measure of children's emergent interest in literacy exists. This study made an initial attempt at validating such a measure. On three separate occasions, 24 parents and their 2- to 3-year-old…
Endogeneidad del dinero y tasa de interés Money endogeneity and interest rates
García Molina Mario
1994-12-01
analternative way of managing interest rates.
Klintwall, Lars; Macari, Suzanne; Eikeseth, Svein; Chawarska, Katarzyna
2015-01-01
Recent studies have suggested that skill acquisition rates for children with autism spectrum disorders receiving early interventions can be predicted by child motivation. We examined whether level of interest during an Autism Diagnostic Observation Schedule assessment at 2?years predicts subsequent rates of verbal, nonverbal, and adaptive skill…
2013-09-25
... From the Federal Register Online via the Government Publishing Office DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the William D. Ford Federal Direct... rates for loans made under the William D. Ford Federal Direct Loan (Direct Loan) Program on or...
2010-01-01
... rate provisions, applicable in leasing arrangements? 714.8 Section 714.8 Banks and Banking NATIONAL CREDIT UNION ADMINISTRATION REGULATIONS AFFECTING CREDIT UNIONS LEASING § 714.8 Are the early payment provisions, or interest rate provisions, applicable in leasing arrangements? You are not subject to the...
Roebeling, P.C.; Hendrix, E.M.T.
2010-01-01
Land speculation by cattle ranchers is considered a principal cause of deforestation in Latin America, in particular in combination with (previously) widely provided interest rate subsidies. Proof for the hypothesis that land speculation leads to inflated rates of investment in land is, however, rel
CASH FLOW IMPLICATIONS OF FIXED VERSUS VARIABLE INTEREST RATE DEBT STRUCTURES
Moe, Lonn; Thompson, Jerry L.
1984-01-01
The objective of this study was to discover the magnitude of the effect variable rate loans have on net operating cash flow over the period from 1968 to 1981. This was done by comparing a variable rate loan model with a fixed rate loan model under varying debt loads for four farm types.
CASH FLOW IMPLICATIONS OF FIXED VERSUS VARIABLE INTEREST RATE DEBT STRUCTURES
Moe, Lonn; Thompson, Jerry L.
1984-01-01
The objective of this study was to discover the magnitude of the effect variable rate loans have on net operating cash flow over the period from 1968 to 1981. This was done by comparing a variable rate loan model with a fixed rate loan model under varying debt loads for four farm types.
Koch, Christoffer
2014-01-01
Shocks emanating from and propagating through the banking system have recently gained interest in the macroeconomics literature, yet they are not a feature unique to the 2008/09 financial crisis. Banking disintermediation shocks occured frequently during the Great Inflation era due to fixed deposit rate ceilings. I estimate the effect of deposit rate ceilings inscribed in Regulation Q on the transmission of federal funds rate changes to bank level credit growth using a historic bank level dat...
Ding Jun YAO; Rong Ming WANG
2008-01-01
The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.
EXCHANGE RATES AND VOLATILITY IN CENTRAL AND EASTERN EUROPE: A TEST FOR UNCOVERED INTEREST PARITY
DUMITRESCU Dan-Gabriel
2009-05-01
Full Text Available At times of heightened global capital market volatility, high-yielding currencies tend to depreciate, while low-yielding currencies tend to serve as a€śsafe heavena€ť. We present the results of a test for Uncovered Interest Parity for selected European cu
刘义圣; 黄梦怡; 赵东喜
2013-01-01
Based on the interest rate parity theory and literature review ,this paper studies the im-pact of adjustment of the U .S .interest rate policy on Chinese interest rate policy changes by consider-ing the gradual opening up of China’s capital account and selecting monthly data in 2007 .10-2013 .6as the sample and establishing error correction model .T he results show :there is a long-term dependency between Chineseinterest rate policy and the United States interest rate policy .The adjustment of the U .S .interest rate policy will makeChineseinterest rate policy adjust in the same direction .Restrictions on capital flows have a significant effect on Chinese interest rate while the expectation of the USD ap-preciation has no significant influence statistically .Short-term factors has impact on Chinese interest rate in the same direction .The error correction coefficient is negative and it is in line with reverse ad-justment mechanism .Finally ,some relevant policy recommendations are put forward .%通过文献回顾，以利率平价理论为基础，考虑中国资本项目渐进开放的现实因素，选择2007年10月～2013年6月的月度数据为研究样本，建立误差修正模型，研究了美国利率政策调整对中国利率政策变动的影响。结果表明，中国与美国两国间利率政策有长期依存性。美国利率政策的调整会引起中国利率发生同向联动调整。资本流动限制对中国国内利率有显著影响，而美元预期升值率的影响效应在一般统计水平上不显著。短期因素的冲击虽然会对中国利率产生同向的冲击，但在误差反向修正机制作用下，会较快地恢复长期均衡态势。最后，提出了相关政策建议。
Interest Rate Transmission Mechanism of Monetary Policy in the Selected EMU Candidate Countries
Mirdala Rajmund
2009-01-01
The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech Republic, Slovak Republic) and crawling peg system (Hungary, Poland) were replaced by the managed floating in the Czech Republic (May 1997), Poland (April 2000), Slovak Republic (October 1998) and fixed exchange rate to euro in Hungary (January 2000) with broad band (O...
Hao Chang
2016-01-01
Full Text Available We are concerned with an optimal investment-consumption problem with stochastic affine interest rate and stochastic volatility, in which interest rate dynamics are described by the affine interest rate model including the Cox-Ingersoll-Ross model and the Vasicek model as special cases, while stock price is driven by Heston’s stochastic volatility (SV model. Assume that the financial market consists of a risk-free asset, a zero-coupon bond (or a convertible bond, and a risky asset. By using stochastic dynamic programming principle and the technique of separation of variables, we get the HJB equation of the corresponding value function and the explicit expressions of the optimal investment-consumption strategies under power utility and logarithmic utility. Finally, we analyze the impact of market parameters on the optimal investment-consumption strategies by giving a numerical example.
Waldemar Gontarski
2009-04-01
Full Text Available Toxic currency options are defined on the basis of the opposition to the nature (essence of an option contract, which is justified in terms of norms founded on the general law clause of characteristics (nature of a relation (which represents an independent premise for imposing restrictions on the freedom of contracts. So-understood toxic currency options are unlawful. Indeed they contravene iuris cogentis regulations. These include for instance option contracts, which are concluded with a bank, if the bank has not informed about option risk before concluding the contract; or the barrier options, which focus only on the protection of banks interests. Therefore, such options may appear to be invalid. Therefore, performing contracts for toxic currency options may be qualified as a criminal mismanagement. For the sake of security, the manager should then take into consideration filing a claim for stating invalidity (which can be made in a court verdict. At the same time, if the supervisory board member in a commercial company, who can also be a subject to mismanagement offences, commits an omission involving lack of reaction (for example, if he/she fails to notify of the suspected offence committed by the management board members acting to the companys detriment when the management board makes the company conclude option contracts which are charged with absolute invalidity the supervisory board member so acting may be considered to act to the companys detriment. In the most recent Polish jurisprudence and judicature the standard of a good host is treated to be the last resort for determining whether the managers powers resulting from criminal regulations were performed. The manager of the exporter should not, as a rule, issue any options. Issuing options always means assuming an obligation. In the case of currency put options it is an absolute obligation to purchase a given amount in euro at exchange rate set in advance. On the other hand issuing
E-Finance, Entry Deterrence, and Optimal Loan Rate of a Potential Entrant: An Option-Based Valuation
Chuen-Ping Chang
2010-01-01
This paper examines the relationships among electronic finance (e-finance), entry deterrence, and the potential entrant's optimal loan interest rate in a two-stage model where the sunk costs are the entry barriers. The two key findings are: (i) in the loan rate determination stage, the potential entrant's loan rate is negatively related to its involvement level in e-finance with its own strategic substitutes, to the incumbent's involvement level in e-finance in realization of a more risky sta...
Impact of interest rate changes on South African GDP and households
chestt
Dr J.C. Jordaan is a research fellow at the Bureau of Market Research (BMR) and Personal Finance ... South African households, social accounting matrix .... flexible exchange rate regime and relatively mobile capital such as SA (Briotti 2005).
Ericsson, Aprille J.
2014-01-01
The seminars invitees include representatives from industry, nonprofit research facility and universities. The presentation provides an overview of the NASAGSFC locations, technical capabilities and applied nanotechnology interests. Initially presented are advances by the broader technological communities on current miniaturized multiscale advanced manufacturing and 3D printing products on the micro and macro scale. Briefly assessed is the potential of moving toward the nanoscale for possible space flight applications and challenges. Lastly, highlighted are GSFCs current successes in nano-technology developments and targeted future applications.
Chaudhuri, Sarbajit; GUPTA, Manash Ranjan
2013-01-01
This paper makes a pioneering attempt to provide a theory of determination of interest rate in the informal credit market in a less developed economy in terms of a three-sector static deterministic general equilibrium model. There are two informal sectors which obtain production loans from a monopolistic moneylender and employ labour from the informal labour market. On the other hand, the formal sector employs labour at an institutionally fixed wage rate and takes loans from the competitive f...
A Forward-looking Model of the Term Structure of Interest Rates
Chun, Albert Lee
of the forecasts are modeled jointly with the physical process driving their realizations. We extend this framework to allow for multiple-horizon forecasts to drive the short rate, yielding its novel interpretation as a forward-looking multiple-horizon monetary policy rule, which facilitates a decomposition...... of monetary policy and the yield curve into short and long horizon expectations. While short horizon forecasts can pin down the short rate, long horizon forecasts embed information that better describes longer maturity yields. In addition, short horizon forecasts of real output growth are obscured...
Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics
Rasmussen, Torben B.
model is able to let the variance of the one-period rate be higher and faster increasing in the variance factor, and to introduce negative skewness and positive excess kurtosis. When weights on the components depend on factors, the model produces a speed of mean reversion and variance of the one......-period rate that both increase fast with higher levels of the yield curve. The added second component is found to capture infrequent relatively large simultaneous shifts in direction of a yield curve that is at a lower level, is steeper, and is more positively curved....
2013-01-25
... From the Federal Register Online via the Government Publishing Office DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the Federal Family Education Loan... charged to borrowers on loans made under the Federal Family Education Loan (FFEL) Program,...
2013-03-22
... From the Federal Register Online via the Government Publishing Office DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the Federal Family Education Loan..., 2012, through June 30, 2013, for certain loans made under the Federal Family Education Loan Program....
2013-08-29
... Annual Notice of Interest Rates of Federal Student Loans Made Under the Federal Family Education Loan... June 30, 2014, for certain loans made under the Federal Family Education Loan (FFEL) ] Program prior to... Family Education Loan (FFEL) Program, including Federal Subsidized and Unsubsidized Stafford...
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rate risk management by associations and other Farm Credit System institutions other than banks. 615.5182 Section 615.5182 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM FUNDING AND FISCAL AFFAIRS, LOAN POLICIES...
2013-01-25
... From the Federal Register Online via the Government Publishing Office DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the William D. Ford Federal Direct..., 2013, for loans made under the William D. Ford Federal Direct Loan (Direct Loan) Program. The...
2013-08-29
... From the Federal Register Online via the Government Publishing Office DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the William D. Ford Federal Direct... June 30, 2014, for loans made under the William D. Ford Federal Direct Loan (Direct Loan) Program...
Sobeková Majková Monika
2016-09-01
Full Text Available Young entrepreneurs and start-up founders are considered to be a drivers of innovation which is an important element of knowledge economy and competitiveness of each country. But their early age could be perceived as a factor causing the increasing impact of the credit risk because young entrepreneurs usually have a short company history, weak capital power and a lack of the guarantees. The main objective of this paper is to bring scientific evidence that the age of the entrepreneur should be considered as a factor with the significant impact on one part of the credit risk of a company– the risk of a change of the interest rate. The research was carried out among 438 Slovak companies in 2016. Based on Pearson´s chi-square analysis of the results of our research, we bring statistical evidence that age has a significant impact on the ability of the company to protect the firm against the change of the interest rate. We also found out that there is dependence between the age of the owner and the opinion that SMEs in the other EU countries have better loan conditions, especially lower interest rates, than Slovak SMEs. Research findings indicate that young entrepreneurs have problems with obtaining capital and increasing interest rates and collaterals because of their higher risk profile. But effective state support of young and innovative companies through venture financing can lead to increasing global competitiveness of the Slovak Republic.
Chen Zhao; Weiguo Gao; Jungong Xue
2007-01-01
A structured perturbation analysis of the least squares problem is considered in this paper. The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline. Numerical experiments are given to illustrate the sharpness of this bound.
Jansen, Pieter W.
2006-01-01
This paper explains that the interest rate on long-term Japanese government bonds is low in comparison with other industrialised countries for four main reasons: lower inflation, net savings surplus, institutional restrictions and home bias. Monetary policy and institutionalised purchases of govern
A Rate-Distortion Optimized Coding Method for Region of Interest in Scalable Video Coding
Hongtao Wang
2015-01-01
original ones is also considered during rate-distortion optimization so that a reasonable trade-off between coding efficiency and decoding drift can be made. Besides, a new Lagrange multiplier derivation method is developed for further coding performance improvement. Experimental results demonstrate that the proposed method achieves significant bitrate saving compared to existing methods.
Kernel-based multistep-ahead predictions of the US short-term interest rate
de Gooijer, J.G.; Zerom Godefay, D.
2000-01-01
This paper presents a comparison of prediction performances of three kernel-based non-parametric methods applied to the US weekly T-bill rate. Predictions are generated through the rolling approach for the out-of-sample period 1989-1993. The multistep-ahead prediction performance of the three
High Dose Rate Brachytherapy as a Treatment Option in Endobronchial Tumors
Ali Hosni
2016-01-01
Full Text Available Purpose. To report our experience with high dose rate endobronchial brachytherapy (HDR-EBBT and to assess its efficacy and tolerability with possibility of its use in selected cases with curative intent. Method. Retrospective review of patients with endobronchial tumors treated at our institution in 2007–2013 with HDR-EBBT. Subjective response and treatment related toxicity were extracted from patients’ records. Clinical response was evaluated by chest CT +/− bronchoscopy 2-3 months after treatment. Local control (LC and overall survival (OS were analyzed. Results. Overall 23 patients were identified. Ten patients were treated with curative intent, in 8 of them HDR-EBBT was combined with external beam radiotherapy. Short term palliation was as follows: dyspnea (13/15, cough (12/14, and hemoptysis (3/3. Seventeen patients were evaluated, of whom 9 (53% showed complete response. Four patients developed local failure (only 1 of them treated with curative intent and were salvaged with HDR-EBBT (n=1, chemotherapy (n=2, and laser (n=1. Among patients treated with curative intent, the 2-year LC and OS were 89% and 67%, respectively, and 2 out of 4 deaths were cancer-related. Late toxicity included bronchial stenosis (n=1. Only 1 patient had fatal hemoptysis and postmortem examination indicated local recurrence. Conclusion. HDR-EBBT is promising treatment with tolerable complication if used in properly selected patients.
Iti Vyas
2014-08-01
Full Text Available This paper makes an attempt to empirically examine the causal nexus between stock price, demand for money, interest rates, foreign institutional investment and exchange rates in India in the post subprime mortgage crisis period. The study employed Granger causality test, Vector Auto Regression and Johansen Maximum Likelihood procedure to examine the short run and long run dynamic interaction among the above mentioned variables for the period January 1993 to May 2009. The major indings of the study are: stock return affects exchange rate return, net foreign institutional investment and growth of demand for money. Growth of demand for money, in turn, affects interest rate. Interest rate is more affected by exchange rate return. Foreign institutional investment also affects interest rate. The co-integration test conirms that there does not exist any long run equilibrium relationship between stock return and exchange rate return ";} // -->activate javascript
Central bank forecasts of liquidity factors and the control of short term interest rates
Ulrich Bindseil
2002-03-01
Full Text Available A simple model of the interaction between central bank liquidity management and the inter-bank overnight rate is suggested, which allows analysing the publication offorecasts of liquidity factors by the European Central Bank adopted in June 2000. The paper argues that the main practical advantage of the publication of theseforecasts is that it makes the signal extraction problem with regard to the centralbank's intentions trivial and hence allows establishing a superior behavioural equilibrium between the central bank and the money market participants. In this equilibrium, the central bank can achieve a better steering of overnight rates than under private autonomous factor forecasts, depending of course also on the quality of liquidity forecasts. It is furthermore shown that the publication of an average of autonomous factors, such as adopted by the ECB, is, at least within the model presented, superior to the separate publication of autonomous factors for each single day.
Student Loans: Oversight of Servicemembers Interest Rate Cap Could Be Strengthened
2016-11-01
Education formalized this approach through federal regulations that became effective as of July 2016, which currently legally requires servicers to...advocacy groups, and officials from DOD, Education , the CFPB and DOJ. What GAO Recommends GAO is making four recommendations, including that...federal student loans who received this rate cap increased as a result of the Department of Education ( Education ) requiring federal loan servicers to
Choice of Money Market Benchmark Rate in Interest Rate Liberalization%利率市场化进程中基准利率的选择
刘陆宇
2013-01-01
This paper attempts to reveal the characteristics of the liberalization of interest rate and the necessity of the bench-mark rate through giving a deeper research on interest rate marketization and benchmark rates theory. It analyses the distortion of the economy under the controlled interest rates, and reviews the past liberalization process in China. It tests empirical data of the SHIBOR’s status as benchmark rate,and makes suggestions for SHIBOR’s better performs in the process of liberaliza-tion.%文章通过深入探讨利率市场化和基准利率相关理论，揭示了利率市场化的特征以及制定基准利率的必要性；分析了利率管制对经济的扭曲及我国利率市场化的历程回顾；实证检验了SHIBOR的基准利率地位；最后，对进一步深化SHIBOR基准利率的地位提出了建议。
Nives Tomašević
2008-07-01
Full Text Available This research is based on two main claims. First, (Kraaykamp, 1993 the differences in reading habits are a result of differences in cultural behavior, and second, (Bourdieu, 1984 cultural participation is conditioned by social class membership determined by the basic demographic profile of examinees (education, income, profession. This influenced our test sample choice - we focused on three main locations to collect our data: bookstores and libraries, Faculty of Philosophy in Zagreb, and Faculty of Economics in Osijek.The research methodology used in this paper relies on earlier theoretical findings on ‘the factors that determine the predilection for reading’ (Stockmans, 1999, as well as on the planning, implementation, data collection, and data analysis using the methods of multivariate statistics. In order to achieve statistical quantification, we created a questionnaire for measuring the attitudes of readers (n=400. The data was collected in 2007 using the ‘face to face’ method in the selected central locations (bookstores and libraries, Faculty of Philosophy in Zagreb, and Faculty of Economics in Osijek.This paper presents the characteristics of the study and the results of the statistical analysis of data showing examinee’s grading of their interest in selected literary genres. Research results are discussed with the focus on their importance for publishing, which deals with production, promotion and selling of books, and as such directly depends on readers’ attitudes.Keywords : attitudes to reading, potential readers, multidimensional functions of reading, publishing.
2015-01-01
Interest rates on corporate bank loans in Croatia are rarely discussed in terms of interdependence of the functioning between the financial and the real sectors of national economy.The aim of this paper is to expand knowledge of the level of interest rates on corporate loans in Croatia and their determinants, as well as of the relationship between interest rates and the pace of economic activity.For this purpose, interest rates and interest rate spreads in Croatia are compared to rates and sp...
An Analysis of Competition over Interest Rate among Banks in China%中国商业银行利率竞争分析
顾翌乐; 陈湛匀
2003-01-01
In 2000, the central bank of China adopted a policy to gradually liberalize its interest rate, and thus raised the curtain ofcompetition over interest rate among the banks in China. The objective of this study is to put a focus on the existing banking marketenvironment and thereafter the gaming behaviors of the banks on different stages given the interest rate is loosened gradually asscheduled.
Heterogeneous Beliefs, Public Information, and Option Markets
Qin, Zhenjiang
In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl‡uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally di...... with intermediate strike price, the highest efficiency of side-betting is achieved, re‡ected by a unique maximum point of the ex ante equilibrium interest rate. The public signal precision affects ex ante equilibrium risk premium only via its relationship with option.......In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl‡uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...
Petra Posedel
2006-12-01
Full Text Available The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is also expected. However, contrary to the assumptions of the Black-Scholes model, research in the field of option markets worldwide suggests that the volatility of the time-series returns is not constant over time. The present study analyzes the implications of volatility that changes over time for option pricing. The nonlinear-in-mean asymmetric GARCH model that reflects asymmetry in the distribution of returns and the correlation between returns and variance is recommended. For the purpose of illustration, we use the NGARCH model for the pricing of foreign currency options. Possible prices for such options having different strikes and maturities are then determined using Monte Carlo simulations. The improvement provided by the NGARCH model is that the option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result that is obtained in the Black-Scholes model.
陈永明; 吴蔚蓝; 杨正荣; 李双红; 张武浩
2015-01-01
在利率市场化背景下，贷款定价对小微金融机构具有重要意义，而我国小微金融机构目前贷款利率定价中存在自身定价能力不足、传统定价模式影响、基准利率缺失等问题。本文借鉴国际银行业金融机构贷款定价主要模式，结合我国国情、市场环境、金融发展程度等因素，采用规范分析和对比分析相结合的方法，综合目前三种主要定价模式，提出了小微金融机构新型定价模型，并选取一家具有代表性的区域性金融机构进行验证，得出运用模型确定的利率水平。最后对小微金融机构进行贷款定价提出了加强成本核算、掌握行业利润率与客户资料等建议。%Under the background of interest rate liberalization, lending pricing is of great significance to micro and small financial institutions. While in China, there exist some problems such as insufficiency in the ability to price the interest rate, influenced by the traditional pricing mode and lack of benchmark interest rate and so on when micro and small financial institutions price the lending in-terest rate. Learning from the main lending pricing modes of international banking institutions, combined with the factors such as Chi-na’s conditions, the market environment and the financial development degree etc., adopting the methods of the normative analysis and comparative analysis, integrating the current three kinds of pricing modes, the paper puts forward the new pricing model for micro and small financial institutions, and selects a representative regional financial institution to verify the pricing model and by using the model determines the interest rate level. Finally, the paper puts forward some suggestions that micro and small financial institutions should strengthen the cost accounting and know about the business profitability and customers’data.
Near-zero U.S. Interest Rates, Primary Commodity Prices, and Financial Control in Emerging Markets
RONALD; I.; MCKINNON
2014-01-01
The U.S. Federal Reserve’s monetary policy at the center of the world dollar standard has a first-order impact on global financial stability. However, except in moments of international crises, the Fed focuses inward on domestic American economic indicators and generally ignores collateral damage from its monetary policies in the rest of the world. But this makes the U.S. economy less stable. Currently, ultra-low interest rates on dollar assets ignite waves of hot money into emerging markets by carry traders that generate bubbles in international primary commodity prices and other assets. These bubbles burst when some accident at the center, such as a banking crisis, causes a reflux of the hot money. Ironically, these near-zero interest rates hold back investment in the American economy itself.
Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models
C. F. Lo
2013-01-01
Full Text Available The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varying model parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.
Compound Option Pricing under Fuzzy Environment
Xiandong Wang
2014-01-01
Full Text Available Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility. We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske’s compound option pricing formula. For each α, the α-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.
Timothy Q. Cook; Thomas K. Hahn
1986-01-01
Considerable attention has been devoted to the reaction of interest rates, foreign exchange rates, and stock prices to unanticipated money growth revealed by the weekly M1 money stock announcement. Numerous articles have attempted to explain why nominal interest rates rise following the announcement of an M1 figure higher than expected and fall when an M1 figure is lower than expected. The major controversy in this literature is whether the observed reaction of interest rates reflects changes...
General Accounting Office, Washington, DC. Div. of Human Resources.
A study was done of how interest rate floors on certain guaranteed student loans affect the federal government's and students' costs when rates on short-term government securities decline. The study developed cost comparisons using fixed and variable loan interest rates. For comparison Department of Education projections of loan volumes for fiscal…
GÜLCAN ÖNEL
2013-06-01
Full Text Available This paper aims to tests for multiple structural breaks in the nominal interest rate and inflation rate using the methodology developed by Bai and Perron (1998. The monthly data on Turkish 90 days time-deposits interest rate and consumer price index inflation rate over the period of 1980:1-2004:12 are used. The empirical results give little evidence of mean breaks in the interest rate series. However, the data on inflation rates is consistent with two breaks that are located at 1987:9 and 2000:2.
Berg, Matthew; Hartley, Brian; Richters, Oliver
2015-01-01
By synthesizing stock-flow consistent models, input-output models, and aspects of ecological macroeconomics, a method is developed to simultaneously model monetary flows through the financial system, flows of produced goods and services through the real economy, and flows of physical materials through the natural environment. This paper highlights the linkages between the physical environment and the economic system by emphasizing the role of the energy industry. A conceptual model is developed in general form with an arbitrary number of sectors, while emphasizing connections with the agent-based, econophysics, and complexity economics literature. First, we use the model to challenge claims that 0% interest rates are a necessary condition for a stationary economy and conduct a stability analysis within the parameter space of interest rates and consumption parameters of an economy in stock-flow equilibrium. Second, we analyze the role of energy price shocks in contributing to recessions, incorporating several propagation and amplification mechanisms. Third, implied heat emissions from energy conversion and the effect of anthropogenic heat flux on climate change are considered in light of a minimal single-layer atmosphere climate model, although the model is only implicitly, not explicitly, linked to the economic model.
Fernando M. Gonçalves
2007-03-01
Full Text Available This paper tests the assertion, popularized by Arida et al. (2005, that risks associated with the jurisdiction and currency inconvertibility are relevant determinants of the high level of short-term real interest rates in Brazil. The results are by and large unfavorable not only to their conjecture, but also to variants of their argument. The results further indicate that traditional monetary and fiscal factors are far more relevant to explain the level of short-term real interest rates than the binomial jurisdictional uncertainty/ currency inconvertibility is.Esse paper testa a hipütese, popularizada por Arida et al. (2005, de que riscos associados à incerteza jurisdicional e incoversibilidade da moeda nacional são importantes determinantes dos altos níveis da taxa básica de juros no Brasil. Os resultados dos testes são bastante desfavoráveis não apenas a essa hipotese, mas também a variantes dela. Os resultados também indicam que fatores tradicionais fiscais e monetários são bem mais relevantes para explicar o nível da taxa básica de juros, em comparação ao par incerteza jurisdicional/incoversibilidade da moeda.
López-Hoffman, Laura; Breshears, David D.; Allen, Craig D.; Miller, Marc L.
2013-01-01
sum, understanding how the rate of change and degree of patchiness of change will constrain adaptive options is a critical consideration in preparing for climate change.
Richard J. Cebula
2002-12-01
Full Text Available Using error-correction model (ECM estimation, this study empirically examines, for theUS, the causality relationship between the federal government budget deficitand the ex ante real long term interest rate. The system includes personal federal income tax rates, the M2 money supply, the unemployment rate, an ex ante realshort term interest rate and net international capital inflows. To clarify thedeficit/interest rate relationship, the budget deficit is measured by the primarydeficit, which excludes net interest payments by the Treasury. The ECM estimates in this study provide results that suggest a bi-directional relationship between theprimary budget deficit and the ex ante real long term interest rate yield.
Antonio Aurelio Duarte
2015-08-01
Full Text Available The Brazilian regulation for applying the Liability Adequacy Test (LAT to technical provisions in insurance companies requires that the current estimate is discounted by a term structure of interest rates (hereafter TSIR. This article aims to analyze the LAT results, derived from the use of various models to build the TSIR: the cubic spline interpolation technique, Svensson's model (adopted by the regulator and Vasicek's model. In order to achieve the objective proposed, the exchange rates of BM&FBOVESPA trading days were used to model the ETTJ and, consequently, to discount the cash flow of the insurance company. The results indicate that: (i LAT is sensitive to the choice of the model used to build the TSIR; (ii this sensitivity increases with cash flow longevity; (iii the adoption of an ultimate forward rate (UFR for the Brazilian insurance market should be evaluated by the regulator, in order to stabilize the trajectory of the yield curve at longer maturities. The technical provision is among the main solvency items of insurance companies and the LAT result is a significant indicator of the quality of this provision, as this evaluates its sufficiency or insufficiency. Thus, this article bridges a gap in the Brazilian actuarial literature, introducing the main methodologies available for modeling the yield curve and a practical application to analyze the impact of its choice on LAT.
Term structure of interest rate, relative factors and exchange rate prediction%利率期限结构、相对因子与汇率预测
李艳; 吴亮
2016-01-01
由于利率期限结构中包含未来经济运行的信息，利用2006年4月到2014年12月中美两国利率期限结构的月度数据，通过动态Nelson-Siegel模型抽取两国利率期限结构的相对水平，斜率和凸度三因子，基于三个相对因子检验其对人民币/美元汇率的预测能力。实证研究表明：（1）相对因子模型对汇率在1到12月期具有可预测性，相对水平因子或相对斜率因子增加1%分别导致人民币升值1%和2%而相对凸度因子增加1%会导致人民币贬值1%；（2）基于CW检验统计量的滚动窗预测表明：在所考虑的各个滚动窗下，相对因子模型预测能力优于随机游走和非抛补利率平价模型。%Since the term structure of interest rates embodies information about future economic activity, this paper uses dy-namic Nelson-Siegel model to extract relative level, slope and curvature based on monthly data of interest rate of term structure of China and United States from April in 2006 to December in 2014 and analyses forecasting ability of relative factors on Ren-minbi/Dollar exchange rate. The empirical study shows that (1) Relative factors model can predict exchange rate changes 1 to 12 months ahead, and 1 percentage point increase in relative level or slope predicts 1%and 2%annualized appreciation of the Ren-minbi respectively, 1 percentage point increase in relative curvature predicts 1% annualized depreciation of the Renminbi; (2) Rolling window forecasting based on Clark-West statistics shows that relative factors model outperforms random walk and un-covered interest parity model.
2010-11-03
... currencies, or options on currencies or currency futures or other currency derivatives or Currency Trust... foreign country or a subdivision thereof, or options or other derivatives on any of the foregoing; or (b) interest rate futures or options or derivatives on the foregoing in this subparagraph (b); or (c)...
Shafiq, M. Najeeb
2007-01-01
This study estimates the returns to boys' education for rural Bangladeshi households by accounting for some conventionally neglected items: direct costs of education, foregone child labour earnings, and option value. The estimated returns are 13.5% for primary education, 7.8% for junior-secondary education, 12.9% for higher-secondary education,…
Pricing and hedging of a general kind of multiasset option
Silvia Romagnoli
2007-10-01
Full Text Available Our aims is to propose an evaluation and a replicating strategy for a general kind of multiasset option in an international multicurrencies no-arbitrage world with Gaussian interest rates. Johnson's formula for the option on the maximum of several assets is derived as a particular case of ours, and two examples of application, namely the MAP strategy and the option on the arithmetic mean of several assets, are presented.
基准利率指标的波动性度量与利率期权设计%Measure of Benchmark Interest Rate Volatility & Interest Rate Option Design
许之彦; 顾娟
2005-01-01
本文探讨了全国银行间同业拆借中心发布的货币市场基准利率参考指标的统计特征,重点考虑了基准利率收益率波动性的度量方法,如移动平均、指数加权移动平均和GARCH类模型,得到了描述该利率收益率的波动性模型.在此基础上,又考虑了基于基准利率的期权的设计、定价和模拟,由Black-Scholes定价公式,得到了利率期权随时间变化的动态的理论价值.
How Dyes and Pigments Firms Respond to a Period of Rising Interest Rates%染颜料企业如何应对加息时代
韩永奇
2011-01-01
Since October 2010,the People＇s Bank of China has raised interest rates five times in a row and China has entered a period of rising interest rates.The effects of rising interest rates on the dyes and pigments industry were analyzed,and some measures were proposed.%自2010年10月以来,央行已经连续5次加息,中国已经进入加息时代。本文分析了加息对染颜料业行业的影响,并提出了应对办法。
Yu Hsing
2010-09-01
Full Text Available This paper examines the behavior of the long-term interest rate inPoland based on a sample during 2001.Q1–2009.Q1. Both the demandfor and supply of loanable funds are considered. Extending the openeconomyloanable funds model, this paper finds thatmore governmentdebt as a percent of GDP leads to a higher long-term interest rate inPoland and that a higher real Treasury bill rate, more percent change inreal GDP, a higher expected inflation rate, a higher world long-term interestrate, and depreciation of the zloty would increase the long-terminterest rate in Poland. In the standard open-economy loanable fundsmodel including the net capital inflow, the coefficient of the net capitalinflow is positive and insignificant at the 10%level. Hence, the incorporationof the world interest rate and the nominal effective exchange ratein the model may better capture the behavior of the long-term interestrate in Poland.
2013-06-06
... Rate-Of-Return Areas AGENCY: Federal Communications Commission. ACTION: Proposed rule. SUMMARY: In this... voice and broadband-capable networks in rural areas served by rate-of-return carriers. In particular, the Bureau seeks comment on two possible frameworks that could provide rate-of-return carriers...
杜玉林
2012-01-01
The assumption of constant risk-free interest rate in Black-Scholes formula cannot be satisfied in market. In this paper , we find the option price interval assuming the risk-free lies within a given interval. First we transform this financia/ problem to a stochastic optimal control problem, then obtain options＂ maximum and minimum price models through dynamic programming principle. We then discuss how to solve the nonlinear PDE model and how to narrow the price interval through optima/static hedging. We conclude this paper by giving its applieations in U. S. A option market through BaiDu options,comparing with Black-scholes, and giving a method how to identify arbitrage opportunity in option markets.%Black—Scholes公式中无风险利率的常数假设与现实不符。本文假设无风险利率在一个区间中变动，讨论求期权价格区间问题。首先将此问题归结为一个随机最优控制问题，然后利用动态规划原理得到期权价格区间上下限满足的模型以及模型解法，并利用最优静态对冲缩小此价格区间，最后以BaiDu股票期权为例给出了模型在期权市场上的应用，提供了一种期权市场上的套利识别方法并与Black—Scholes公式的结果做了比较。
... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ...
随机利率下的变额两全寿险模型%A Model for Variation Endowment Life Insurance under Stochastic Interest Rate
李应求; 陈渠; 甘柳
2011-01-01
To improve the existing model for force of interest, compound Poisson process is used to simulate bank normal adjustments to interest rates, and standard Brownian motion is applied to simulate the adjustments to normal interest rates interfered by stochastic events. On this basis, a formula used to derive pure premiums, annuity and reserves under stochastic interest rates is thus worked out.%对现有的利息力模型进行改进，应用复合Poisson过程模拟银行对利率的正常调整，应用标准Brownian运动模拟随机事件对利率正常调整的干扰．在此基础上，推导出纯保费、年金、责任准备金在此随机利率下的公式．
Arnold, I.J.M.; Ewijk, van S.E.
2014-01-01
This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative explan
The Game Theory Model Analysis of Microfinance High Interest Rate%小额信贷高利率的博弈论模型分析
段霞
2015-01-01
In this paper,using microfinance game theory model of both sides of supply and demand be-havior and game theory model of high rates,the microfinance high interest rate is analyzed.Result shows that the current microfinance should adopt the high interest rate.%用小额信贷供求双方行为的博弈论模型及高利率的博弈论模型分析小额信贷高利率问题，得出目前小额信贷宜采用高利率的结论。
DAG Based on the Method of Benchmark Interest Rate of China%基于DAG方法的中国基准利率研究
许亦平; 洪露; 周芊
2012-01-01
随着中国利率市场化改革的进行，基准利率的选择变得越来越重要。本文旨在借助一种新的计量模型DAG来确定我国目前短期利率中的关键利率。本文主要选取了六种非常活跃的、具有非常好的流动性的短期利率进行研究。最终得到的因果关系图显示隔夜Shibor、7天Shibor和隔夜同业拆借利率在货币市场中都起到了基础性作用，但这三者之间不存在因果关系，也就是说不存在唯一的利率可以直接地或间接地影响其他所有利率而充当基准利率的角色。%It has become more and more important to determine the bench- mark interest in China with the progress of interest marketization. This paper pro- poses a DAG based approach trying to identify the key short term interest rate among a group of six short term interest rates with active trading and good liquidity. The results show that the overnight Shibor rate, 7-day Shibor rate and the overnight interbank lending rate are key rates. But there is no causality effect existing among these three rates, which means that no single interest rate can olav the role of benchmark rate and affect all other rates.
12 CFR 201.51 - Interest rates applicable to credit extended by a Federal Reserve Bank. 1
2010-01-01
... account rates on market sources of funds. (d) Primary credit rate in a financial emergency. (1) The... U.S. money markets resulting from an act of war, military or terrorist attack, natural disaster, or... rates for primary credit provided to depository institutions under § 201.4(a) are: Federal Reserve Bank...
The Emergent Task of China： the Shift of Negative Interest Rate%中国当务之急应转变负利率
华耀军
2011-01-01
我国目前利率水平低于CPI涨幅,处于负利率状态,负利率正在使居民的消费能力下降,财富缩水,扭曲资本的市场化配置功能,加剧通货膨胀预期,更造成社会资金一定程度的错配,助长资产泡沫。通过分析负利率的成因和负面影响,提出可提高定期存款利率、稳定物价和转变经济增长模式来消除负利率。%At present,our country＇s interest rate level is lower than the rise of CPI,namely negative interest rate.Negative interest rate declines the consuming power of consumers,shrinks fortune,distorts market configuration function of capital,intensifies the inflation expectation,results in missed configuration of social capitals,and is conducive to asset bubbles.Through analyzing reasons for the generation of negative reasons and its negative impacts,the articles suggests some ways to eliminate the negative impacts of negative interest rate,including lifting interest rate of fixed term deposits,stabilizing prices,and changing the mode of economic growth.
Essay on Option Pricing, Hedging and Calibration
da Silva Ribeiro, André Manuel
Quantitative finance is concerned about applying mathematics to financial markets.This thesis is a collection of essays that study different problems in this field: How efficient are option price approximations to calibrate a stochastic volatilitymodel? (Chapter 2) How different is the discretely...... sampled realized variance from the continuouslysampled realized variance? (Chapter 3) How can we do static hedging for a payoff with two assets? (Chapter 4) Can we apply fast Fourier Transform methods to efficiently use interest rateMarkov-functional models? Can we extend them to accommodate othertypes...... stochastic volatility model gives stable, accurate, and fast results for S&P500-index option data over the period 2005 to 2009. Discretely Sampled Variance Options: A Stochastic Approximation Approach In this paper, we expand Drimus and Farkas (2012) framework to price variance options on discretely sampled...
2010-04-01
... using the cash receipts and disbursements method of accounting, any interest deduction disallowed for... income using the cash receipts and disbursements method of accounting, any deduction disallowed for any... remittance (either a payment of tax or a deposit in the nature of a cash bond) is received by the...
市场利率波动对期权价值的影响%THE EFFECT OF FLUCTUATION OF MARKET INTEREST RATE ON OPTION PRICE
林建华; 王世柱; 冯敬海
2001-01-01
本文在股价服从指数O-U过程模型假设下,考虑到市场利率波动与股价波动的相关性,着重分析了市场利率的波动对期权价值的影响,并将所得结果与Black-Scholes定价模型进行了比较.
7 CFR 1737.71 - Interest rate to be considered for the purpose of assessing feasibility for loans.
2010-01-01
...-year Treasury rate will be used in all feasibility studies for loans with a final maturity of at least... rate used in feasibility studies for loans with final maturities of less than 30 years. (c) The... “date of determination” means the date of the feasibility study used in support of the...
Décieux Jean Philippe
2015-01-01
Full Text Available Online surveys have become a popular method for data gathering for many reasons, including low costs and the ability to collect data rapidly. However, online data collection is often conducted without adequate attention to implementation details. One example is the frequent use of the forced answering option, which forces the respondent to answer each question in order to proceed through the questionnaire. The avoidance of missing data is often the idea behind the use of the forced answering option. However, we suggest that the costs of a reactance effect in terms of quality reduction and unit nonresponse may be high because respondents typically have plausible reasons for not answering questions. The objective of the study reported in this paper was to test the influence of forced answering on dropout rates and data quality. The results show that requiring participants answer every question increases dropout rates and decreases quality of answers. Our findings suggest that the desire for a complete data set has to be balanced against the consequences of reduced data quality.
Increased term life insurance based on ARCH force of interest rate%随机利息力ARCH模型下的递增定期寿险
李婷; 刘凌晨
2015-01-01
基于随机利息力A RC H模型 ,推导出递增 n年死亡保险保费公式、准备金计提公式 ,指出了随机利息力A RC H模型在保险精算业务中的应用性.%Based on random interest rate ARCH model ,the premium formula of increased n-year death insurance ,the reserve formula and the risk prediction formula are deduced .We give the applications of the random interest rate ARCH model in insurance practicability .
Alfred Guender; Allan G.J. Wu
2010-01-01
The operating procedure of a central bank influences in no small measure whether the behavior of interest rates is consistent with the expectations hypothesis. In New Zealand, the predictive content of the term spread improves markedly in the wake of the switch from a quantity-based to a price-based operating procedure in March 1999. The Official Cash Rate system has made it easier for market participants to understand the day-to-day conduct of monetary policy. As a result, market interest ra...