Estimating the market premium in short term interest rates
Hansen, Hans Fredrik
2006-01-01
Looking at the term structure in the interest rate market one can’t help notice the evident market premium above the central banks target rate. What factors might decide this premium? By using different variations of simple regression models we see that the model is constantly lagging the real time series. Acknowledging the fact that market clearings often are subject to several equations; we’re better able to develop a sensible model using a simultaneous equilibrium model. The multiple equat...
The Impact of Government Debt Issuance on Short-Term interest rates in Indonesia
Directory of Open Access Journals (Sweden)
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.
Directory of Open Access Journals (Sweden)
Đukić Đorđe
2009-01-01
Full Text Available Throughout the current global financial crisis the market has continued to fall due to a lack of confidence of those banks that are not yet prepared to lend on the interbank money market. For instance, the negative repercussions of the crisis onto the Serbian financial sector have created a number of issues including a significant increase in lending rates, a difficulty, or impossibility, for the corporate sector to use cheap cross-border loans and a reduction in the supply of foreign exchange on that basis. 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 of a decline in short-term interest rates by the Serbian banking industry. The first section of the paper focuses on the effects of the financial crisis through the behavior of short-term interest rates in the US and Europe, while the second section gives an estimation of the effects of the global financial crisis on interest rates in the banking industry in Serbia.
DEFF Research Database (Denmark)
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....
Marina Pepic
2014-01-01
Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk. Financial derivatives are a relatively simple way of protection from adverse changes in interest rates. Interest rate swaps are particularly popular because they reduce interest rate risk to a minimum with a relatively low initial cost and without great risk, but also because of the fact that there are many modific...
Understanding Interest Rate Volatility
Volker, Desi
2016-01-01
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 Stochast...
Understanding Interest Rate Volatility
DEFF Research Database (Denmark)
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...
Coopersmith, Michael; Gambardella, Pascal J.
2016-01-01
This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between the difference of the nominal interest rate and its inflation adjusted value to eliminate the inflation rate and obtain a delay differential equation. We provide computer simulated solutions for this equation over regimes of interest. This paper could be of ...
Xiao, Weilin; Zhang, Weiguo; Zhang, Xili; Chen, Xiaoyan
2014-01-01
Motivated by the empirical evidence of long range dependence in short-term interest rates and considering the long maturities of equity warrants, we propose the fractional Vasicek model to describe the dynamics of the short rate in the pricing environment of equity warrants. Using the partial differential equation approach, we present a valuation model for equity warrants under the assumption that the short rate follows the fractional Vasicek process. After identifying the pricing model for equity warrants, we provide the parameter estimation procedure for the proposed pricing model. Since obtaining the values of equity warrants from the proposed model needs to solve a nonlinear equation, we employ a hybrid intelligent algorithm to get around this optimization problem. Furthermore, to illustrate the practicality of our proposed model, we conduct an empirical study to ascertain the performance of our proposed model using the data from China’s warrant market and the China Foreign Exchange Trade System. The comparison of traditional models (such as the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model) with our proposed model is also presented. The empirical results show that the mean absolute percentage error of our pricing model is 10.30%. By contrast, the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model applied to the same warrant produce mean absolute errors of 35.26%, 37.67%, 33.40%, 32.81%, respectively. Thus the long memory property in stochastic interest rates cannot be ignored in determining the valuation of equity warrants.
Directory of Open Access Journals (Sweden)
Marina Pepić
2014-12-01
Full Text Available Interest rates changes have a huge impact on the business performance. Therefore, it is of great importance for the market participants to identify and adequately manage this risk. Financial derivatives are a relatively simple way of protection from adverse changes in interest rates. Interest rate swaps are particularly popular because they reduce interest rate risk to a minimum with a relatively low initial cost and without great risk, but also because of the fact that there are manymodifications of the standard swap created to better satisfy the different needs of market players.
Forecasting Interest Rates and Inflation
DEFF Research Database (Denmark)
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...
Kanevski, M.; Maignan, M.; Pozdnoukhov, A.; Timonin, V.
2008-06-01
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a two-dimensional feature space-time and maturity. Exploratory data analysis includes a variety of tools widely used in econophysics and geostatistics. Geostatistical models and machine learning algorithms (multilayer perceptron and Support Vector Machines) were applied to produce interest rate maps. IR maps can be used for the visualisation and pattern perception purposes, to develop and to explore economical hypotheses, to produce dynamic asset-liability simulations and for financial risk assessments. The feasibility of an application of interest rates mapping approach for the IRC forecasting is considered as well.
Coopersmith, Michael
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...
Speculation, Hedging, and Interest Rates
DEFF Research Database (Denmark)
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...
2010-04-06
... 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.... This rate may [[Page 17454
2011-12-13
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2012-12-28
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2011-04-05
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2013-03-27
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2010-12-27
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2012-07-03
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2010-06-30
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2012-04-04
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2010-09-29
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2012-09-27
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2013-10-22
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
2013-07-01
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This rate will...
Points of Interest: What Determines Interest Rates?
Schilling, Tim
Interest rates can significantly influence people's behavior. When rates decline, homeowners rush to buy new homes and refinance old mortgages; automobile buyers scramble to buy new cars; the stock market soars, and people tend to feel more optimistic about the future. But even though individuals respond to changes in rates, they may not fully…
2011-07-01
... 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.... This rate may be used as a base rate for guaranteed fluctuating interest rate SBA loans. This [[Page...
Management of interest rate risk
Directory of Open Access Journals (Sweden)
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
Directory of Open Access Journals (Sweden)
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.
Financial markets and interest rate
Directory of Open Access Journals (Sweden)
Dudić Zdenka
2012-01-01
Full Text Available The paper 'Financial Markets and Interest Rate' originated from the thesis paper. This topic is very interesting and more and more present in the recent few years. Various changes in the market, increased competition, the development of information technologies, application of innovations, all these contribute to the rapid expansion of scope and use of financial derivatives. Therefore, under these influences, oscillations in various markets are present on a daily basis, so that the vast expansion of financial contracts is present, which is mainly related to interest rates. What are the world's best-known stock markets? What are the instruments most actively traded on stock exchanges? The words LIBOR and BBA LIBOR are frequently heard in today's media. What is LIBOR? What is BBA LIBOR? How and when is it determined? Where is LIBOR used?.
2010-04-01
... 27 Alcohol, Tobacco Products and Firearms 2 2010-04-01 2010-04-01 false Interest rate. 70.93... Excise and Special (Occupational) Tax Interest § 70.93 Interest rate. (a) In general. The interest rate... annual percentage rate of interest will exceed the prescribed rate of interest. (b) Applicability of...
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
A Note on Interest Rates and Structural Federal Budget Deficits
Kitchen, John
2002-01-01
This paper provides evidence on the response of interest rates to Federal budget deficits. A simple model is presented that incorporates the role of monetary policy in the determination of short-run interest rates and that ascribes the effects of government budget imbalances on the term structure of interest rates to uncertainty about the expected evolution of inflation and real interest rates. Empirical results support the view that the term structure of interest rates is affected by Fede...
Why Are Real Interest Rates So High?
Zvi Bodie; Alex Kane; Robert L. McDonald
1983-01-01
This paper applies the Capital Asset Pricing Model to help explain the anomalous behavior of real interest rates during the last several years. Specifically,we are able to show that the increased volatility of bond prices since the change in Federal Reserve operating procedure in October 1979 has substantially increased the required real risk premium on long term bonds. We also consider and reject the possibility that increased risk alone accounts for the recent increase in the short-term rea...
Global warming and interest rate
International Nuclear Information System (INIS)
Rey, Francisco C.
1999-01-01
The socio-economical growth of our country will yield unavoidably a sustained growth on the energy demand, particularly on the electricity demand. If the expected assumptions are fulfilled, the needed power needed to cover the electrical demand between 1997 and 2020 will almost triple, and the natural gas consumption by the generating facilities and CO 2 emissions in that sector will multiply by five. If the emissions of other sector grow at the same rate as those of the electric sector the level of the emissions in our country will be equivalent to those of the developed countries at present. It is imperative to put limits to the growth of those emissions. In order to avoid that limiting of the emissions to be just a declaration, it is necessary to find and implement mechanisms that will lead to that goal. In the electric sector, and in order to promote the use of energy sources free of those emissions, the possible measures are: Application of an emission tax of U$ 10 (or higher) per ton of CO 2 and use of the resulting funds to cause a decrease in the interest rate applied to electric generation projects which do not emit greenhouse gases. Contributions by the countries responsible for the present level of CO 2 in the atmosphere to lower the incidence of the initial capital costs on the generation costs for the same type of projects (via low rate loans or subsidies). Being active any one of these two mechanisms (or both), will provoke those clean generation sources to compete successfully and will allow them to be a valuable tool to effectively diminish the growth of the emissions of those gases from the electric sector. Besides, a tax of such magnitude would not provoke an important increase on the electric energy prices. If any mechanism is implemented which intends to effectively diminish the CO 2 emissions, the first important project to be completed is the completion of the Atucha II power station. (author)
24 CFR 206.21 - Interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Interest rate. 206.21 Section 206... CONVERSION MORTGAGE INSURANCE Eligibility; Endorsement Eligible Mortgages § 206.21 Interest rate. (a) Fixed interest rate. A fixed interest rate is agreed upon by the mortgagor and mortgagee. (b) Adjustable interest...
7 CFR 4279.125 - Interest rates.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rates. 4279.125 Section 4279.125 Agriculture... Interest rates. The interest rate for the guaranteed loan will be negotiated between the lender and the applicant and may be either fixed or variable as long as it is a legal rate. Interest rates will not be more...
7 CFR 1980.320 - Interest rate.
2010-01-01
... 7 Agriculture 14 2010-01-01 2009-01-01 true Interest rate. 1980.320 Section 1980.320 Agriculture... REGULATIONS (CONTINUED) GENERAL Rural Housing Loans § 1980.320 Interest rate. The interest rate must not... interest rate over the life of the loan. The rate shall be agreed upon by the borrower and the Lender and...
7 CFR 4280.124 - Interest rates.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rates. 4280.124 Section 4280.124 Agriculture... Improvements Program Section B. Guaranteed Loans § 4280.124 Interest rates. (a) The interest rate for the... in similar circumstances in the ordinary course of business. The interest rate charged is subject to...
7 CFR 4274.325 - Interest rates.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rates. 4274.325 Section 4274.325 Agriculture... (IRP) § 4274.325 Interest rates. (a) Loans made by the Agency pursuant to this subpart shall bear interest at a fixed rate of 1 percent per annum over the term of the loan. (b) Interest rates charged by...
76 FR 59767 - Interest Rates; Notice
2011-09-27
... 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... fluctuating interest rate SBA loans. This rate will be 3.125 (3\\1/8\\) percent for the October-December quarter...
7 CFR 1779.33 - Interest rates.
2010-01-01
... 7 Agriculture 12 2010-01-01 2010-01-01 false Interest rates. 1779.33 Section 1779.33 Agriculture... (CONTINUED) WATER AND WASTE DISPOSAL PROGRAMS GUARANTEED LOANS § 1779.33 Interest rates. (a) General. Rates.... Interest rates will be those rates customarily charged borrowers in similar circumstances in the ordinary...
7 CFR 3575.33 - Interest rates.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rates. 3575.33 Section 3575.33 Agriculture... GENERAL Community Programs Guaranteed Loans § 3575.33 Interest rates. (a) General. Rates will be negotiated between the lender and the borrower. They may be either fixed or variable rates. Interest rates...
7 CFR 1714.4 - Interest rates.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Interest rates. 1714.4 Section 1714.4 Agriculture... PRE-LOAN POLICIES AND PROCEDURES FOR INSURED ELECTRIC LOANS General § 1714.4 Interest rates. (a) Municipal rate loans. Each advance of funds on a municipal rate loan shall bear interest at a single rate...
24 CFR 232.560 - Interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Interest rate. 232.560 Section 232... Equipment Eligible Security Instruments § 232.560 Interest rate. (a) The loan shall bear interest at the rate agreed upon by the lender and the borrower. (b) Interest shall be payable in monthly installments...
24 CFR 200.83 - Interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Interest rate. 200.83 Section 200... Eligibility Requirements for Existing Projects Mortgage Provisions § 200.83 Interest rate. (a) The mortgage shall bear interest at the rate agreed upon by the mortgagee and the mortgagor. (b) Interest shall be...
Retail Interest Rate Pass-Through - The Irish Experience
Don Bredin; Trevor Fitzpatrick; Gerard O Reilly
2002-01-01
Most central banks use a short-term interest rate such as the one-month money market interest rate as their main instrument of monetary policy. Changes to this short-term interest rate are the first important step in the transmission of monetary policy. Consumption and investment decisions made by households and firms will be affected by the rate of interest rate charged to them by banks and other financial intermediaries. A critical element of the transmission of monetary policy is the degre...
12 CFR 614.4155 - Interest rates.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rates. 614.4155 Section 614.4155 Banks... Policies for Banks and Associations § 614.4155 Interest rates. Loans made by each bank and direct lender association shall bear interest at a rate or rates as may be determined by the institution board. The board...
7 CFR 1950.105 - Interest rate.
2010-01-01
... 7 Agriculture 14 2010-01-01 2009-01-01 true Interest rate. 1950.105 Section 1950.105 Agriculture... rate. (a) The Soldiers and Sailors Relief Act requires that the effective interest rate charged a... Supervisor will send the borrower a letter which states that the interest rate on the borrower's FmHA or its...
7 CFR 1980.423 - Interest rates.
2010-01-01
... 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) Guaranteed... variable as long as they are legal. Interest rates will be those rates customarily charged borrowers in...
An empirical analysis of the German interest rate
den Butter, F.A.G.; Jansen, P.W.
2004-01-01
The short run and long run influences of the main determinants of the German long-term interest rate are estimated using quarterly data for the period 1982-2001. A major reason for the focus on the German interest rate is that this rate, and hence its determinants, will be dominant in explaining the
7 CFR 3550.66 - Interest rate.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Interest rate. 3550.66 Section 3550.66 Agriculture... DIRECT SINGLE FAMILY HOUSING LOANS AND GRANTS Section 502 Origination § 3550.66 Interest rate. Loans will be written using the applicable RHS interest rate in effect at loan approval or loan closing...
2010-01-01
... 8 Aliens and Nationality 1 2010-01-01 2010-01-01 false Interest rate. 293.2 Section 293.2 Aliens... CASH RECEIVED TO SECURE IMMIGRATION BONDS § 293.2 Interest rate. The Secretary of the Treasury has determined that effective from date of deposit occurring after April 27, 1966, the interest rate shall be 3...
2010-01-01
... 5 Administrative Personnel 3 2010-01-01 2010-01-01 false Interest rate. 1655.7 Section 1655.7 Administrative Personnel FEDERAL RETIREMENT THRIFT INVESTMENT BOARD LOAN PROGRAM § 1655.7 Interest rate. (a... interest rate established by the Department of the Treasury in effect on the date the TSP record keeper...
13 CFR 120.932 - Interest rate.
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false Interest rate. 120.932 Section 120.932 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION BUSINESS LOANS Development Company Loan Program (504) 504 Loans and Debentures § 120.932 Interest rate. The interest rate of the 504 Loan...
Interest Rate Risk Management using Duration Gap Methodology
Directory of Open Access Journals (Sweden)
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.
Covered Interest Parity, Uncovered Interest Parity, and Exchange Rate Dynamics
Eaton, Jonathan; Turnovsky, Stephen J.
1981-01-01
A number of macroeconomic models of open economies under flexible exchange rate assume a strong version of perfect capital mobility which implies that currency speculation commands no risk premium. If this assumption is dropped a number of important results no longer obtain. First, the exchange rate and interest rate cannot be in steady state unless both the government deficit and current account equal zero, not simply their sum, as would otherwise be the case. Second, even in steady state th...
76 FR 16570 - Interest Rate Risk
2011-03-24
... NATIONAL CREDIT UNION ADMINISTRATION 12 CFR Part 741 RIN 3133-AD66 Interest Rate Risk AGENCY... regulations to require Federally insured credit unions to have a written policy addressing interest rate risk... Risk Management for Credit Unions with Large Positions in Fixed Rate Mortgages; 06-CU-16 Inter-Agency...
International convergence of capital market interest rates.
Fase, M.M.G.; Vlaar, P.J.G.
1997-01-01
This article investigates the extent of capital market interest rate convergence among six EU countries on the one hand, and a group of four countries with floating exchange rates - US, Germany, Japan and Switzerland - on the other. We conclude that interest rate changes within the EU have been and
Inventory Investment and the Real Interest Rate
Junayed, Sadaquat; Khan, Hashmat
2009-01-01
The relationship between inventory investment and the real interest rate has been difficult to assess empirically. Recent work has proposed a linear-quadratic inventory model with time-varying discount factor to identify the effects of the real interest rate on inventory investment. The authors show that this framework does not separately identify the effects of real interest rate on inventory investment from variables that determine the expected marginal cost of production. In other words, t...
Remarks on Interest Rate Risk Management
Directory of Open Access Journals (Sweden)
Elena-Violeta DRAGOI
2016-12-01
Full Text Available Bank interest and interest rate risk management is a contemporary subject and for socio-economic environment of Romania cause serious consequences in the level of economic development. The purpose of this research is to highlight the main indicator that measures the total cost of a loan, namely the annual percentage rate (APR, because if we refer to an interest rate lower, at first glance that loan seems more advantageous, but at a closer look, taking into account the commissions charged by the bank, we see that the loan is more expensive compared to another, whose interest rate is higher.
Stochastic interest rates model in compounding | Galadima ...
African Journals Online (AJOL)
Stochastic interest rates model in compounding. ... in finance, real estate, insurance, accounting and other areas of business administration. The assumption that future rates are fixed and known with certainty at the beginning of an investment, ...
Rising Long-term Interest Rates
DEFF Research Database (Denmark)
Hallett, Andrew Hughes
Rather than chronicle recent developments in European long-term interest rates as such, this paper assesses the impact of increases in those interest rates on economic performance and inflation. That puts us in a position to evaluate the economic pressures for further rises in those rates......, the first question posed in this assignment, and the scope for overshooting (the second question), and then make some illustrative predictions of future interest rates in the euro area. We find a wide range of effects from rising interest rates, mostly small and mostly negative, focused on investment...... till the emerging European recovery is on a firmer basis and capable of overcoming increases in the cost of borrowing and shrinking fiscal space. There is also an implication that worries about rising/overshooting interest rates often reflect the fact that inflation risks are unequally distributed...
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
Nonlinear dynamics of interest rate and inflation
Markku Lanne
2004-01-01
According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with the theoretical models. In this paper we introduce a nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1952 Q1 – 2000 Q2) reasonably well. It is found that the thr...
Forecasting interest rates with shifting endpoints
DEFF Research Database (Denmark)
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....
Extracting factors for interest rate scenarios
Molgedey, L.; Galic, E.
2001-04-01
Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve.
Interest Rate Risk Management and the Use of Derivative Securities
Directory of Open Access Journals (Sweden)
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.
On pricing of interest rate derivatives
Di Matteo, T.; Airoldi, M.; Scalas, E.
2004-01-01
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour is illustrated using LIBOR data, and a possible martingale pricing scheme is discussed.
Interest rate rules with heterogeneous expectations
Anufriev, M.; Assenza, T.; Hommes, C.; Massaro, D.
2011-01-01
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a simple frictionless DSGE model to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous expectations and
China’s interest rate liberalization reform
Li, Cindy
2014-01-01
This Asia Focus report explains the importance of interest rate liberalization in China, reviews historical progress and current efforts made to date, and discusses the potential impact on the banking sector.
The Interaction between American and European IRS Interest Rates
Directory of Open Access Journals (Sweden)
Verga Giovanni
2018-03-01
Full Text Available European interest rates movements are affected by various internal and external factors. This paper studies the link between European and American short- and long-term interest rates. In particular, we consider the forward interest rates coming from euro and dollar IRS term structures. The econometric techniques employed are co-integration, Granger-causality, OLS and GMM. Our results indicate that European remote settlement forward and long-term interest rates are primarily driven by US rates and confirm that the causality acts mainly from the US to the Eurozone. This was true even during the recent periods of European Central Bank quantitative easing. These factors weaken the ECB’s ability to intervene. In fact, we found the impact of American monetary policy on long-term interest rates to be also relevant for European bonds.
The Neutral Interest Rate: Estimates for Chile
Rodrigo Fuentes S; Fabián Gredig U.
2008-01-01
To estimate the neutral real interest rate for Chile, we use a variety of methods that can be classified into three categories: those derived from economic theory, the neutral rate implicit in financial assets, and statistical procedures using macroeconomic data. We conclude that the neutral rate is not constant over time, but it is closely related with—though not equivalent to—the potential GDP growth rate. The application of the different methods yields fairly similar results. The neutral r...
The natural gas industry and interest rates
International Nuclear Information System (INIS)
Yoon, Y.J.
1995-01-01
In discussing the impact of Federal Energy Regulatory Commission (FERC) Order 636, the latest rule on the restructuring and deregulation of the US natural gas industry, the effect of interest rates on the success of the FERC policy is often overlooked. The thesis of this paper is that interest rates play an important role in integrating seasonal gas markets and in stimulating investment in storage infrastructure. We propose a model to analyse the equilibrium condition for an efficient gas market. Also analysed are the implications of pipeline rate design of FERC 636 for gas despatch decisions. (author)
2014-01-01
M.Com. (Financial Economics) Recently, there has been a growth in the bond market. This growth has brought with it an ever-increasing volume and range of interest rate depended derivative products known as interest rate derivatives. Amongst the variables used in pricing these derivative products is the short-term interest rate. A numbers of short-term interest rate models that are used to fit the short-term interest rate exist. Therefore, understanding the features characterised by various...
On Recall Rate of Interest Point Detectors
DEFF Research Database (Denmark)
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...
Interest Rate Risk Management using Duration Gap Methodology
Directory of Open Access Journals (Sweden)
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
Do Firms Believe in Interest Rate Parity?
Matthew R. McBrady; Sandra Mortal; Michael J. Schill
2010-01-01
Using a broad sample of international corporate bond offerings, we provide evidence that corporate borrowers make opportunistic currency choices, in that they denominate the currency of their bonds in a manner that is inconsistent with a belief in either covered or uncovered interest rate parity. Using firm-level tests, we identify a number of characteristics of firms that engage in opportunistic behavior. We observe that large issuers located in developed markets with investment-grade rating...
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)
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)
Bank Consolidation and Consumer Loan Interest Rates
Charles Kahn; George Pennacchi; Ben Sopranzetti
2001-01-01
The recent wave of bank mergers has raised concern with its effect on competition. This paper examines the influence of concentration and merger activity on consumer loan interest rates. It uses Bank Rate Monitor, Inc. survey data on loan rates quoted weekly by large commercial banks in ten major U.S. cities during the 1989 to 1997 period. The pricing behavior of banks is analyzed for two types of loans: new automobile loans and unsecured personal loans. Market concentration is found to have ...
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.
Annuities under random rates of interest - revisited
Burnecki, K.; Marciniuk, A.; Weron, A.
2001-01-01
In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on annuities with payments varying in arithmetic and geometric progression which are important basic varying annuities (see Kellison, 1991). They appear to be a generalization of the types studied recently by Zaks (2001). We derive, via recursive relationships, mean and variance formulae of the final values of the annuities. As a consequence, we obtain momen...
On the theory of interest rate policy
Directory of Open Access Journals (Sweden)
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.
On high interest rates in Brazil
Directory of Open Access Journals (Sweden)
Francisco Lafaiete Lopes
2014-03-01
Full Text Available This article examines the question of why interest rates are so high in Brazil as compared to the international average. It looks at theoretical arguments based on excessive government deficits, structural lack of private savings, inflation bias, excessive investment demand and fear of floating. An informal look at the evidence does not strongly corroborate any of these arguments. Hence a wise central bank should consider "testing" the market to make sure it is not dealing with an extreme equilibrium configuration or a long standing disequilibrium.
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
The effectiveness of Japan's negative interest rate policy
Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; Miyamoto, Hiroaki
2017-01-01
In April 2013, the Bank of Japan (BOJ) introduced an inflation target of 2% with the aim of overcoming deflation and achieving sustainable economic growth. But due to lower international oil prices, it was unable to achieve this target and was forced to take further measures. Hence, in February 2016, the BOJ adopted a negative interest rate policy by massively increasing the money supply through purchasing long-term Japanese government bonds (JGB). The BOJ had previously purchased short-term ...
Money Supply, Interest Rate, and Economic Growth in Cameroon: A ...
African Journals Online (AJOL)
Money Supply, Interest Rate, and Economic Growth in Cameroon: A Time Series ... the impacts of money and interest rate on economic growth and development. ... Money Supply, Interest Rates, Economic growth, Co-integration and Inflation.
Interest Rates and Coupon Bonds in Quantum Finance
Baaquie, Belal E.
2009-09-01
1. Synopsis; 2. Interest rates and coupon bonds; 3. Options and option theory; 4. Interest rate and coupon bond options; 5. Quantum field theory of bond forward interest rates; 6. Libor Market Model of interest rates; 7. Empirical analysis of forward interest rates; 8. Libor Market Model of interest rate options; 9. Numeraires for bond forward interest rates; 10. Empirical analysis of interest rate caps; 11. Coupon bond European and Asian options; 12. Empirical analysis of interest rate swaptions; 13. Correlation of coupon bond options; 14. Hedging interest rate options; 15. Interest rate Hamiltonian and option theory; 16. American options for coupon bonds and interest rates; 17. Hamiltonian derivation of coupon bond options; Appendixes; Glossaries; List of symbols; Reference; Index.
Directory of Open Access Journals (Sweden)
Syed Tehseen JAWAID
2012-08-01
Full Text Available This study investigates the effects of exchange rate, interest rates, and their volatilities on stock prices of banking industry of Pakistan. Cointegration results suggests the existance of significant negative long run relationship between exchange rate and short term interest rate with stock prices. On the other hand, positive and significant relationship exists between volatilities of exchange rate and interest rate with stock prices. Causality analysis confirms bidirectional causality between exchange rate and stock prices. Whereas, unidirectional causality runs from short term interest rate to stock prices. Sensitivity analysis confirms that the results are robust. It is suggested that investors should invest in banking sector stocks when exchange rate and interest rates are highly volatile. The result also supports the view that exchange rate and interest rate can be used as an indicator for investment decision making in banking sector stocks.
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 and is used for determining the movement of the interest rate on renegotiable-rate mortgages and...
29 CFR 20.58 - Rate of interest.
2010-07-01
... 29 Labor 1 2010-07-01 2010-07-01 true Rate of interest. 20.58 Section 20.58 Labor Office of the Secretary of Labor FEDERAL CLAIMS COLLECTION Interest, Penalties and Administrative Costs § 20.58 Rate of interest. (a) The rate of interest assessed shall be the rate of the current value of funds to the United...
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 made...
Equivalence of interest rate models and lattice gases.
Pirjol, Dan
2012-04-01
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t)=a(t)exp[x(t)]. These models include the Black-Derman-Toy and Black-Karasinski models in the terminal measure. We show that such interest rate models are equivalent to lattice gases with attractive two-body interaction, V(t(1),t(2))=-Cov[x(t(1)),x(t(2))]. We consider in some detail the Black-Karasinski model with x(t) as an Ornstein-Uhlenbeck process, and show that it is similar to a lattice gas model considered by Kac and Helfand, with attractive long-range two-body interactions, V(x,y)=-α(e(-γ|x-y|)-e(-γ(x+y))). An explicit solution for the model is given as a sum over the states of the lattice gas, which is used to show that the model has a phase transition similar to that found previously in the Black-Derman-Toy model in the terminal measure.
REAL INTEREST RATES AND GOVERNMENT DEBT DURING STABILIZATION
Velasco, Andres
1989-01-01
High real interest rates typically accompany successful disinflations. If government deficits are financed with domestic debt, this behavior of interest rates can be destabilizing. High interest rates increase debt service costs and contribute to the accumulation of debt, threatening the whole anti-inflation effort. The exchange rate regime matters in this context. Under perfectly flexible exchange rates, the real interest rate is invariant to changes in the rate of money creation. By contras...
A Simple Approach to Interest-Rate Option Pricing.
Turnbull, Stuart M; Milne, Frank
1991-01-01
A simple introduction to contingent claim valuation of risky assets in a discrete time, stochastic interest-rate economy is provided. Taking the term structure of interest rates as exogenous, closed-form solutions are derived for European options written on (1) Treasury bills, (2) interest-rate forward contracts, (3) interest-rate futures contracts, (4) Treasury bonds, (5) interest-rate caps, (6) stock options, (7) equity forward contracts, (8) equity futures contracts, (9) Eurodollar liabili...
Currency crises and the interest rate defence
Daniëls, T.
2008-01-01
While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. We argue that incorporating both the mechanics of
Estimating the effects of Exchange and Interest Rates on Stock ...
African Journals Online (AJOL)
The monthly closing returns of All-share index, exchange rates and interest rates ... The interest rate also showed a negative relationship but insignificant at the ... is a prerequisite for attracting investments especially foreign direct investment.
24 CFR 203.405 - Debenture interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Debenture interest rate. 203.405... Debenture interest rate. (a) Debentures shall bear interest from the date of issue, payable semiannually on... claim is paid in cash, the debenture interest rate for purposes of calculating such a claim shall be the...
24 CFR 203.20 - Agreed interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Agreed interest rate. 203.20... § 203.20 Agreed interest rate. (a) The mortgage shall bear interest at the rate agreed upon by the mortgagee and the mortgagor. (b) Interest shall be payable in monthly installments on the principal amount...
24 CFR 203.479 - Debenture interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Debenture interest rate. 203.479... interest rate. (a) Debentures shall bear interest from the date of issue, payable semiannually on the first... applicable rates of interest will be published twice each year as a notice in the Federal Register. (b) For...
5 CFR 841.603 - Rate of interest.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Rate of interest. 841.603 Section 841.603... EMPLOYEES RETIREMENT SYSTEM-GENERAL ADMINISTRATION Computation of Interest § 841.603 Rate of interest. For... to notify the public of the interest rate that will be in effect during that calendar year. ...
78 FR 39063 - Prompt Payment Interest Rate; Contract Disputes Act
2013-06-28
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act..., 2013, and ending on December 31, 2013, the prompt payment interest rate is 1\\3/4\\ per centum per annum... authority to specify the rate by which the interest shall be computed for interest payments under section 12...
24 CFR 241.560 - Agreed interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Agreed interest rate. 241.560... § 241.560 Agreed interest rate. (a) The mortgage shall bear interest at the rate agreed upon by the lender and the borrower. (b) Interest shall be payable in monthly installments on the principal amount of...
Risk management under a two-factor model of the term structure of interest rates
Manuel Moreno
1997-01-01
This paper presents several applications to interest rate risk management based on a two-factor continuous-time model of the term structure of interest rates previously presented in Moreno (1996). This model assumes that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread (difference between the long-term rate and the short-term (instantaneous) riskless rate). Several new measures of ``generalized duration" are p...
49 CFR 1141.1 - Procedures to calculate interest rates.
2010-10-01
... the portion of the year covered by the interest rate. A simple multiplication of the nominal rate by... 49 Transportation 8 2010-10-01 2010-10-01 false Procedures to calculate interest rates. 1141.1... TRANSPORTATION BOARD, DEPARTMENT OF TRANSPORTATION RULES OF PRACTICE PROCEDURES TO CALCULATE INTEREST RATES...
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...
7 CFR 1735.33 - Variable interest rate loans.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Variable interest rate loans. 1735.33 Section 1735.33... § 1735.33 Variable interest rate loans. After June 10, 1991, and prior to November 1, 1993, RUS made certain variable rate loans at interest rates less than 5 percent but not less than 2 percent. For those...
24 CFR 242.26 - Agreed interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Agreed interest rate. 242.26... MORTGAGE INSURANCE FOR HOSPITALS Mortgage Requirements § 242.26 Agreed interest rate. (a) The mortgage shall bear interest at the rate or rates agreed upon by the mortgagee and the mortgagor. (b) The amount...
7 CFR 3565.210 - Maximum interest rate.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Maximum interest rate. 3565.210 Section 3565.210... AGRICULTURE GUARANTEED RURAL RENTAL HOUSING PROGRAM Loan Requirements § 3565.210 Maximum interest rate. The interest rate for a guaranteed loan must not exceed the maximum allowable rate specified by the Agency in...
7 CFR 1714.6 - Interest rate term.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Interest rate term. 1714.6 Section 1714.6 Agriculture... PRE-LOAN POLICIES AND PROCEDURES FOR INSURED ELECTRIC LOANS General § 1714.6 Interest rate term. (a) Municipal rate loans. Selection of interest rate terms shall be made by the borrower for each advance of...
Interest rate risk of life insurers: Evidence from accounting data
Möhlmann, Axel
2017-01-01
Life insurers are exposed to interest rate risk, and their liability side is typically more sensitive to interest rate changes than their asset side. This paper develops an accounting-based measure of interest rate sensitivity. My approach uses the coexistence of historical cost and market value accounting, which permits the observation of valuations for different discount rates. Using microdata, I show that German life insurers have a significant exposure to interest rate risk. However, ther...
Supporting the Energy Transition: the Role of Low Interest Rates
International Nuclear Information System (INIS)
Monnin, Pierre
2015-01-01
Low interest rates tend to favor 'green technologies' competitiveness while also increasing their cost volatility. Our analysis of the impact of interest rates on green energy technologies costs points to three key conclusions: - A low interest rate environment makes green energy technologies more competitive. Hydroelectric power is less expensive than any other technology across the entire spectrum of interest rate levels that we analyzed in this paper. Wind on-shore is competitive with all other technologies up until interest rates of about 8%. - Green energy technologies' LCOEs react more significantly to a change in interest rates than the LCOEs of brown energy technologies, implying a greater volatility for green energy technologies' costs in response to interest rate volatility. A higher volatility is damaging because it brings more uncertainty in investment decisions. As a result, stable interest rates are more beneficial for green energy investments than for brown energy investments. - In order to increase the ratio of green to brown energy investments, we can consider a discount on the interest rates for the former or a premium on interest rates for the latter. Our estimations indicate that, because interest rate changes have a greater impact on the costs of green energy technologies, a discount on green investments' interest rates would be more efficient than a premium on brown investments' interest rates. (author)
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
26 CFR 301.6621-1 - Interest rate.
2010-04-01
... March 1, 1983. Such interest is computed at the rate of 12 percent per annum, simple interest from April 15, 1981, to January 31, 1982, and at the rate of 20 percent per annum, simple interest from January... December 31, 1982, to March 1, 1983. The total simple interest accrued but unpaid at the end of December 31...
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...
Forecasting Interest Rates Using Geostatistical Techniques
Directory of Open Access Journals (Sweden)
Giuseppe Arbia
2015-11-01
Full Text Available Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply the proposed method to forecast Euro Zero Rates (2003–2014 using the Ordinary Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield curves is proposed. The results show that the model is characterized by good levels of predictions’ accuracy and it is competitive with the other forecasting models considered.
Inflation is Always and Everywhere an Interest-Rate Phenomenon
Belanger, Gilles
2016-01-01
Following an earlier paper, I investigate an economy where nominal interest rates are rigid, but aggregate prices are not. Though the title exaggerates, interest rates rigidity does account for an uncanny number of stylized facts about inflation. This paper shows that previously shown results are robust to changes in the specification of interest rate rigidity. Results investigated include: (1) the procyclicality of inflation, (2) inflation control through interest rate manipulation,(3) the ...
INTEREST RATE DERIVATIVES IN DEVELOPING COUNTRIES IN EUROPE
SLOBODAN CEROVIC; MARINA PEPIC
2011-01-01
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 t...
Inflation, Exchange Rates and Interest Rates in Ghana: an Autoregressive Distributed Lag Model
Directory of Open Access Journals (Sweden)
Dennis Nchor
2015-01-01
Full Text Available This paper investigates the impact of exchange rate movement and the nominal interest rate on inflation in Ghana. It also looks at the presence of the Fisher Effect and the International Fisher Effect scenarios. It makes use of an autoregressive distributed lag model and an unrestricted error correction model. Ordinary Least Squares regression methods were also employed to determine the presence of the Fischer Effect and the International Fisher Effect. The results from the study show that in the short run a percentage point increase in the level of depreciation of the Ghana cedi leads to an increase in the rate of inflation by 0.20%. A percentage point increase in the level of nominal interest rates however results in a decrease in inflation by 0.98%. Inflation increases by 1.33% for every percentage point increase in the nominal interest rate in the long run. An increase in inflation on the other hand increases the nominal interest rate by 0.51% which demonstrates the partial Fisher effect. A 1% increase in the interest rate differential leads to a depreciation of the Ghana cedi by approximately 1% which indicates the full International Fisher effect.
75 FR 82146 - Prompt Payment Interest Rate; Contract Disputes Act
2010-12-29
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning January 1, 2011, and ending on June 30, 2011, the prompt payment interest rate is 2\\5/8\\ per... calculation of interest due on claims at the rate established by the Secretary of the Treasury. The Secretary...
12 CFR 614.4160 - Differential interest rate programs.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Differential interest rate programs. 614.4160... OPERATIONS General Loan Policies for Banks and Associations § 614.4160 Differential interest rate programs. Pursuant to policies approved by the board of directors, differential interest rates may be established for...
75 FR 80055 - Notice of Interest Rate on Overdue Debts
2010-12-21
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
77 FR 60438 - Notice of Interest Rate on Overdue Debts
2012-10-03
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
77 FR 38888 - Prompt Payment Interest Rate; Contract Disputes Act
2012-06-29
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning July 1, 2012, and ending on December 31, 2012, the prompt payment interest rate is 1\\3/4\\ per... interest due on claims at the rate established by the Secretary of the Treasury. The Secretary of the...
75 FR 37881 - Prompt Payment Interest Rate; Contract Disputes Act
2010-06-30
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning July 1, 2010, and ending on December 31, 2010, the prompt payment interest rate is 3\\1/8\\ per... of interest due on claims at the rate established by the Secretary of the Treasury. The Secretary of...
77 FR 76624 - Prompt Payment Interest Rate; Contract Disputes Act
2012-12-28
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning January 1, 2013, and ending on June 30, 2013, the prompt payment interest rate is 1-3/8 per centum... Prompt Payment Act, 31 U.S.C. 3902(a), provide for the calculation of interest due on claims at the rate...
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 time...
78 FR 23936 - Notice of Interest Rate on Overdue Debts
2013-04-23
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
12 CFR 615.5135 - Management of interest rate risk.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Management of interest rate risk. 615.5135... of interest rate risk. The board of directors of each Farm Credit Bank, bank for cooperatives, and agricultural credit bank shall develop and implement an interest rate risk management program as set forth in...
24 CFR 241.1070 - Agreed interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Agreed interest rate. 241.1070...-Eligibility Requirements § 241.1070 Agreed interest rate. The equity or acquisition loan shall bear interest at the rate agreed upon by the borrower and the lender. ...
5 CFR 842.605 - Election of insurable interest rate.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Election of insurable interest rate. 842... Election of insurable interest rate. (a) At the time of retirement, an employee or Member in good health and who is applying for a non-disability annuity may elect an insurable interest rate. An election...
38 CFR 36.4223 - Interest rate reduction refinancing loan.
2010-07-01
... 38 Pensions, Bonuses, and Veterans' Relief 2 2010-07-01 2010-07-01 false Interest rate reduction..., Including Site Preparation General Provisions § 36.4223 Interest rate reduction refinancing loan. (a) A... to reduce the interest rate payable on the Department of Veterans Affairs loan provided the following...
78 FR 44124 - Notice of Interest Rate on Overdue Debts
2013-07-23
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR Part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
76 FR 30721 - Notice of Interest Rate on Overdue Debts
2011-05-26
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
78 FR 67364 - Notice of Interest Rate on Overdue Debts
2013-11-12
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
77 FR 35681 - Notice of Interest Rate on Overdue Debts
2012-06-14
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
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 maximum...
7 CFR 761.9 - Interest rates for direct loans.
2010-01-01
... 7 Agriculture 7 2010-01-01 2010-01-01 false Interest rates for direct loans. 761.9 Section 761.9... AGRICULTURE SPECIAL PROGRAMS GENERAL PROGRAM ADMINISTRATION General Provisions § 761.9 Interest rates for direct loans. Interest rates for all direct loans are set in accordance with the Act. A copy of the...
75 FR 22136 - Notice of Interest Rate on Overdue Debts
2010-04-27
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
77 FR 76492 - Notice of Interest Rate on Overdue Debts
2012-12-28
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office Of The Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
Does Interest rate Exposure explain the Low-Volatility Anomaly?
Driessen, Joost; Kuiper, Ivo; Beilo, R.
We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have positive exposure. Incorporating an interest rate premium
77 FR 20399 - Notice of Interest Rate on Overdue Debts
2012-04-04
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
7 CFR 4287.112 - Interest rate adjustments.
2010-01-01
... 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 any) may collectively initiate a permanent or temporary reduction in the interest rate of the guaranteed...
76 FR 38742 - Prompt Payment Interest Rate; Contract Disputes Act
2011-07-01
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning July 1, 2011, and ending on December 31, 2011, the prompt payment interest rate is 2\\1/2\\ per.... 3902(a), provide for the calculation of interest due on claims at the rate established by the Secretary...
13 CFR 120.315 - Interest rate and loan limit.
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false Interest rate and loan limit. 120... Special Purpose Loans Disabled Assistance Loan Program (dal) § 120.315 Interest rate and loan limit. The interest rate on direct DAL loans is three percent. There is an administrative limit of $150,000 on a...
76 FR 82350 - Prompt Payment Interest Rate; Contract Disputes Act
2011-12-30
... DEPARTMENT OF THE TREASURY Fiscal Service Prompt Payment Interest Rate; Contract Disputes Act... beginning January 1, 2012, and ending on June 30, 2012, the prompt payment interest rate is 2 per centum per... of interest due on claims at the rate established by the Secretary of the Treasury. The Secretary of...
46 CFR 298.20 - Term, redemptions, and interest rate.
2010-10-01
... 46 Shipping 8 2010-10-01 2010-10-01 false Term, redemptions, and interest rate. 298.20 Section 298... OBLIGATION GUARANTEES Guarantees § 298.20 Term, redemptions, and interest rate. (a) In general. The maturity... security for the Guarantees. (c) Interest rate. We will make a determination as to the reasonableness of...
76 FR 8370 - Notice of Interest Rate on Overdue Debts
2011-02-14
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
24 CFR 220.830 - Debenture interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Debenture interest rate. 220.830... rate. Debentures shall bear interest from the date of issue, payable semiannually on the first day of... rates of interest will be published twice each year as a notice in the Federal Register. [47 FR 26125...
38 CFR 36.4307 - Interest rate reduction refinancing loan.
2010-07-01
... 38 Pensions, Bonuses, and Veterans' Relief 2 2010-07-01 2010-07-01 false Interest rate reduction... § 36.4307 Interest rate reduction refinancing loan. (a) Pursuant to 38 U.S.C. 3710(a)(8), (a)(9)(B)(i... interest rate payable on the existing loan provided that all of the following requirements are met: (1) The...
75 FR 48690 - Notice of Interest Rate on Overdue Debts
2010-08-11
... DEPARTMENT OF HEALTH AND HUMAN SERVICES Office of the Secretary Notice of Interest Rate on Overdue... CFR Part 30) provides that the Secretary shall charge an annual rate of interest, which is determined and fixed by the Secretary of the Treasury after considering private consumer rates of interest on the...
24 CFR 221.790 - Debenture interest rate.
2010-04-01
... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Debenture interest rate. 221.790...-Moderate Income Projects § 221.790 Debenture interest rate. The debentures issued pursuant to the exercise of an assignment option shall bear interest at the going Federal rate at date of issuance. The going...
A Simple Account of the Behavior of Long-Term Interest Rates.
Campbell, John Y; Shiller, Robert J
1984-01-01
Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by a distributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate "overreacts" to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is show...
2010-01-01
... institutions; charging interest to corporate borrowers. 7.4001 Section 7.4001 Banks and Banking COMPTROLLER OF... interest at rates permitted competing institutions; charging interest to corporate borrowers. (a... the law of that state. If state law permits different interest charges on specified classes of loans...
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
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...
Dynamic Asset Allocation with Stochastic Income and Interest Rates
DEFF Research Database (Denmark)
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...
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...
Optimal regional biases in ECB interest rate setting
Arnold, I.J.M.
2005-01-01
This paper uses a simple model of optimal monetary policy to consider whether the influence of national output and inflation rates on ECB interest rate setting should equal a country’s weight in the eurozone economy. The findings depend on assumptions regarding interest rate elasticities, exchange
Net savings and the Japanese long-term interest rate
Jansen, P.W.
2011-01-01
This article discusses why the interest rate on Japanese government bonds is so low in comparison with other industrialized countries with a better credit rating, after correcting for inflation differences. We find that the net savings surplus has kept the long-term interest rate low. Japanese
Negative Interest Rates: Central Banks Initiated an Experiment
Aleksey N. Burenin
2016-01-01
Negative interest rates appeared as a consequence of economic problems that countries with market economy came across after the crises of2007-2008. The attempts of monetary authorities to stimulate economies with the help of quantitative easing didn't bring the desired result. That's why the central banks once again resorted to a traditional tool of their monetary policy of changing interest rates. But this time they launched an experiment, they used negative interest rates. The European Cent...
The Real Interest Rate Spread as a Monetary Policy Indicator
Browne, Frank; Everett, Mary
2006-01-01
This paper employs a consumption-based capital asset pricing model to derive the generalised Fisher equation, in order to estimate the natural rate of interest and corresponding real interest rate spread for the US. Analysis reveals not only is the estimated real interest rate spread a useful measure of the degree of looseness/tightness in the Federal Reserve’s monetary policy stance, but also the variable contributes substantially to an understanding of the evolution of US inflation over the...
Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
Directory of Open Access Journals (Sweden)
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.
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 (100% and higher) are necessary within a zero-sum monetary system, and not just driven by greed. Extreme interest rates that appeared in various places and times reinforce the idea that hard money may have contributed to high rates of interest. Here a model is presented that examines the interest rate required to succeed as an investor in a zero-sum fixed qu...
Mechanism and accounting treatment of interest rate swap
Prošić Danica
2015-01-01
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 o...
Rating of vocational interests under matching and nonmatching conditions.
Athanasou, James A
2003-06-01
This study examined whether high school students were better able to assess their scores on an interest inventory when the self-ratings were either matched or unmatched with the interest categories in an interest inventory. Students (N = 329) completed the Career Interest Test and a survey containing the same seven interest dimensions (Outdoor, Practical, Scientific, Creative, Business, Office, and People Contact). At the same time they completed four ratings of interests in the Data, Ideas, People, and Things work-task dimensions. Findings indicated higher convergent validities for matching self-ratings. The median correlation for matching categories was 52 and for unmatched categories was .21. Results supported the validity of self-ratings and the use of matched categories for the assessment of interests.
Demand for Reserves and the Central Bank's Management of Interest Rates
Martin Schlegel; Sébastien Kraenzlin
2009-01-01
The implementation of monetary policy is prevalently done by interest rate targeting with a short term market rate serving as operational target. The instruments for achieving the operational target are the provision of reserves and the interest rate charged in these transactions. This paper presents a model for the estimation of the demand curve for reserves, derived from the central bank's fixed rate tender auction and the interbank money market. Using data from Switzerland, the slope of th...
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
Directory of Open Access Journals (Sweden)
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
Determinants of Commercial Banks' Interest Rate Spread in Namibia ...
African Journals Online (AJOL)
reduces net interest margin whilst the liquidity levels of a commercial bank increases ... and the capital ratio are not important determinants of the net interest margin. .... profitable and resilient to shocks including the recent financial crisis .... affects its business operations including its decision of what interest rate to charge.
31 CFR 535.440 - Commercially reasonable interest rates.
2010-07-01
... Interpretations § 535.440 Commercially reasonable interest rates. (a) For purposes of §§ 535.212 and 535.213, what... transferred as, or as part of, the interest at “commercially reasonable rates” required to be transferred... 31 Money and Finance: Treasury 3 2010-07-01 2010-07-01 false Commercially reasonable interest...
Determinants Factors of Interest Rates on Three-Month Deposits of Bank Persero
Directory of Open Access Journals (Sweden)
Tedy Kurniawan
2017-03-01
Full Text Available This research aims at analyzing the influence of Capital Adequacy Ratio (CAR, Operating Expenses of Operating Income (BOPO, inflation, exchange rate, and the amount of money supply (M1 to the interest rate of three month deposits of the State-Owned Bank in Indonesia in 2007-2015. This research uses the error correction model analysis. The result obtained is the CAR that has a significant effect on the long term and has no effect on the short term, BOPO has a significant influence on the long term and short term, inflation has the significant effect on the long term and has no effect on the short term, the exchange rate has an influence on the short and long term, the money supply has no effects on the short and long-term on the interest rate on three month deposits of the State-Owned Bank.
7 CFR 1714.5 - Determination of interest rates on municipal rate loans.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Determination of interest rates on municipal rate... General § 1714.5 Determination of interest rates on municipal rate loans. (a) RUS will post on the RUS website, Electric Program HomePage, a schedule of interest rates for municipal rate loans at the beginning...
Mechanism and accounting treatment of interest rate swap
Directory of Open Access Journals (Sweden)
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.
Interest rate models for pension and insurance regulation
Broeders, Dirk; de Jong, Frank; Schotman, Peter
2016-01-01
Liabilities of pension funds and life insurers typically have very long times to maturity. The valuation of such liabilities introduces particular challenges as it relies on long term interest rates. As the market for long term interest rates is less liquid, financial institutions and the regulator
Interest Rate Models for Pension and Insurance Regulation
Broeders, D.W.G.A.; de Jong, Frank; Schotman, Peter
Liabilities of pension funds and life insurers typically have very long times to maturity. The valuation of such liabilities introduces particular challenges as it relies on long term interest rates. As the market for long term interest rates is less liquid, financial institutions and the regulator
Interest Rate Rish of Australian Financial Sector Companies in a ...
African Journals Online (AJOL)
African Journal of Finance and Management ... In a recent study, Madura and Zarruk (1995) provide evidence that interest rate risk is greater for non-US ... interest rate sensitivity of a large banks portfolio and a finance companies portfolio is ...
Thailand's Student Loans Fund: Interest Rate Subsidies and Repayment Burdens
Chapman, Bruce; Lounkaew, Kiatanantha; Polsiri, Piruna; Sarachitti, Rangsit; Sitthipongpanich, Thitima
2010-01-01
Government student loan schemes typically have implicit interest rate subsidies which, while these are a cost to taxpayers, they have the benefit of diminishing repayment burdens for graduates. Our goal is to illustrate the extent of both interest rate subsidies and repayment burdens with respect to Thailand's Student Loans Fund (SLF), using…
Estimated Interest Rate Rules: Do they Determine Determinacy Properties?
DEFF Research Database (Denmark)
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...
Real interest rates, leverage, and bank risk-taking
Dell’Ariccia, G.; Laeven, L.; Marquez, R.
2014-01-01
Do low interest rate environments lead to greater bank risk-taking? We show that, when banks can adjust their capital structures, reductions in real interest rates lead to greater leverage and higher risk for any downward sloping loan demand function. However, if the capital structure is fixed, the
2013-01-08
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning January 1, 2013, the interest rates for [[Page 1223
Valuing Interest Rate Swap Contracts in Uncertain Financial Market
Directory of Open Access Journals (Sweden)
Chen Xiao
2016-11-01
Full Text Available Swap is a financial contract between two counterparties who agree to exchange one cash flow stream for another, according to some predetermined rules. When the cash flows are fixed rate interest and floating rate interest, the swap is called an interest rate swap. This paper investigates two valuation models of the interest rate swap contracts in the uncertain financial market. The new models are based on belief degrees, and require relatively less historical data compared to the traditional probability models. The first valuation model is designed for a mean-reversion term structure, while the second is designed for a term structure with hump effect. Explicit solutions are developed by using the Yao–Chen formula. Moreover, a numerical method is designed to calculate the value of the interest rate swap alternatively. Finally, two examples are given to show their applications and comparisons.
78 FR 13999 - Maximum Interest Rates on Guaranteed Farm Loans
2013-03-04
..., cost-plus, flat-rate, or market based) to price guaranteed loans, provided the rates do not exceed the... (LIBOR) or the 5-year Treasury note rate, unless the lender uses a formal written risk-based pricing... cost in the form of a lower interest rate than the borrower would otherwise receive. Therefore, the FSA...
Effects of raising US interest rates on global FX markets
Directory of Open Access Journals (Sweden)
Kožul Nataša
2016-01-01
Full Text Available Following the global financial crisis of 2008, many countries decreased their domestic interest rates as a means of stimulating economic growth, while also providing protection from substantial default on debt. Low interest rates reduce the incentive to save, prompting consumers to purchase assets, such as housing, thus implicitly increasing wealth. In addition, they make the currency relatively cheaper, making exports more competitive, while reducing foreign demand for holding debt in that currency. All these should stimulate economy, albeit at the cost of reduced competitiveness in the world financial markets, where return on investment is largely determined by the interest rates. Low interest rates also prompt greater borrowing, which may not be sustainable once they start to rise. In addition, those that largely depend on interest rate income may seek more speculative and high-risk investments, potentially leading to significant defaults. Finally, as the market interest rate is composed of the real rate and inflation, decreasing rates changes the balance in this relationship, which may lead to inflationary economy. Now that the US has increased its domestic rates for the first time since 2006, it is important to examine the potential effects this will have on global markets and other economies. This paper offers some insights into the dynamics of the FX markets and discusses why the US rate is so closely watched worldwide.
A Model of Target Changes and the Term Structure of Interest Rates
Pierluigi Balduzzi; Giuseppe Bertola; Silverio Foresi
1993-01-01
We explore the effects of official targeting policy on the term-structure of nominal interest rates, adapting relevant insights from theoretical work on "peso problems" to account for realistic infrequency of target changes. Our analysis of daily U.S. interest rates and newly available historical targets provides an interpretation for persistent spreads between short-term money-market rates and overnight fed-funds targets, and for the poor performance of expectations-hypothesis tests: it is t...
Estimating market probabilities of future interest rate changes
Hlušek, Martin
2002-01-01
The goal of this paper is to estimate the market consensus forecast of future monetary policy development and to quantify the priced-in probability of interest rate changes for different future time horizons. The proposed model uses the current spot money market yield curve and available money market derivative instruments (forward rate agreements, FRAs) and estimates the market probability of interest rate changes up to a 12-month horizon.
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
The role of interest rates in the Brazilian business cycles
Directory of Open Access Journals (Sweden)
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.
Determinants of Commercial banks' interest rate spreads in Botswana
African Journals Online (AJOL)
The paper investigated the determinants of commercial banks' interest rate ... Index (HHI), a proxy measure of the degree of competition in a market ... the difference between prime lending rate and the savings account rate. ... as profit maximizing firms whose primary business is to offer deposits and loan ..... and Accounting.
Hedging endowment assurance products under interest rate and mortality risk
Chen, A.; Mahayni, A.
2007-01-01
This paper analyzes how model misspecification associated with both interest rate and mortality risk influences hedging decisions of insurance companies. For this purpose, diverse risk management strategies which are riskminimizing when model risk is ignored come into consideration. The
Interest rate rules and macroeconomic stability under heterogeneous expectations
Anufriev, M.; Assenza, T.; Hommes, C.; Massaro, D.
2009-01-01
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous expectations
Movements in the term structure of interest rates
Robert R. Bliss
1997-01-01
Bond prices tend to move together. Stocks tend to go their own way. This distinction requires completely different approaches to managing risks for these securities. For equities the emphasis is on reducing idiosyncratic risk through portfolio diversification. For interest rate-sensitive securities it is on precisely balancing a portfolio to achieve the desired exposure to systematic risk factors. ; Hedging to reduce or eliminate the common factors influencing an interest rate-sensitive portf...
The Brazilian experience in managing interest-exchange rate nexus
Ricardo Carneiro; Pedro Rossi
2013-01-01
This paper addresses four main questions: firstly, it discusses some theoretical background related to the interest-exchange rate nexus; secondly, it makes an attempt to explain why the interest rate in Brazil is so high, examining briefly the main explanations for it; thirdly, it describes Brazilâ€™s foreign exchange markets, their size and hierarchy; and lastly, it explains the carry trade dynamics considering the institutionalism of the Brazilian foreign exchange market and also the govern...
Government Debt and Long-Term Interest Rates
Noriaki Kinoshita
2006-01-01
This paper examines the relationship between government debt and long-term interest rates. A dynamic general equilibrium model that incorporates debt nonneutrality is specified and solved, and numerical simulations using the model are undertaken. In addition, empirical evidence using panel data for 19 industrial countries is examined. The estimation provides some evidence supporting the theoretical predictions: the paper finds that the simulated and estimated interest rate effects of governme...
What Drives the European Central Bank's Interest-Rate Changes?
DEFF Research Database (Denmark)
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....
Retail Bank Interest Rate Pass-Through; Is Chile Atypical?
Alessandro Rebucci; Marco A Espinosa-Vega
2003-01-01
This paper investigates empirically the pass-through of money market interest rates to retail banking interest rates in Chile, the United States, Canada, Australia, New Zealand, and five European countries. Overall, Chile's pass-through does not appear atypical. Based on a standard error-correction model, we find that, as in most countries considered, Chile's measured pass-through is incomplete. But Chile's pass-through is also faster than in many other countries considered and is comparable ...
Competitive Analysis for Online Leasing Problem with Compound Interest Rate
Yang, Xingyu; Zhang, Weiguo; Xu, Weijun; Zhang, Yong
2011-01-01
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 pu...
Current Account Surpluses and the Interest Rate Island in Switzerland
Paolo Mauro
1995-01-01
This paper describes some long-run aspects of the Swiss balance of payments, highlighting two macroeconomic phenomena that make Switzerland stand out among other countries: first, it has had a persistent current account surplus and the largest ratio of net foreign assets to GDP in the world; second, its real interest rates have been significantly lower than those of most other industrialized countries, earning it the label “interest rate island”. These two distinctive features may be related,...
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
DEFF Research Database (Denmark)
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...
Dependent interest and transition rates in life insurance
DEFF Research Database (Denmark)
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......, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent...... forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract....
PROBABILISTIC INTEREST RATE SETTING WITH A SHADOW BOARD: A DESCRIPTION OF THE PILOT PROJECT
TIMO HENCKEL; SHAUN VAHEY; LIZ WAKERLY
2011-01-01
This study aims to assess the scope for monetary policymakers to aggregate probabilistic interest rate advice. The members of a Shadow Board give probabilistic assessments of the appropriate (target) interest rate for Australia in real time. The pilot project will be running each month from August to December (inclusive) 2011, with the Shadow Board giving advice shortly before each decision by the Reserve Bank of Australia (RBA) Board.
Testing for long-range dependence in the Brazilian term structure of interest rates
International Nuclear Information System (INIS)
Cajueiro, Daniel O.; Tabak, Benjamin M.
2009-01-01
This paper presents empirical evidence of fractional dynamics in interest rates for different maturities for Brazil. A variation of a newly developed test for long-range dependence, the V/S statistic, with a post-blackening bootstrap is employed. Results suggest that Brazilian interest rates possess strong long-range dependence in volatility, even when considering the structural break in 1999. These findings imply that the development of policy models that give rise to long-range dependence in interest rates' volatility could be very useful. The long-short-term interest rates spread has strong long-range dependence, which suggests that traditional tests of expectation hypothesis of the term structure of interest rates may be misspecified.
Prediction of interest rate using CKLS model with stochastic parameters
International Nuclear Information System (INIS)
Ying, Khor Chia; Hin, Pooi Ah
2014-01-01
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 (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 (j) , we assume that φ (j) depends on φ (j−m) , φ (j−m+1) ,…, φ (j−1) and the interest rate r 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 j+n+1 of the interest rate at the next time point when the value r 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 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
Prediction of interest rate using CKLS model with stochastic parameters
Energy Technology Data Exchange (ETDEWEB)
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.
Deviation from Covered Interest Rate Parity in Korea
Directory of Open Access Journals (Sweden)
Seungho Lee
2003-06-01
Full Text Available This paper tested the factors which cause deviation from covered interest rate parity (CIRP in Korea, using regression and VAR models. The empirical evidence indicates that the difference between the swap rate and interest rate differential exists and is greatly affected by variables which represent the currency liquidity situation of foreign exchange banks. In other words, the deviation from CIRP can easily occur due to the lack of foreign exchange liquidity of banks in a thin market, despite few capital constraints, small transaction costs, and trivial default risk in Korea.
Interest Rate Dynamics and Monetary Policy Implementation in Switzerland
Puriya Abbassi; Dieter Nautz; Christian Offermanns
2010-01-01
The maturity of the operational target of monetary policy is a distinguishing feature of the SNB's operational framework of monetary policy. While most central banks use targets for the overnight rate to signal the policy-intended interest rate level, the SNB announces a target range for the three-month Libor. This paper investigates the working and the consequences of the SNB's unique operational framework for the behavior of Swiss money market rates before and during the financial crisis.
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.
The influence of interest rates on the exchange rate and exchange rate volatility
Florin MAVRIS; Dumitru-Cristian OANEA
2014-01-01
The dynamic of interest rates has been the subject of attention by both traders and researchers. We see in what manner different factors that depend on the actions of central banks that influence them by using a GARCH type model and we compare its performance with other models to see what approach explains and predicts the movement of the exchange rate. To better understand the type of model that is applicable the data is tested for heteroskedasticity, and only after that the model is impleme...
Competitive Analysis for Online Leasing Problem with Compound Interest Rate
Directory of Open Access Journals (Sweden)
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.
Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management
Klaassen, F.; Mavromatis, K.
2016-01-01
Central banks with an exchange rate objective set the interest rate in response to what they call ''pressure.'' Instead, existing interest rate rules rely on the exchange rate minus its target. To stay closer to actual policy, we introduce a rule that uses exchange market pressure (EMP), the
Determinants of Interest Rates on Corporate Bonds of Mining Enterprises
Ranosz, Robert
2017-09-01
This article is devoted to the determinants of interest rates on corporate bonds of mining enterprises. The study includes a comparison between the cost of foreign capital as resulting from the issue of debt instruments in different sectors of the economy in relation to the mining industry. The article also depicts the correlation between the rating scores published by the three largest rating agencies: S&P, Moody's, and Fitch. The test was based on simple statistical methods. The analysis performed indicated that there is a dependency between the factors listed and the amount of interest rates on corporate bonds of global mining enterprises. Most significant factors include the rating level and the period for which the given series of bonds was issued. Additionally, it is not without significance whether the given bond has additional options. Pursuant to the obtained results, is should be recognized that in order to reduce the interest rate on bonds, mining enterprises should pay particular attention to the rating and attempt to include additional options in issued bonds. Such additional options may comprise, for example, an ability to exchange bonds to shares or raw materials.
Influence of negative interest rates on endowements and foundations functioning
Directory of Open Access Journals (Sweden)
Nikolić Dušan Ž.
2015-01-01
Full Text Available Negative interest rate exists in the case when on the basis of the deposit contract a deponent is obliged to pay to a depository (a bank a reimbursement for the money keeping (paying to save. The scientific literature indicates that the legal regulation on endowments and foundations in a vast number of countries is based on the presumption that interest rates cannot be negative and that we are encountering the phenomenon of which we have limited knowledge. The introduction of negative interest rates, thus, could endanger the functioning, if not the subsistence of some endowments and foundations. The vulnerable social groups could, thereby, be especially affected. The Law on Endowments and Foundations of the Republic of Serbia enshrines that the endowments' capital shall not fall under the minimum capital assets of30.000 EUR recalculated in dinars based on the middle exchange rate of the National Bank of Serbia on the day of establishment. Apart from that, a founder may in the Articles of Association determine the minimum value below which the capital assets of endowment may not be reduced, which may not be lower of the minimum assets value set by the Law. In Serbia negative interest rates could aggravate, and throughout the time, even prevent the accomplishment of aims of endowments and foundations which for the operation of their activities may use only the interest yields and not the means of capital assets above the legal minimum. Some endowments could even cease to exist due to the diminishment of their minimum capital assets which entirely consist of the money deposited in the banks. The Article indicates the need for reconsidering the legal norms currently in force and that the transformation of certain legal institutes shall timely commence, whereby their systematic and social functions shall be regarded, as well as the need for introducing a streamlined corrective mechanisms with the aim of protecting interests of the weaker party in
DOES UNCOVERED INTEREST RATE PARITY HOLD IN TURKEY?
Directory of Open Access Journals (Sweden)
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
DEFF Research Database (Denmark)
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...... prices. The investor is aware that his model for the observed inflation is potentially misspecified, and he seeks an investment strategy that maximizes his expected utility from real terminal wealth and is also robust to inflation model misspecification. We solve the corresponding robust Hamilton......-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...
The impact of inflation uncertainty on interest rates
Cheong, Chongcheul; Kim, Gi-Hong; Podivinsky, Jan M.
2010-01-01
In this paper, the impact of inflation uncertainty on interest rates is investigated for the case of the U.S. three-month Treasury bill rate. We emphasize how consistentOLS estimation can be applied to an empirical equation which includes a proxy variable of inflation uncertainty measured by an ARCH-type model. A significant negative relationship between the two variables is provided. This evidence is contrasted with the view of the inflation risk premium in which inflation uncertainty positi...
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…
Stochastic model of microcredit interest rate in Morocco
Directory of Open Access Journals (Sweden)
Ghita Bennouna
2016-11-01
Full Text Available Access to microcredit can have a beneficial effect on the well-being of low-income households excluded from the traditional banking system. It allows this population to receive affordable financial services to help them to meet their needs and to improve their living conditions. However to provide access to credit, microfinance institutions should ensure not only their social mission but also commercial and financial mission to enable the institution to perpetuate and become self-sufficient. To this end, MFIs (microfinance institutions must apply an interest rate that covers their costs and risk, while generating profits, Also microentrepreneurs need, to this end, to ensure the profitability of their activities. This paper presents the microfinance sector in Morocco. It focuses then on the interest rate applied by the Moroccan microfinance institutions; it provides also a comparative study between Morocco and other comparable countries in terms of interest rates charged to borrowers. Finally, this article presents a stochastic model of the interest rate in microcredit built in random loan repayment periods and on a real example of the program of loans of microfinance institution in Morocco
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,…
Currency crises with the threat of an interest rate defence
Daniels, T.R.; Jager, H.; Klaassen, F.
2011-01-01
While virtually all currency crisis models recognise that the decision to abandon a peg depends on how tenaciously policy makers defend it, this is seldom modelled explicitly. We add the threat of an interest rate defence to the global game model of Morris and Shin (American Economic Review 88,
Violation of interest-rate parity: a Polish example
Przystawa, Jerzy; Wolf, Marek
2000-09-01
The mechanism of the so-called “Bagsik Oscillator” is presented and discussed. In essence, it is a repeated exploitation of arbitrage opportunities that resulted from a marked departure from the interest-rate parity relationship between the local Polish currency and the western currencies.
77 FR 57990 - Interest Rate Risk Policy and Program
2012-09-19
... NATIONAL CREDIT UNION ADMINISTRATION 12 CFR Part 741 RIN 3133-AD66 Interest Rate Risk Policy and Program Correction In rule document 2012-02091, appearing on pages 55155-5167 in the issue of Thursday, February 2, 2012, make the following corrections: 1. On page 5157, in the second column, in the first line...
Stock Market Capitalisation and Interest Rate in Nigeria: A Time ...
African Journals Online (AJOL)
Obviously for the Nigerian capital market to enhance economic growth and development and compare favourably with those of developed market economies, investors will need to be abreast with the happenings and great benefits of the stock market. In this case a lot depends on considerable control of the interest rate, the ...
Determinants of Commercial banks' interest rate spreads in Botswana
African Journals Online (AJOL)
The paper investigated the determinants of commercial banks' interest rate spreads in Botswana using time series cross-sectional analysis for the period of 2004Q1 to 2014Q4. Factors empirically tested are bank-specific, industry-specific and macroeconomic data. Results indicate that bank intermediation, GDP, inflation ...
Negative Interest Rates: Central Banks Initiated an Experiment
Directory of Open Access Journals (Sweden)
Aleksey N. Burenin
2016-01-01
Full Text Available Negative interest rates appeared as a consequence of economic problems that countries with market economy came across after the crises of2007-2008. The attempts of monetary authorities to stimulate economies with the help of quantitative easing didn't bring the desired result. That's why the central banks once again resorted to a traditional tool of their monetary policy of changing interest rates. But this time they launched an experiment, they used negative interest rates. The European Central Bank, the Swedish Riksbank, the Bank of Japan, and the National Bank of Hungary introduced negative rates in order to stimulate economic growth and fight the threat of deflation, the Danish National Bank and the Swiss National Bank tried to deter appreciation of their currencies. Negative rates of the central banks brought about negative yields of government and nongovernment securities in several countries. The problem acquires an aggravated form due to the fact that negative rates appeared in several European countries simultaneously at the moment when global financial markets were not in crises. Some questions arise concerning the negative rates, for example, how low can central banks bring down the rates in the future, what is their influence on the stock markets, what is the reaction of depositors to the introduction of negative deposit rates by commercial banks, must one consider a negative rate as a rate of interest or payment to store money of the depositor, in which circumstances negative rates can be justified to fight deflation. The last question plays an important role, because recent studies find that positive economic growth is possible during deflation. If central banks don't take this nuance into consideration, they can create economic imbalances by increasing liquidity. Negative rates are not as inoffensive as it may seem at first glance. Not far ago an investor, who tried to averse risk, was buying government securities. Their yields
Modelling the impact of changes in the interest rates on the economy: An Austrian perspective
Directory of Open Access Journals (Sweden)
P Le Roux
2004-07-01
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.
Interest Rates and Exchange Rate Relationship in BRIC-T Countries
Selim KAYHAN; Tayfur BAYAT; Ahmet UGUR
2013-01-01
This study examines the dynamic relationships between the real exchange rate and the real interest rate in the BRIC-T (Brazil, Russia, India, China and Turkey) countries by employing monthly data from the beginning of flexible exchange rate regime to July 2011. For this aim, non-linear causality test and frequency domain causality test approaches are used. According to frequency domain causality test results, interest rate affects exchange rate in only China and this effect exist only in the ...
Exchange rate behavior with negative interest rates: Some early negative observations
Hameed, Allaudeen S.; Rose, Andrew
2017-01-01
This paper examines exchange rate behavior during the recent period with negative nominal interest rates. We use a daily panel of data on 61 currencies from January 2010 through May 2016, during which five economies - Denmark, the European Economic and Monetary Union, Japan, Sweden, and Switzerland - experienced negative nominal interest rates. We examine both effective exchange rates and bilateral rates; the latter typically measured against the Swiss franc since Switzerland has had the long...
The Determinants of U.S. Real Interest Rates in the Long Run
Sharmini Coorey
1991-01-01
This paper examines the factors which influence the behavior of real interest rates in the United States over the long run. Data on real and nominal returns to bonds and equities are tested for unit root non-stationarity. The results indicate that real and nominal interest rates and inflation are integrated of order one while the evidence on returns to equities is mixed. Short- and long-term real rates were found to be cointegrated with government deficits, government debt relative to GNP, pr...
Effects of interest and exchange rate policies on Brazilian exports
Directory of Open Access Journals (Sweden)
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.
2013-06-24
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning July 1, 2013, the interest rates for overpayments will be 2 percent for corporations and 3 percent...
2012-03-27
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning April 1, 2012, the interest rates for overpayments will be 2 percent for corporations and 3...
2011-07-13
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning July 1, 2011, the interest rates for overpayments will be 3 percent for corporations and 4 percent...
2010-04-19
... DEPARTMENT OF HOMELAND SECURITY Customs and Border Protection Quarterly IRS Interest Rates Used in... quarterly Internal Revenue Service interest rates used to calculate interest on overdue accounts..., the interest rates for overpayments will be 3 percent for corporations and 4 percent for non...
2013-10-23
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning October 1, 2013, the interest rates for overpayments will be 2 percent for corporations and 3...
2010-06-30
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning July 1, 2010, the interest rates for overpayments will be 3 percent for corporations and 4 percent...
2012-09-27
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning October 1, 2012, the interest rates for overpayments will be 2 percent for corporations and 3...
2011-10-19
... DEPARTMENT OF HOMELAND SECURITY Customs and Border Protection Quarterly IRS Interest Rates Used in... quarterly Internal Revenue Service interest rates used to calculate interest on overdue accounts..., the interest rates for overpayments will be 2 percent for corporations and 3 percent for non...
2012-01-17
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning January 1, 2012, the interest rates for overpayments will be 2 percent for corporations and 3...
2013-04-04
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning April 1, 2013, the interest rates for overpayments will be 2 percent for corporations and 3...
2010-01-05
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning January 1, 2010, the interest rates for overpayments will be 3 percent for corporations and 4...
2011-01-13
... DEPARTMENT OF HOMELAND SECURITY Customs And Border Protection Quarterly IRS Interest Rates Used in... quarterly Internal Revenue Service interest rates used to calculate interest on overdue accounts..., the interest rates for overpayments will be 2 percent for corporations and 3 percent for non...
2012-06-26
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning July 1, 2012, the interest rates for overpayments will be 2 percent for corporations and 3 percent...
2011-04-13
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... the public of the quarterly Internal Revenue Service interest rates used to calculate interest on... beginning April 1, 2011, the interest rates for overpayments will be 3 percent for corporations and 4...
Pass-through of Change in Policy Interest Rate to Market Rates
M. Idrees Khawaja; Sajawal Khan
2008-01-01
This paper examines the pass through of the change in policy interest rate of the central bank of Pakistan to market interest rates. The market rates examined include KIBOR, six month deposit rate and weighted average lending rate. More or less complete pass-through of the change in policy rate to KIBOR is observed within one month. However, the magnitude of change in policy rate to deposit and lending rate is not only low but is slow as well. The pass-through to the weighted average lending ...
Dynamic asset allocation for bank under stochastic interest rates.
Chakroun, Fatma; Abid, Fathi
2014-01-01
This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite time horizon. As a consequence, we apply a dynamic programming principle to solve the Hamilton-Jacobi-Bellman (HJB) equation explicitly in the case of the CRRA utility function. A case study is given ...
The term structure of interest rates and inflation forecast targeting
Directory of Open Access Journals (Sweden)
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.
Directory of Open Access Journals (Sweden)
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.
Determination of the Optimal Exchange Rate Via Control of the Domestic Interest Rate in Nigeria
Directory of Open Access Journals (Sweden)
Virtue U. Ekhosuehi
2014-01-01
Full Text Available An economic scenario has been considered 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. The dynamics of such an economy was considered in terms of 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 was used as a theoretical underpinning to specify the objective function. By assuming that, changes in exchange rates were induced by two effects: the impact of the domestic interest rate on the exchange rate and the exchange rate system adopted by the government. Instances for both fixed and flexible optimal exchange rate regimes have been determined. The use of the approach has been illustrated employing data obtained from the Central Bank of Nigeria (CBN statistical bulletin. (original abstract
On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate
Directory of Open Access Journals (Sweden)
Jin Liang
2017-10-01
Full Text Available In this paper we study a corporate bond-pricing model with credit rating migration and astochastic interest rate. The volatility of bond price in the model strongly depends on potential creditrating migration and stochastic change of the interest rate. This new model improves the previousexisting models in which the interest rate is considered to be a constant. The existence, uniquenessand regularity of the solution for the model are established. Moreover, some properties includingthe smoothness of the free boundary are obtained. Furthermore, some numerical computations arepresented to illustrate the theoretical results.
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.
2010-09-27
... DEPARTMENT OF HOMELAND SECURITY U.S. Customs and Border Protection Quarterly IRS Interest Rates... notice advises the public of the quarterly Internal Revenue Service interest rates used to calculate... quarter beginning October 1, 2010, the interest rates for overpayments will be 3 percent for corporations...
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Directory of Open Access Journals (Sweden)
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.
Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Directory of Open Access Journals (Sweden)
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.
ROLE, INTERESTS AND CRITICS OF CREDIT RATING AGENCIES
Directory of Open Access Journals (Sweden)
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.
E1-forbidden transition rates in ions of astrophysical interest
International Nuclear Information System (INIS)
Träbert, E
2014-01-01
Transition rates in atomic systems may appear to be of little importance in steady-state plasmas that are observed at great distances from Earth. However, some of the transition rates compete with collision rates, and in these cases certain line intensity ratios are affected and can serve as remote indicators of density. In the low-density environments of stellar coronae and planetary nebulae, the transition rates of interest are mostly spin-forbidden E1 decays, higher-multipole order transitions (M1, E2, M2, M3), and hyperfine-induced transitions. On Earth, measurements of the long upper level lifetimes of these atomic systems require the use of ion traps. A fair number of test cases with lifetimes in the range from nanoseconds to many seconds have been treated successfully, and the evolution of calculations along with the experimental progress is notable. A new generation of cold ion traps is expected to extend the atomic lifetime measurements on multiply charged ions into the range of many minutes. (paper)
Estimating True Short-Term Consistency in Vocational Interests: A Longitudinal SEM Approach
Gaudron, Jean-Philippe; Vautier, Stephane
2007-01-01
This study aimed at estimating the correlation between true scores (true consistency) of vocational interest over a short time span in a sample of 1089 adults. Participants were administered 54 items assessing vocational, family, and leisure interests twice over a 1-month period. Responses were analyzed with a multitrait (MT) model, which supposes…
Timber harvesting with variable prices, costs and interest rates
International Nuclear Information System (INIS)
Penttinen, M.
2000-01-01
This papers solves the optimal harvesting time problem of a non- industrial private forest (NIPF) owner who typically has a forest management plan and merchantable forest stands. The optimal harvesting time is defined in a volatile market situation. The infinite period problem is also formulated to allow for variable stumpage prices and reforestation costs in a two-period framework, the first of which covers the near future with dynamic price and cost functions and the second the rest of the infinite future with trend price and cost functions. The existence and uniqueness of an optimal policy is demonstrated on the basis of the explicit quasi- concavity of the objective functions. First, the solutions are constructed with prices and costs dependent on stand age only. Both cases in which the same prices and costs hold for all periods and cases in which there are dynamic prices and costs in the first period and trend ones in subsequent periods are considered. Second, the age-dependent functions are multiplied separately by the calendar time dependent exponential terms. Solutions are provided both in the case with the same age-dependent functions and the case with dynamic functions for the first period and trend functions for the subsequent periods. The sensitivity and comparative static analyses are studied with respect to the interest rate, price and cost changes, both analytically and numerically. Optimal rotation solutions are presented with alternative competing volume growth functions. Final results are provided by a gross income growth function. Competing optimisation models are discussed, and alternative volume growth models and a value growth model are compared. The key notion of the research is the sensitivity and comparative static analysis of the optimal rotation solutions with respect to roundwood prices, reforestation costs and interest rates. Different local market parameter and alternative growth data estimates are applied in testing the impact of
The Role for Discretionary Fiscal Policy in a Low Interest Rate Environment
Martin Feldstein
2002-01-01
Although there is now widespread agreement in the economics profession that discretionary counter-cyclical'fiscal policy has not contributed to economic stability and may have actually been destabilizing at particular times in the past, there is one important condition when discretionary fiscal policy can play a constructive role: in a sustained downturn when aggregate demand and interest rates are low and when prices are falling or may soon be falling. This short note begins by summarizing t...
The Impact of Fiscal Deficit on Long-term Nominal Interest Rate in Nepal
Rajendra Pandit
2005-01-01
Growth of debt stock, changes in the debt composition, ownership structure of government debt and movement of interest rate on debt have been observed since the very beginning in Nepal. Public debt issues have been more and more market oriented and secondary market activities for short-term securities have expanded in recent years. Presently, the amount of debt service payment which exerts pressure on government budget constitutes more than one fourth of the total government expenditure. The ...
Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?
Benjamin M. Friedman; Kenneth N. Kuttner
2010-01-01
Central banks no longer set the short-term interest rates that they use for monetary policy purposes by manipulating the supply of banking system reserves, as in conventional economics textbooks; today this process involves little or no variation in the supply of central bank liabilities. In effect, the announcement effect has displaced the liquidity effect as the fulcrum of monetary policy implementation. The chapter begins with an exposition of the traditional view of the implementation of ...
Decline in oil prices and the negative interest rate policy in Japan
Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad
2016-01-01
In April 2013, the Bank of Japan (BOJ) introduced an inflation target of 2% with the aim of overcoming deflation and achieving sustainable economic growth. But due to lower international oil prices it was unable to achieve this target and was forced to take further measures. Hence, in February 2016, the BOJ adopted a negative interest rate policy by massively increasing the money supply through purchasing long-term Japanese government bonds (JGBs). The BOJ had previously only purchased short-...
2010-04-01
... annum simple interest shall be used. As an illustration of the meaning of simple interest, if a contract provides for payments of $6,000 in 3 equal installments of $2,000 plus 4 percent per annum simple interest... provides for discounting payments at a 4 percent per annum simple interest rate, shall be used for...
Interest rate risk measurement in Brazilian sovereign markets
Directory of Open Access Journals (Sweden)
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.
Nuclear effects on bremsstrahlung neutrino rates of astrophysical interest
International Nuclear Information System (INIS)
Stoica, Sabin; Horvath, J.E.
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≤20 MeV), the integration over the nuclear part can be done for the general case, ranging from the completely degenerate (D) to the nondegenerate (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 2 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
Directory of Open Access Journals (Sweden)
K. Hassan Shareef
2017-12-01
Full Text Available The term structure of interest rate per-se is not impeccable for explaining the behavior of the future economic conditions and hence incorporating macro factors in the term structure model is more tractable. The study uses monthly data of macro factors for a period of eighteen years from April 1998 to May 2016. Using structural vector auto regression estimates, Granger causality/block exogeneity wald test along with impulse response functions and forecast error variance decomposition analysis the study tests the proportion of term structure attributable to macro-economic shocks. The findings of the study show that short term rates are mainly influenced by the fiscal deficit present in emerging economies while long term rates get affected when market participants revise their expectation on yields. In addition, the output growth of the country is mainly depended on long and short rates and exchange rate fluctuations have a significant role in the fiscal deficit of the country. Keywords: Term structure of interest rates, Inflation, Output growth, NEER, Monetary policy rate, JEL Classification: E43, E31, E2
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
Forecasting Inflation Using Interest-Rate and Time-Series Models: Some International Evidence.
Hafer, R W; Hein, Scott E
1990-01-01
It has been suggested that inflation forecasts derived from short-term interest rates are as accurate as time-series forecasts. Previous analyses of this notion have focused on U.S. data, providing mixed results. In this article, the authors extend previous work by testing the hypothesis using data taken from the United States and five other countries. Using monthly Eurocurrency rates and the consumer price index for the period 1967-86, their results indicate that time-series forecasts of inf...
Polynomial Chaos Expansion Approach to Interest Rate Models
Directory of Open Access Journals (Sweden)
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.
Assesment of the Interest Rates in the Serbian Banking Sector
Directory of Open Access Journals (Sweden)
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.
The Correlation of Sovereign Rating and Bonds’ Interest Rate in EU Member States
Directory of Open Access Journals (Sweden)
Emilian-Constantin MIRICESCU
2015-06-01
Full Text Available The importance of borrowing is fundamental for central public administration and it consists in sources of f nancing budget def cit and ref nanc-ing government debt. In the last years, a lot of countries had diff culties regarding the payment of public loans at their maturity due to the burden of government debt to GDP ratio. In this situa-tion, investors lose their conf dence not only in the country that is facing problems, but also in other states that pay their debt at maturity. For this reason, they are careful at any change that affects sovereign rating. From our investigation we found that sover-eign rating has a negative inf uence on bonds’ interest rate. As such, decision makers from central public administration should focus on improving sovereign ratings in order to decrease interest rates.
7 CFR 771.9 - Interest rates, terms, security requirements, and repayment.
2010-01-01
... 7 Agriculture 7 2010-01-01 2010-01-01 false Interest rates, terms, security requirements, and... Interest rates, terms, security requirements, and repayment. (a) Interest rate. The interest rate will be fixed for the term of the loan. The rate will be established by FSA, based upon the cost of Government...
76 FR 9870 - Financial Management Policies-Interest Rate Risk
2011-02-22
... DEPARTMENT OF THE TREASURY Office of Thrift Supervision Financial Management Policies--Interest... concerning the following information collection. Title of Proposal: Financial Management Policies--Interest... collection requirement described below to the Office of Management and Budget (OMB) for review, as required...
Directory of Open Access Journals (Sweden)
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.
2010-01-01
... sheet interest rate and foreign exchange rate contracts: a. Interest Rate Contracts i. Single currency... Contracts i. Cross-currency interest rate swaps. ii. Forward foreign exchange rate contracts. iii. Currency... contracts traded on exchanges that require daily payment of variation margins are excluded from the minimum...
7 CFR 773.19 - Interest rate, terms, security requirements, and repayment.
2010-01-01
... 7 Agriculture 7 2010-01-01 2010-01-01 false Interest rate, terms, security requirements, and... SERVICE AGENCY, DEPARTMENT OF AGRICULTURE SPECIAL PROGRAMS SPECIAL APPLE LOAN PROGRAM § 773.19 Interest rate, terms, security requirements, and repayment. (a) Interest rate. The interest rate will be fixed...
7 CFR 774.18 - Interest rate, terms and security requirements.
2010-01-01
... 7 Agriculture 7 2010-01-01 2010-01-01 false Interest rate, terms and security requirements. 774.18..., DEPARTMENT OF AGRICULTURE SPECIAL PROGRAMS EMERGENCY LOAN FOR SEED PRODUCERS PROGRAM § 774.18 Interest rate, terms and security requirements. (a) Interest rate. (1) The interest rate on the loan will be zero...
7 CFR Exhibit B to Subpart A of... - Notice of Change in Interest Rate
2010-01-01
... 7 Agriculture 14 2010-01-01 2009-01-01 true Notice of Change in Interest Rate B Exhibit B to... Interest Rate (insert date) Notice of Change in Interest Rate (insert borrower's address) Re: □ □ Fund code... ___, for the original amount of ___ dollars ($___) provides for a change in interest rate for a limited...
12 CFR 617.7125 - How should a qualified lender determine the effective interest rate?
2010-01-01
... effective interest rate? 617.7125 Section 617.7125 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM BORROWER RIGHTS Disclosure of Effective Interest Rates § 617.7125 How should a qualified lender determine the effective interest rate? (a) A qualified lender must calculate the effective interest rate on...
7 CFR 762.124 - Interest rates, terms, charges, and fees.
2010-01-01
... 7 Agriculture 7 2010-01-01 2010-01-01 false Interest rates, terms, charges, and fees. 762.124..., DEPARTMENT OF AGRICULTURE SPECIAL PROGRAMS GUARANTEED FARM LOANS § 762.124 Interest rates, terms, charges, and fees. (a) Interest rates. (1) The interest rate on a guaranteed loan or line of credit may be...
13 CFR 120.214 - What conditions apply for variable interest rates?
2010-01-01
... interest rates? 120.214 Section 120.214 Business Credit and Assistance SMALL BUSINESS ADMINISTRATION BUSINESS LOANS Policies Specific to 7(a) Loans Maturities; Interest Rates; Loan and Guarantee Amounts § 120.214 What conditions apply for variable interest rates? A Lender may use a variable rate of interest...
13 CFR 123.512 - What is the interest rate on a Military Reservist EIDL?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What is the interest rate on a... interest rate on a Military Reservist EIDL? The interest rate on a Military Reservist EIDL will be 4 percent per annum or less. SBA will publish the interest rate quarterly in the Federal Register. ...
Real Estate Financing and Interest Rate Hedging : A quantitative real estate investment case study
van de Wiel, Wimjan; Kristopher Bock, Felix
2017-01-01
Background: The expansive monetary policy of the European Central Bank has been leading to all-time-low interest rates and to a strong move into real estate investment. Low interest rates can work in favor of the investor (due to low interest rate expenditures), but increasing interest rates can jeopardize real estate investments. Since changes in interest rates are unpredictable, an investor needs to deal with this volatility. The capital market offers several financial instruments (so-calle...
Interest rate and commercial banks' lending operations in Nigeria: A ...
African Journals Online (AJOL)
It was found that Monetary Policy Rate (MPR) and inflation rate exert a positive and significant impact on banks' loans for the period. For the deregulation era, the result showed that MPR and the exchange rate had significant impact on banks' loans and advances. While the former exerted a negative impact, the later had a ...
Exchange Rate and Interest Rate in the Monetary Policy Reaction Function
Directory of Open Access Journals (Sweden)
Krušković Borivoje D.
2017-01-01
Full Text Available In recent years there has been a particular interest in the relation between exchange rates and interest rates both in developed countries and emerging countries. This is understandable given the important role that these variables have in determining the movement of nominal and real economic variables, including the movement of domestic inflation, real output, exports and imports, foreign exchange reserves, etc. To realized the importance of the given instruments selected macroeconomic indicators, data analysis (monthly data relating to Serbia was made on the basis of the Transfer Function Model, a data analysis (annual data relating to emerging countries was done on the basis of the Stepvise Multiple Regression model. In the transfer function model we used the Maximum Likelihood method for assessing unknown coefficients. In the gradual multiple regression model we used the Least Square method for the evaluation of unknown coefficients. All indicator values were used in the original unmodified form, i.e. there was no need for a variety of transformations. Empirical analysis showed that the exchange rate is a more significant transmission mechanism than the interest rate both in emerging markets and Serbia.
76 FR 23646 - Financial Management Policies-Interest Rate Risk
2011-04-27
... DEPARTMENT OF THE TREASURY Office of Thrift Supervision Financial Management Policies--Interest... invite comments on the following information collection. Title of Proposal: Financial Management Policies... Office of Management and Budget (OMB) for review and approval, as required by the Paperwork Reduction Act...
Essays on long-term mortality and interest rate risk
de Kort, J.P.
2017-01-01
This dissertation comprises a study of long-term risks which play a major role in actuarial science. In Part I we analyse long-term mortality risk and its impact on consumption and investment decisions of economic agents, while Part II focuses on the mathematical modelling of long-term interest
Institute of Scientific and Technical Information of China (English)
Jianfang Zhou; Jingjing Wang; Jianping Ding
2014-01-01
Purpose-After loan interest rate upper limit deregulation in October 2004,the financing environment in China changed dramatically,and the banks were eligible for risk compensation.The purpose of this paper is to focus on the influence of the loan interest rate librealization on firms' loan maturity structure.Design/methodology/approach-Based on Rajan's (1992) model the authors constructed a tradeoff model of how the banks choose long-term and short-term loans scales,and further analyzed banks' loan term decisions under the loan interest rate upper limit deregulation or collateral cases.Then the authors used an unbalanced panel data set of 586 Chinese listed manufacturing companies and 9,376 observations during the period 1996-2011 to testify the theoretical conclusion.Furthermore,the authors studied the effect on firms with different characteristics of ownership or scale.Findings-The results show that the loan interest rate liberalization significantly decreases the private companies' reliance on short-term loans and increases sensitivity to interest rates of stateowned companies' long-term loans.But the results also show that the companies' ownership still plays a key role on the long-term loans availability.When monetary policy tightened,small companies still have to borrow short-term loans for long-term purposes.As the bank industry is still dominated by state-owned banks and the deposit interest rate has upper limits,the effect of the loan interest rate liberalization on easing long-term credit constraints is limited.Originality/value-From a new perspective,the content and findings of this paper contribute to the study of the effect of the interest rate liberalization on China economy.
12 CFR 557.14 - What interest rate may I pay on savings accounts?
2010-01-01
... 12 Banks and Banking 5 2010-01-01 2010-01-01 false What interest rate may I pay on savings... DEPOSITS Deposit Activities of Federal Savings Associations § 557.14 What interest rate may I pay on savings accounts? (a) You may pay interest at any rate or anticipated rate of return on savings accounts...
Protective interest rate as tax instrument of corporate capital protection
Directory of Open Access Journals (Sweden)
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.
42 CFR 23.25 - How will interest rates for loans be determined?
2010-10-01
... 42 Public Health 1 2010-10-01 2010-10-01 false How will interest rates for loans be determined? 23... will interest rates for loans be determined? Interest will be charged at the Treasury Current Value of Funds (CVF) rate in effect on April 1 immediately preceding the date on which the loan is approved and...
13 CFR 123.302 - What is the interest rate on an economic injury disaster loan?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What is the interest rate on an... ADMINISTRATION DISASTER LOAN PROGRAM Economic Injury Disaster Loans § 123.302 What is the interest rate on an economic injury disaster loan? Your economic injury loan will have an interest rate of 4 percent per annum...
2011-03-18
... (Requirements for Interest Rate Reduction Refinancing Loans); Comment Request AGENCY: Veterans Benefits... to refinance a delinquent VA-guaranteed loan with a lower interest rate. DATES: Written comments and... techniques or the use of other forms of information technology. Title: Requirements for Interest Rate...
2011-06-07
... (Requirements for Interest Rate Reduction Refinancing Loans) Activity Under OMB Review AGENCY: Veterans Benefits...: Requirements for Interest Rate Reduction Refinancing Loans. OMB Control Number: 2900-0601. Type of Review..., insured, or direct loan with a new loan at a lower interest rate provided that the veteran still owns the...
2012-04-06
... (Interest Rate Reduction Refinancing Loan Worksheet) Activity: Comment Request AGENCY: Veterans Benefits... to determine whether lenders computed the loan amount on interest rate reduction refinancing loans.... Title: Interest Rate Reduction Refinancing Loan Worksheet, VA Form 26-8923. OMB Control Number: 2900...
13 CFR 120.215 - What interest rates apply to smaller loans?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What interest rates apply to... BUSINESS LOANS Policies Specific to 7(a) Loans Maturities; Interest Rates; Loan and Guarantee Amounts § 120.215 What interest rates apply to smaller loans? For a loan over $25,000 but not exceeding $50,000, the...
7 CFR 1951.241 - Special provision for interest rate change.
2010-01-01
... 7 Agriculture 14 2010-01-01 2009-01-01 true Special provision for interest rate change. 1951.241... Community and Direct Business Programs Loans and Grants § 1951.241 Special provision for interest rate... interest rate charged by FmHA or its successor agency under Public Law 103-354 to water and waste disposal...
13 CFR 120.521 - What interest rate applies after SBA purchases its guaranteed portion?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What interest rate applies after... 504 Loans Sba's Purchase of A Guaranteed Portion § 120.521 What interest rate applies after SBA purchases its guaranteed portion? When SBA purchases the guaranteed portion of a fixed interest rate loan...
13 CFR 123.104 - What interest rate will I pay on my home disaster loan?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What interest rate will I pay on... ADMINISTRATION DISASTER LOAN PROGRAM Home Disaster Loans § 123.104 What interest rate will I pay on my home disaster loan? If you can obtain credit elsewhere, your interest rate is set by a statutory formula, but...
2012-06-27
... . Please refer to ``OMB Control No. 2900- 0386.'' SUPPLEMENTARY INFORMATION: Title: Interest Rate Reduction... guaranty on all interest rate reduction refinancing loan and provide a receipt as proof that the funding... ensure lenders computed the funding fee and the maximum permissible loan amount for interest rate...
7 CFR 3575.80 - Interest rate changes after loan closing.
2010-01-01
... 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 after...) may collectively effect a permanent reduction in the interest rate on the guaranteed loan at any time...
7 CFR 1779.80 - Interest rate changes after loan closing.
2010-01-01
... 7 Agriculture 12 2010-01-01 2010-01-01 false Interest rate changes after loan closing. 1779.80....80 Interest rate changes after loan closing. (a) General. Subject to the restrictions below, the borrower, lender, and holder (if any) may collectively effect a permanent reduction in the interest rate on...
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... to the interest rates to be applied for a plan year under section 430(h)(2). Section 430(h)(2) and... defined in section 414(f)). Paragraph (b) of this section describes how the segment interest rates are...
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..., shall bear interest at the rate determined as established below, but not less than 5 percent per annum...
7 CFR 3550.208 - Reamortization using promissory note interest rate.
2010-01-01
... 7 Agriculture 15 2010-01-01 2010-01-01 false Reamortization using promissory note interest rate... § 3550.208 Reamortization using promissory note interest rate. Reamortization using the promissory note interest rate may be authorized when RHS determines that reamortization is required to enable the borrower...
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... AGRICULTURAL MORTGAGE CORPORATION FUNDING AND FISCAL AFFAIRS Investment Management § 652.15 Interest rate risk... (direction, controls, and supervision) to the interest rate risk management program and must be knowledgeable...
Carlos Ibarra
2005-01-01
This paper studies the dynamics of the interest rate differential across band and floating exchange rate regimes in Chile, Colombia and Israel, and in a benchmark group composed of Italy, Portugal and Spain. Significant differences in the interest rate-exchange rate link are found between the two groups, irrespective of regime. However, in all countries, except Italy, the interest differential ceased to behave anti-cyclically against output after the adoption of floating, possibly because of ...
Level-ARCH Short Rate Models with Regime Switching
DEFF Research Database (Denmark)
Christiansen, Charlotte
This paper introduces regime switching volatility into level- ARCH models for the short rates of the US, the UK, and Germany. Once regime switching and level effects are included there are no gains from including ARCH effects. It is of secondary importance exactly how the regime switching is spec...
Short communication: Effective population size and inbreeding rate ...
African Journals Online (AJOL)
Short communication: Effective population size and inbreeding rate of indigenous Nguni cattle under in situ conservation in the low-input communal production ... as not at risk of extinction, while the individual enterprises were classified as being endangered-maintained without the exchange of germ plasm among them.
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 Federal...
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...
A Forward-looking Model of the Term Structure of Interest Rates
DEFF Research Database (Denmark)
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...
Calibration of short rate term structure models from bid-ask coupon bond prices
Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia
2018-02-01
In this work we use the method of maximum entropy in the mean to provide a model free, non-parametric methodology that uses only market data to provide the prices of the zero coupon bonds, and then, a term structure of the short rates. The data used consists of the prices of the bid-ask ranges of a few coupon bonds quoted in the market. The prices of the zero coupon bonds obtained in the first stage, are then used as input to solve a recursive set of equations to determine a binomial recombinant model of the short term structure of the interest rates.
Development and validation of the measure of initial attraction- Short Interest Scale (MIA-I
Directory of Open Access Journals (Sweden)
David Rodrigues
2015-06-01
Full Text Available Unilateral initial attraction (UIA is a positive affective reaction following a unilateral perception of an unknown target, defining the first stage in developing a new interpersonal relationship. Although little attention is given to this construct, literature suggests it has a physiological activation component as well as an interpersonal interest component. However, this interest component emerges as necessary to willingly approach another person and eventually initiate interaction. Based on these evidences, we developed and validated the Measure of Initial Attraction - Interest Short Scale (MIA-I in a sample of Portuguese-speaking individuals (Study 1, N = 544. Results suggest the MIA-I is a valid and reliable instrument (Study 1; Study 2a, and show its capacity to discriminate UIA across different relationships (Study 1 and to differentiate UIA from passion and love (Study 1. Towards an unknown target, the MIA-I also distinguished UIA from liking (Study 2b. These results show that the MIA-I assesses a specific construct, differentiated from liking, passion and love, and suggest its importance to understand the UIA phenomenon.
Cross sectional efficient estimation of stochastic volatility short rate models
Danilov, Dmitri; Mandal, Pranab K.
2001-01-01
We consider the problem of estimation of term structure of interest rates. Filtering theory approach is very natural here with the underlying setup being non-linear and non-Gaussian. Earlier works make use of Extended Kalman Filter (EKF). However, as indicated by de Jong (2000), the EKF in this
Cross sectional efficient estimation of stochastic volatility short rate models
Danilov, Dmitri; Mandal, Pranab K.
2002-01-01
We consider the problem of estimation of term structure of interest rates. Filtering theory approach is very natural here with the underlying setup being non-linear and non-Gaussian. Earlier works make use of Extended Kalman Filter (EKF). However, the EKF in this situation leads to inconsistent
The impact of informal economy on the interest rate pass-through ...
African Journals Online (AJOL)
Furthermore, the results indicated that the effect of the informal economy is much stronger in the long-run compared to the short-run. Finally, the results indicated that in both the short run and long run existence of an informal economy dampens the transmission of changes in the policy rate to retail rates as expected from ...
Directory of Open Access Journals (Sweden)
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.
Interest rate changes and stock returns in Spain: A wavelet analysis
Directory of Open Access Journals (Sweden)
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.
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.
International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle
Alfred V Guender
2015-01-01
CPI inflation targeting necessitates a flexible exchange rate regime. This paper embeds an endogenous target rule into a simple open economy macro model to explain the UIP puzzle. The model predicts that the change in the exchange rate is inversely related to the lagged interest rate differential. Openness and aversion to inflation variability determine the strength of this linkage. Foreign inflation and the foreign interest rate also affect exchange rate changes. This hypothesis is tested on...
GOVERNMENT DEBT, INTEREST RATES AND INTERNATIONAL CAPITAL FLOWS: EVIDENCE FROM COINTEGRATION
Pene Kalulumia
2000-01-01
This paper examines the impact of government debt on interest rates in the United States, Germany, the United Kingdom and Canada. It builds on the general portfolio balance framework which allows for both direct and indirect tests of the link between public debt and interest rates, and uses the Johansen-Juselius multivariate cointegration techniques to perform these tests. Indirect tests in this model consist of investigating the debt impact on interest rates through the effects of debt on th...
Risky forward interest rates and swaptions: Quantum finance model and empirical results
Baaquie, Belal Ehsan; Yu, Miao; Bhanap, Jitendra
2018-02-01
Risk free forward interest rates (Diebold and Li, 2006 [1]; Jamshidian, 1991 [2 ]) - and their realization by US Treasury bonds as the leading exemplar - have been studied extensively. In Baaquie (2010), models of risk free bonds and their forward interest rates based on the quantum field theoretic formulation of the risk free forward interest rates have been discussed, including the empirical evidence supporting these models. The quantum finance formulation of risk free forward interest rates is extended to the case of risky forward interest rates. The examples of the Singapore and Malaysian forward interest rates are used as specific cases. The main feature of the quantum finance model is that the risky forward interest rates are modeled both a) as a stand-alone case as well as b) being driven by the US forward interest rates plus a spread - having its own term structure -above the US forward interest rates. Both the US forward interest rates and the term structure for the spread are modeled by a two dimensional Euclidean quantum field. As a precursor to the evaluation of put option of the Singapore coupon bond, the quantum finance model for swaptions is tested using empirical study of swaptions for the US Dollar -showing that the model is quite accurate. A prediction for the market price of the put option for the Singapore coupon bonds is obtained. The quantum finance model is generalized to study the Malaysian case and the Malaysian forward interest rates are shown to have anomalies absent for the US and Singapore case. The model's prediction for a Malaysian interest rate swap is obtained.
Wibowo, Buddi; Lazuardi, Eduardo
2016-01-01
Empirical Evidence of Monetary Policy Transmission Mechanism: Indonesia Banking Sector Interest Rate Pass-throughRobust measurement of interest rates speed of adjustment to monetary policy changes is very important to obtain acomprehensive understanding on the monetary transmission process and the eectiveness of monetary policy. The speed of adjustment are determined by number of frictions that interfere with the transmission of monetary policy.We measure Indonesia interest rate pass-through ...
High-repetition-rate short-pulse gas discharge.
Tulip, J; Seguin, H; Mace, P N
1979-09-01
A high-average-power short-pulse gas discharge is described. This consists of a volume-preionized transverse discharge of the type used in gas lasers driven by a Blumlein energy storage circuit. The Blumlein circuit is fabricated from coaxial cable, is pulse-charged from a high-repetition-rate Marx-bank generator, and is switched by a high-repetition-rate segmented rail gap. The operation of this discharge under conditions typical of rare-gas halide lasers is described. A maximum of 900 pps was obtained, giving a power flow into the discharge of 30 kW.
Short-run Exchange-Rate Dynamics: Theory and Evidence
DEFF Research Database (Denmark)
Carlson, John A.; Dahl, Christian Møller; Osler, Carol L.
Recent research has revealed a wealth of information about the microeconomics of currency markets and thus the determination of exchange rates at short horizons. This information is valuable to us as scientists since, like evidence of macroeconomic regularities, it can provide critical guidance...... of currency markets, it accurately reflects the constraints and objectives faced by the major participants, and it fits key stylized facts concerning returns and order flow. With respect to macroeconomics, the model is consistent with most of the major puzzles that have emerged under floating rates....
Covered Interest-Rate Parity Revisited: an Extreme Value Copula Analysis
Directory of Open Access Journals (Sweden)
Mikel Ugando-Peñate
2015-11-01
Full Text Available This article studied the covered interest-rate parity (CIP condition under extreme market movements using extreme value theory and extreme value copulas to characterize dependence between extreme interest rate differentials and forward premium. The empirical analysis for the CIP between interest rates for the US dollar and the British pound indicates that there is strong co-movement between interest rate differentials and forward premium at different maturities and in both upper and lower tails. This conclusion would support the existence of the CIP condition under extreme market movements.
Role & Impact of Interest Rate in Jordan’ Economy from Points of View of Banking Managers
Directory of Open Access Journals (Sweden)
REEM SAHER alaraj
2017-05-01
Full Text Available The research aimed at investigating the role, impact and determinants of interest rate in Jordanian economy from view points of banking managers in Jordan. The methodology is descriptive and analytical using mean, standard deviation, t-test and percentages as statistical tools. The study concluded that the role of interest rate in Jordanian monetary policy is restricted by two factors: pegging JD with US$ which limits the effective role of interest rate in Jordanian monetary policy and the dual banking system of traditional and Islamic banks where Islamic banks do not deal with Interest rate. Raising interest rate in Jordan caused higher cost of credit for companies, less competitiveness of exports, less liquidity in the economy, higher profit margin for banks, higher exchange rate of JD and higher inflation. Nevertheless, lowering interest rate in Jordan caused lower cost of borrowing, higher liquidity, better competitiveness of exports and more credit facilities by banks but inflation was much lower. Moreover, the study concluded the determinants of interest rate in Jordan are money supply, demand for money, inflation and economic conditions. In order to have an effective role for interest rate in monetary policy, the researcher recommends pegging JD to a basket of currencies.
Modeling of the interest rate policy of the central bank of Russia
Shelomentsev, A. G.; Berg, D. B.; Detkov, A. A.; Rylova, A. P.
2017-11-01
This paper investigates interactions among money supply, exchange rates, inflation, and nominal interest rates, which are regulating parameters of the Central bank policy. The study is based on the data received from Russian source in 2002-2016. The major findings are 1) the interest rate demonstrates almost no relation with inflation; 2) ties of money supply and the nominal interest rate are strong; 3) money supply and inflation show meaningful relations only in comparison to their growth rates. We have developed a dynamic model, which can be used in forecasting of macroeconomic processes.
Exchange and Interest Rates prior to EMU: The Case of Greece
Antzoulatos, Angelos A.; Wilfling, Bernd
2003-01-01
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continous time are theoretically rigorous, a systematic and extensive empirical validation is still lacking. Using exchange and interest rate data collected prior to the Greek EMU-entrance on 1 January 2001 this paper tries to fill the gap between theory and...
The Reaction of the WIG Stock Market Index to Changes in the Interest Rates on Bank Deposits
Directory of Open Access Journals (Sweden)
Grzegorz Przekota
2010-01-01
Full Text Available Determination of the relationship between the money market and capital market is particularly important from the point of view of taking a decision on the location of investment capital. It may help to forecast future states. This study seeks to determine the relationship of the interest rate on deposits in zloty with the WIG stock index and the volume of turnover on the Warsaw Stock Exchange. Analysis of correlation and VAR models are used. Analysis of long-term correlation indicates a negative relationship between the interest rate on deposits in banks and the value of the WIG stock-index. However, this may be spurious. The dependence between these variables may be more complex and should rather be seen as short term. It seems that in general the impact of an increase in interest rates on the value of the WIG index is negative in the short term, just as in the long term. In addition, in the short term these variables can move in the same direction. The results obtained in the research are consistent with results obtained for other national markets. This applies in particular to the relatively weak, negative correlation described above. (original abstract
International interest rate convergence: a survey of the issues and evidence
Charles Pigott
1993-01-01
World financial markets have become substantially integrated over the last two decades. Contrary to widespread expectations, however, this integration has not led to any greater convergence of interest rates across countries. This article examines why convergence has not occurred and more generally what financial integration does—and does not—mean for international interest rate relations.
Optimal Interest-Rate Setting in a Dynamic IS/AS Model
DEFF Research Database (Denmark)
Jensen, Henrik
2011-01-01
This note deals with interest-rate setting in a simple dynamic macroeconomic setting. The purpose is to present some basic and central properties of an optimal interest-rate rule. The model framework predates the New-Keynesian paradigm of the late 1990s and onwards (it is accordingly dubbed “Old...
29 CFR Appendix C to Part 4022 - Lump Sum Interest Rates for Private-Sector Payments
2010-07-01
... 29 Labor 9 2010-07-01 2010-07-01 false Lump Sum Interest Rates for Private-Sector Payments C Appendix C to Part 4022 Labor Regulations Relating to Labor (Continued) PENSION BENEFIT GUARANTY... Appendix C to Part 4022—Lump Sum Interest Rates for Private-Sector Payments [In using this table: (1) For...
2013-05-07
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Third Quarter FY 2013 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2013-01-25
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Second Quarter FY 2013 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2013-10-31
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for First Quarter FY 2014 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2012-12-03
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for First Quarter FY 2013 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2012-01-31
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Second Quarter FY 2012 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2012-04-26
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for Third Quarter FY 2012 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2012-08-03
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Fourth Quarter FY 2012 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
2011-10-27
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for First Quarter FY 2012 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
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
2013-07-26
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans Interest Rate for Fourth Quarter FY 2013 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
24 CFR 221.795 - Displacement-below market interest rate mortgages.
2010-04-01
... Rights and Obligations-Moderate Income Projects § 221.795 Displacement—below market interest rate... 24 Housing and Urban Development 2 2010-04-01 2010-04-01 false Displacement-below market interest rate mortgages. 221.795 Section 221.795 Housing and Urban Development Regulations Relating to Housing...
2011-07-27
... SMALL BUSINESS ADMINISTRATION Military Reservist Economic Injury Disaster Loans; Interest Rate for Fourth Quarter FY 2011 In accordance with the Code of Federal Regulations 13--Business Credit and Assistance Sec. 123.512, the following interest rate is effective for Military Reservist Economic Injury...
12 CFR 615.5180 - Interest rate risk management by banks-general.
2010-01-01
... 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 § 615.5180 Interest rate risk management by banks—general. The board of directors of each Farm Credit Bank...
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 the...
12 CFR 615.5181 - Bank interest rate risk management program.
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Bank interest rate risk management program. 615... FISCAL AFFAIRS, LOAN POLICIES AND OPERATIONS, AND FUNDING OPERATIONS Risk Assessment and Management § 615.5181 Bank interest rate risk management program. (a) The board of directors of each Farm Credit Bank...
Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates
Directory of Open Access Journals (Sweden)
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.
Analysis of the Money Supply and Interest Rate of Inflation in Indonesia
Directory of Open Access Journals (Sweden)
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
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
“The use of Interest Rate Derivatives by non-financial Firms”
Honavar, Gaurav
2015-01-01
The topic of discussion is the use of Interest Rate Derivatives by non-financial firms in the UK. The data of the non-financial firms is gathered from the information available in the financial statements. The objective of the study was to analyse how firms use floating rate debts or fixed rate debts to hedge their interest rate risk. It is found that bank debts for nonfinancial firms is set on a floating rate, firms with higher cash holdings choose to have more floating rate d...
A Critical Review on Interest Rate as a Tool of Monetary Policy
diyah putriani; pras towo
2016-01-01
Objectives: This research is aimed to critically review the relationship between interest rate and economic downturnMethods: Meta-analysis.Results: The existing monetary policy will always create higher inflation rate overtime triggering economic crisis in the long run. This is not merely about how the monetary authority strictly manages the supply and demand for money in the economy.Conclusion:This paper concludes that interest rate give negative contribution to the economic growth.
A Critical Review on Interest Rate as a Tool of Monetary Policy
Directory of Open Access Journals (Sweden)
diyah putriani
2016-04-01
Full Text Available Objectives: This research is aimed to critically review the relationship between interest rate and economic downturnMethods: Meta-analysis.Results: The existing monetary policy will always create higher inflation rate overtime triggering economic crisis in the long run. This is not merely about how the monetary authority strictly manages the supply and demand for money in the economy.Conclusion:This paper concludes that interest rate give negative contribution to the economic growth.
Directory of Open Access Journals (Sweden)
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.
Retrospective analysis of survival rates and marginal bone loss on short implants in the mandible.
Draenert, Florian G; Sagheb, Keyvan; Baumgardt, Katharina; Kämmerer, Peer W
2012-09-01
Short implants have become an interesting alternative to bone augmentation in dental implantology. Design of shorter implants and longer surveillance times are a current research issue. The goal of this study was to show the survival rates of short implants below 9 mm in the partly edentulous mandibular premolar and molar regions with fixed prosthetics. Marginal vertical and 2D bone loss was evaluated additionally. Different implant designs are orientationally evaluated. A total of 247 dental implants with fixed prosthetics (crowns and bridges) in the premolar and molar region of the mandible were evaluated; 47 implants were 9 mm or shorter. Patient data were evaluated to acquire implant survival rates, implant diameter, gender and age. Panoramic X-rays were analysed for marginal bone loss. Average surveillance time was 1327 days. Cumulative survival rate (CSR) of short implants was 98% (1 implants lost) compared to 94% in the longer implants group without significance. Thirty-five of the short implants were Astratech (0 losses) and 12 were Camlog Screw Line Promote Plus (1 loss). Early vertical and two-dimensional marginal bone loss was not significantly different in short and regular length implant group with an average of 0.6 mm and 0.7 mm(2) in short implants over the observation period. Within the limitations of this study, we conclude that short implants with a length of 9 mm or less have equal survival rates compared with longer implants over the observation period of 1-3 years. © 2011 John Wiley & Sons A/S.
Directory of Open Access Journals (Sweden)
Seung-Ho Lee
1999-09-01
Full Text Available The purpose of this paper is to investigate the interrelationships among KRW/USD exchange rate, interest rate, and foreigner’s portfolio investment to Korea before and after the crisis. Our finding is that interest rate and the exchange rate move closely with positive relation after the crisis, which was not the case before the crisis. We also examine cross dependencies among three variables using a multivariate GARCH model and find that all of restricted models such as uni-directional spillovers are firmly rejected over both periods.
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
Directory of Open Access Journals (Sweden)
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.
Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
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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.
Central Bank Communication Affects the Term-Structure of Interest Rates
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Fernando Chague
2015-06-01
Full Text Available We empirically analyze how the Brazilian Central Bank (BCB communication affects the term structure of future interest rates. Using principal components analysis, we construct a measure of the Monetary Policy Committee Minutes content that reflects policy makers optimism about the economic conditions. We call this measure the Optimism Factor (OF. When policy makers are more optimistic, reflected by increments in the OF, markets expectations respond and long-term future interest rates drop. Furthermore, when policy makers are pessimistic, reflected by a decrease in the OF, volatility on future interest rates increases. Our result indicates that policy maker communication has an effective impact on market expectations.
Long-run interest rate convergence in Poland and the EMU
Łukasz Goczek; Dagmara Mycielska
2013-01-01
The aim of the article is to examine the degree of the long-run interest rate convergence in the context of Poland's joining the EMU. In this perspective, it is frequently argued that the expectations of Poland's participation in the EMU should manifest themselves in long-run interest rate convergence. This should be visible in the long-run fall of interest rate risk premium in Poland. In contrast, the paper raises the question of the actual speed of such convergence and questions the existen...
Analysis of the Money Supply and Interest Rate of Inflation in Indonesia
Darman, Darman
2016-01-01
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 t...
Interest rate convergence in the EMS prior to European Monetary Union
DEFF Research Database (Denmark)
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...
On the monetary nature of the interest rate in Keynes’s thought
Giancarlo Bertocco
2011-01-01
Keynes in the General Theory, explains the monetary nature of the interest rate by means of the liquidity preference theory. The objective of this paper is twofold. Fist, to point out the limits of an explanation of the monetary nature of the interest rate and thus of the non-neutrality of money based on the liquidity preference theory. Second, to present a different explanation of the monetary nature of the interest rate based on the arguments with which Keynes, following the General Theory,...
The implied volatility of U.S. interest rates: evidence from callable U. S. Treasuries
Robert R. Bliss; Ehud I. Ronn
1995-01-01
The prices for callable U.S. Treasury securities provide the sole source of evidence concerning the implied volatility of interest rates over the extended 1926-1994 period. This paper uses the prices of callable as well as non-callable Treasury instruments to estimate implied interest rate volatilities for the past sixty years, and, for the more recent 1989-1994 period, the cross-sectional term structures of implied interest rate volatility. We utilize these estimates to perform cross-section...
Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate
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Ji-Hun Yoon
2014-01-01
Full Text Available Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.
Corporate interest rate risk management with derivatives in Australia: empirical results
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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
Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk
R. Huisman (Ronald); R.J. Mahieu (Ronald)
2007-01-01
textabstractIn this paper, we examine in which periods uncovered interest rate parity was likely to hold. Empirical research has shown mixed evidence on UIP. The main finding is that it doesn’t hold, although some researchers were not able to reject UIP in periods with large interest differentials
Telleman, Gerdien; den Hartog, Laurens
2013-01-01
Aim: This systematic review assessed the implant survival rate of short (<10 mm) dental implants installed in partially edentulous patients. A case report of a short implant in the posterior region have been added. Materials and methods: A search was conducted in the electronic databases of MEDLINE
Hetsroni, Amir; Reizer, Abira; Ben Zion, Uri
2017-04-01
This study examined the impact of media consumption, and particularly exposure to television, on decisions regarding interest rate demands. One hundred and fifty-four participants were randomly divided into two groups: in the manipulation group, participants were exposed to a news clip about an Iranian nuclear attack on Israel, whereas in the control group, the participants were not exposed to the film. Both groups filled a questionnaires regarding their interest rate requirements in different situations, their media conception behaviors, and demographic questionnaires. Frequent routine viewing increased the interest rate demands only among participants in the manipulation group, but the manipulation itself did not have a significant effect on interest rate demands. The results are explained in terms of cultivation theory.
Central Bank Transparency, the Accuracy of Professional Forecasts, and Interest Rate Volatility
Middeldorp, M.
2011-01-01
Central banks worldwide have become more transparent. An important reason is that democratic societies expect more openness from public institutions. Policymakers also see transparency as a way to improve the predictability of monetary policy, thereby lowering interest rate volatility and
Interest-Rate Volatility in the Baltics: Issues of Measurement and International Contagion
Scott W. Hegerty
2015-01-01
Prior to their entry into the Eurozone, the Baltic countries of Estonia, Latvia, and Lithuania faced a major financial crisis that was brought about by events abroad. This financial risk led to instability in the real economy as well. This study uses monthly data to first model interest-rate volatility as a measure of financial instability before using our preferred volatility measure to test for international spillovers among interest-rate and output fluctuations. Vector Autoregressive (VAR)...
Nicholas M Odhiambo
2010-01-01
In this paper the dynamic relationship between interest rate reforms, bank-based financial development and economic growth is examined – using two models in a stepwise fashion. In the first model, the impact of interest rate reforms on financial development is examined using a financial deepening model. In the second model, the dynamic causal relationship between financial development and economic growth is examined, by including investment as an intermittent variable in the bi-variate settin...
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...
Directory of Open Access Journals (Sweden)
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.
A Comparison of the Interest Accuracy of Two Short Forms of the WAIS-R.
Cella, David F.; And Others
1985-01-01
Examined relative efficacy of two short forms of Wechsler Adult Intelligence Scale-Revised (WAIS-R) with respect to accurate subtest profile scatter (N=50). Subtest scores of both split-half Satz-Mogel short form and criterion referenced Modified WAIS-R (WAIS-RM) short form were found to differ significantly from full-length WAIS-R subtest scores.…
Georgios E. Chortareas; Rebecca L. Driver
2001-01-01
This paper examines the evidence for two of the relationships that underpin (explicitly or implicitly) much of international macroeconomics. The first is purchasing power parity (PPP), or the hypothesis that there exists a constant long-run equilibrium real exchange rate. The second establishes a relationship between real exchange rates and real interest rate differentials. The tests are conducted on a panel of 18 OECD economies using the United States as a numeraire for the post-Bretton Wood...
2010-01-01
... 7 Agriculture 12 2010-01-01 2010-01-01 false Adjustment of interest rates for certain loans... INTEREST RATES, TERMS, CONDITIONS, AND APPROVAL AUTHORITY Interest Rates, Amortization, Guarantee Fee, Annual Charge, and Fixed Period § 1810.2 Adjustment of interest rates for certain loans involving use of...
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Navoda Dhananjika Edirisinghe
2015-01-01
Full Text Available Maintaining price stability is one of the primary objectives of monetary policy in any economy as price instability, particularly high inflation, will cause to reduce economic growth by reducing investments and productivity growth. Therefore, investigating the existence of Fisher Effect and Price Puzzle is a necessary requirement in order to understand the nature, extent and dynamics of effective monetary policies in Sri Lanka. The main objective of this study is to investigate the existence of short run and long run Fisher Effect and Price Puzzle in Sri Lanka. The results from co-integration technique, Error Correction Model (ECM which employed in the study suggest that in Sri Lanka, nominal interest rates fully adjust for expected inflation in long-run. But in short-run, a significant positive association between nominal interest rates and expected inflation is there with absence of full Fisher Effect. Moreover the analysis has been extended and identified the existence of the Price Puzzle both in a short run and long run. Therefore, changes in monetary instruments do not appear to be completely effective in meeting the goal of low inflation. In order to solve this problem what we can recommend is, Sri Lanka should move towards inflation-targeting monetary policy system.
Selling Albertans short : Alberta's royalty review panel fails the public interest
International Nuclear Information System (INIS)
Gibson, D.
2007-10-01
This document commented on the release of Alberta's 2007 Royalty Review Panel regarding the province's royalty system for petroleum and oil sands development. It argued that the report does not fulfill the spirit of Alberta's royalty system, which is to expect nothing less than 100 per cent of the rent collection. This document provided an analysis of the set of recommendations made by the panel. It began with a general discussion of the problems in which the royalties review was structured and flaws in the base assumptions made by the panel. It also provided an analysis of the specific recommendations within the panel's report. Last, the report proposed a set of recommendations on how a royalties reform should proceed. The authors found specific recommendations Alberta's 2007 Royalty Review Panel report to be problematic. These included the 1 per cent royalty holiday on tar sands oil; higher net royalty rate; windfall profits tax; coal bed methane and cuts in royalties for low producing wells; and value added incentives. It was concluded that the panel's report was a compromise between the public interest and those of the oil and gas sector and that the panel's goal of ensuring that Alberta remained one of the lowest tax and royalty jurisdictions in the world was fundamentally flawed. 32 refs., 4 figs
Small groups, large profits: Calculating interest rates in community-managed microfinance
DEFF Research Database (Denmark)
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...
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
DEFF Research Database (Denmark)
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...
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,…
Temperature dependence of looping rates in a short peptide.
Roccatano, Danilo; Sahoo, Harekrushna; Zacharias, Martin; Nau, Werner M
2007-03-15
Knowledge of the influence of chain length and amino acid sequence on the structural and dynamic properties of small peptides in solution provides essential information on protein folding pathways. The combination of time-resolved optical spectroscopy and molecular dynamics (MD) simulation methods has become a powerful tool to investigate the kinetics of end-to-end collisions (looping rates) in short peptides, which are relevant in early protein folding events. We applied the combination of both techniques to study temperature-dependent (280-340 K) looping rates of the Dbo-AlaGlyGln-Trp-NH2 peptide, where Dbo represents a 2,3-diazabicyclo[2.2.2]oct-2-ene-labeled asparagine, which served as a fluorescent probe in the time-resolved spectroscopic experiments. The experimental looping rates increased from 4.8 x 10(7) s(-1) at 283 K to 2.0 x 10(8) s(-1) at 338 K in H2O. The corresponding Arrhenius plot provided as activation parameters Ea = 21.5 +/- 1.0 kJ mol(-1) and ln(A/s-1) = 26.8 +/- 0.2 in H2O. The results in D2O were consistent with a slight solvent viscosity effect, i.e., the looping rates were 10-20% slower. MD simulations were performed with the GROMOS96 force field in a water solvent model, which required first a parametrization of the synthetic amino acid Dbo. After corrections for solvent viscosity effects, the calculated looping rates varied from 1.5 x 10(8) s(-1) at 280 K to 8.2 x 10(8) s(-1) at 340 K in H2O, which was about four times larger than the experimental data. The calculated activation parameters were Ea = 24.7 +/- 1.5 kJ mol(-1) and ln(A/s(-1)) = 29.4 +/- 0.1 in H2O.
International Nuclear Information System (INIS)
Tolis, Athanasios; Tatsiopoulos, Ilias; Doukelis, Aggelos
2010-01-01
A systematic impact assessment of stochastic interest and inflation rates on the analysis of energy investments is presented. A real-options algorithm has been created for this task. Constant interest rates incorporating high risk premium have been extensively used for economic calculations, within the framework of traditional direct cash flow methods, thus favouring immediate, irreversible investments in the expense of, sometimes, insubstantially low anticipated yields. In this article, not only incomes and expenses but also interest and inflation rates are considered stochastically evolving according to specific probabilistic models. The numerical experiments indicated that the stochastic interest rate forecasts fluctuate in such low levels that may signal delayed investment entry in favour of higher expected yields. The implementation of stochastically evolving interest rates in energy investment analysis may have a controversial effect on sustainability. Displacements of inefficient plants may be significantly delayed, thus prolonging high CO 2 emission rates. Under the current CO 2 allowance prices or their medium-term forecasts, this situation may not be improved and flexible policy interventions may be necessitated. (author)
Analysis of effects of foreign bank entry on credit interest rate behavior in Serbia
Directory of Open Access Journals (Sweden)
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.
Negative Nominal Interest Rates: Three ways to overcome the zero lower bound
Willem H. Buiter
2009-01-01
The paper considers three methods for eliminating the zero lower bound on nominal interest rates and thus for restoring symmetry to domain over which the central bank can vary its policy rate. They are: (1) abolishing currency (which would also be a useful crime-fighting measure); (2) paying negative interest on currency by taxing currency; and (3) decoupling the numéraire from the currency/medium of exchange/means of payment and introducing an exchange rate between the numéraire and the curr...
Directory of Open Access Journals (Sweden)
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
What factors drive interest rate spread of commercial banks? Empirical evidence from Kenya
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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.
Risk of Interest Rates at the Level of Commercial Banks in Romania
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Sbârcea Ioana Raluca
2017-12-01
Full Text Available The banking system in Romania is a banking system under development, subject to fluctuations that exist on the market more than on more developed banking systems, fluctuations that can generate losses for banks if they are not properly managed. The losses that may be generated by these fluctuations, known as market risk, refer to the significant fluctuations in three indicators, namely the interest rate, the exchange rate and the asset price. In this article, I will analyse the interest rate risk from a conceptual point of view and the indicators that mitigate this risk. The analysis also contains a study of this risk among commercial banks in the system to highlight the level of risk and possible effects of its manifestation. I calculated and analysed the interest rate risk indicators, individually for the first three banks in the system, but also to comparatively, in order to highlight the existing differences.
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Chi Truong
2017-04-01
Full Text Available Data on certainty equivalent discount factors and discount rates for stochastic interest rates in Australia are provided in this paper. The data has been used for the analysis of investments into climate adaptation projects in ׳It׳s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events׳ (Truong and Trück, 2016 [3] and can be used for other cost-benefit analysis studies in Australia. The data is of particular interest for the discounting of projects that create monetary costs and benefits in the distant future.
Truong, Chi; Trück, Stefan
2017-04-01
Data on certainty equivalent discount factors and discount rates for stochastic interest rates in Australia are provided in this paper. The data has been used for the analysis of investments into climate adaptation projects in ׳It׳s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events ׳ (Truong and Trück, 2016) [3] and can be used for other cost-benefit analysis studies in Australia. The data is of particular interest for the discounting of projects that create monetary costs and benefits in the distant future.
Effectiveness of Interest Rate Policy of the Fed in Management of Subprime Mortgage Crisis
Directory of Open Access Journals (Sweden)
Samet Gunay
2018-02-01
Full Text Available The federal funds rate is one of the most important monetary policy instruments of Federal Reserve Bank of America. In this study, we analyze the effectiveness of Fed interest rate policy on different markets in the period between 1976 and 2016 through Markov regime-switching regression analysis. Results indicate that Federal funds’ rate affects labor and housing markets with a few months’ lag. However, the influence of Federal funds rate on inflation rate is quite limited. It is most probable that Fed employs alternative monetary instruments to regulate inflation. The most interesting results are obtained in the domain of personal savings. The interaction of personal savings and Federal funds rate is significant during both expansion and recession regimes.
Interest of the Department of Energy in production and development of short-lived radionuclides
International Nuclear Information System (INIS)
Thiessen, J.W.
1985-01-01
The Department of Energy has developed production of potentially useful radionuclides for applications in medicine. The Department's financial commitment and the short-lived radionuclide production program, with emphasis on iodine-123, is discussed
Interest rate transmission mechanism of monetary policy in the selected EMU candidate countries
Directory of Open Access Journals (Sweden)
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.
Interest Rate Fluctuation Effect on Commercial Bank's Fixed Fund Deposit in Nigeria
Okolo Chimaobi Valentine
2015-01-01
Commercial banks in Nigeria adopted many strategies to attract fresh deposits including the use of high deposit rate. However, pricing of banking services moved in favor of the banks at the expense of customers, resulting in their seeking other investment alternatives rather than saving their money in the bank. Both deposit and lending rates were greatly influenced by the Central Bank of Nigeria (CBN) decision on interest rate. Therefore, commercial bank effort to attract...
2013-03-22
... DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the.... Department of Education published in the Federal Register (78 FR 5433) a notice announcing the interest rates... bill rate Margin Total rate First disbursed on or after disbursed interest rate (percent) (percent...
Energy Technology Data Exchange (ETDEWEB)
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.
Research on listed bank profit model under the interest rate liberalization
Directory of Open Access Journals (Sweden)
Geyao Zhu
2017-03-01
Full Text Available With constantly deepening the interest rate liberalization, shrinking the net interest margin and the ever-rising non-performing loan ratio, the traditional commercial banks with the main profit model of credit suffers from a severe challenge. The research significance of this paper lies in helping China’s commercial bank convert management philosophy, developing a new financial business and improving the profit model. Through the empirical research of 80 samples of China’s listed commercial banks: under the condition of interest rate liberalization, the net interest margin is still the current major profit model of the commercial bank, but the intermediate business is the future development model of the commercial banks.
Impact of Total, Internal and External Government Debt on Interest Rate in Pakistan
Perveen, Asma; Munir, Kashif
2017-01-01
The objective of the study is to examine impact of total, internal and external government debt on nominal interest rate in Pakistan. To attain these objectives, the study used annual time series data from 1973 to 2016. The study used loanable fund theory as theoretical model and ARDL bound testing approach for cointegration and Granger causality test to estimate the results. The results of the study found negative relation between total government debt, external debt and nominal interest rat...
25 CFR 115.712 - What is the interest rate earned on money in a trust account?
2010-04-01
... 25 Indians 1 2010-04-01 2010-04-01 false What is the interest rate earned on money in a trust... and Interests § 115.712 What is the interest rate earned on money in a trust account? The rate of interest on a trust account changes based on how the money is invested and how those investments perform. ...
Directory of Open Access Journals (Sweden)
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.
The Reaction of Private Spending and Market Interest Rates to the Changes in Public Spending
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Przekota Grzegorz
2016-01-01
Full Text Available Expansionary fiscal policy is mired in controversy. Its proponents suggest that during recession, it stimulates investors’ activity and has a stabilizing effect on economic growth. However, its opponents point to the costs associated with the budget deficit and public debt handling. Increased public spending may result in an increase in the interest rates, which may, in turn, hinder private investment and weaken the multiplier effect of public spending. The following study examines how private spending and market interest rates reacted to changes in public spending in Poland. The study has shown that public spending stimulates private spending, which is consistent with the Keynesian model, but it also leads to an increase in market interest rates, which is consistent with the neoclassical model.
Low interest rates - do they revise household saving motives in the Euro area?
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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.
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...
Boyce, Christopher J; Delaney, Liam; Ferguson, Eamonn; Wood, Alex M
2018-07-01
Central banks set economy-wide interest rates to meet exclusively economic objectives. There is a strong link between indebtedness and psychiatric morbidity at the individual level, with interest rates being an important factor determining ability to repay debt. However, no prior research has explored whether central bank interest rate changes directly influence mental health, nor whether this varies by levels of indebtedness. We use British data (N = 93,255) to explore whether the Bank of England base-rate affected how perceived burden of non-mortgage debt (low, medium, and high) influenced psychiatric morbidity. Psychiatric morbidity was measured using the General Health Questionnaire (GHQ-12). Our primary outcome measure was a binary indicator of "psychiatric caseness" (>3 on a 0-12 scale). We also used the GHQ-12 as a continuous measure of distress. When interest rates are high (low) there is an increased (decreased) risk of psychiatric morbidity only among those with a high debt burden (b = 0.026, p = 0.02). This result was robust to alternative explanations. Thus a 1 percentage point base-rate increase is associated with a 2.6% increase that someone with a high debt burden will experience psychiatric morbidity. Our study uses subjective indicators of debt burden. We were unable to determine the mechanism behind our effect. Changes in central bank interest rates to meet economic objectives pose a threat to mental health. Mental health support is needed for those in debt and central banks may need to consider how their decisions influence population mental health. Copyright © 2018. Published by Elsevier B.V.
Interest Rate Policy Of Selected Central Banks In Central And Eastern Europe
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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.
Macroeconomic effects of high interest rate policy: Mexico’s experience
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Julio Lopez Gallardo
2015-09-01
Full Text Available We study the effects of the high interest rate policy implemented in Mexico under the inflation targeting (IT scheme on the price level and on GDP and its components. We specify a macroeconomic model inspired by the theory of the effective demand, and on this basis we demonstrate, through comparative statics, the complex set of relationships between the variables involved, and the chain of reactions that a shock to the interest rate is likely to provoke. Our main conclusions show that an interest rate rise may be instrumental to control inflation. However, this rise contributes to appreciate the exchange rate, which is the main channel through which inflation is tamed. Currency appreciation raises the share of wages in GDP even as it reduces the debt service of firms indebted in dollars. It follows that the interest rate rise may have, under certain conditions, an indirect positive impact on output. Thus, our results diverge from those entailed by the theory that is at the basis of the inflation-targeting strategy, and even from some contemporary non-conventional approaches.
Pre-service mathematics student teachers’ conceptions of nominal and effective interest rates
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Judah P. Makonye
2017-04-01
Full Text Available The general public consumes financial products such as loans that are administered in the realm of nominal and effective interest rates. It is debatable if most consumers really understand how these rates function. This article explores the conceptions that student teachers have about nominal and effective interest rates. The APOS theory illuminates analysis of students’ levels of conception. Seventy second-year mathematics students’ responses to Grade 12 tasks on effective and nominal interest rates were analysed, after which 12 students were interviewed about their mathematical thinking in solving the tasks. The findings varied. While some students could not do the tasks due to erratic use of formulae (algebra, I ascertained that some students obtained correct answers through scrupulous adherence to the external prompt of formulae. Most of those students remained stuck at the action and process stages and could not view their processes as mathematical objects. A few students had reached the object and schema stages, showing mature understanding of the relationship between nominal and effective interest rates. As most students remained at the operational stages rather than the structural, the findings accentuate that when teaching this topic, teachers ought to take their time to build learners’ schema for these notions. They need to guide their learners through the necessary action-process-object loop and refrain from introducing students to formulae too soon as this stalls their advancement to the object and schema stages which are useful in making them smart consumers of financial products.
Quantitative law describing market dynamics before and after interest-rate change
International Nuclear Information System (INIS)
Petersen, Alexander M.; Wang Fengzhong; Stanley, H. Eugene; Havlin, Shlomo
2010-01-01
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)∼(t-T) -Ω , with Ω positive. Surprisingly, we find that the same law describes the rate n ' (|t-T|) of 'preshocks' before the interest-rate change at time T. This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the 'sign effect', in which 'bad news' has a larger impact than 'good news'. Furthermore, we observe significant volatility aftershocks, confirming a 'market under-reaction' that lasts at least one trading day.
Quantitative law describing market dynamics before and after interest-rate change.
Petersen, Alexander M; Wang, Fengzhong; Havlin, Shlomo; Stanley, H Eugene
2010-06-01
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)∼(t-T)(-Ω) , with Ω positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "preshocks" before the interest-rate change at time T . This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market under-reaction" that lasts at least one trading day.
Quantitative law describing market dynamics before and after interest-rate change
Petersen, Alexander M.; Wang, Fengzhong; Havlin, Shlomo; Stanley, H. Eugene
2010-06-01
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)˜(t-T)-Ω , with Ω positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of “preshocks” before the interest-rate change at time T . This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the “sign effect,” in which “bad news” has a larger impact than “good news.” Furthermore, we observe significant volatility aftershocks, confirming a “market under-reaction” that lasts at least one trading day.
Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates
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Jianbo Huang
2013-01-01
Full Text Available The convertible bonds usually have multiple additional provisions that make their pricing problem more difficult than straight bonds and options. This paper uses the binary tree method to model the finance market. As the underlying stock prices and the interest rates are important to the convertible bonds, we describe their dynamic processes by different binary tree. Moreover, we consider the influence of the credit risks on the convertible bonds that is described by the default rate and the recovery rate; then the two-factor binary tree model involving the credit risk is established. On the basis of the theoretical analysis, we make numerical simulation and get the pricing results when the stock prices are CRR model and the interest rates follow the constant volatility and the time-varying volatility, respectively. This model can be extended to other financial derivative instruments.
Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.
Gabrieli, S.
2012-01-01
What influences banks’ borrowing costs in the unsecured money market? The objective of this paper is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow unsecured funds once bank size and other bank and market factors that affect the overnight segment are controlled for. Preliminary evidence shows that large banks borrow on average at better rates compare...
The Effects of Inflation and Money Supply Announcements on Interest Rates
Thomas Urich; Paul Wachtel
1984-01-01
This paper examines the impact of the money supply and inflation rate announcements on interest rates. Survey data on expectations of the money supply and consumer and producer price indexes are used to distinguish anticipated and unanticipated components of the announcements. This distinction is used to test for the efficiency of the financial market response to the announcements of new information. The results indicate that the unanticipated components of the announced changes in the Produc...
Exponential-Polynomial Families and the Term Structure of Interest Rates
Filipovic, Damir
2000-01-01
Exponential-polynomial families like the Nelson-Siegel or Svensson family are widely used to estimate the current forward rate curve. We investigate whether these methods go well with inter-temporal modelling. We characterize the consistent Ito processes which have the property to provide an arbitrage free interest rate model when representing the parameters of some bounded exponential-polynomial type function. This includes in particular diffusion processes. We show that there is a strong li...
Photovoltaic systems for Malaysian islands: Effects of interest rates, diesel prices and load sizes
International Nuclear Information System (INIS)
Lau, K.Y.; Tan, C.W.; Yatim, A.H.M.
2015-01-01
Standalone diesel systems have been widely used on Malaysian islands due to the isolated locations of the islands. Nevertheless, the high diesel prices and the high cost of transporting diesel to islands cause the use of standalone diesel systems to be uneconomical. This study analyzes the feasibility of implementing PV (photovoltaic) systems as alternatives to standalone diesel systems by considering the effects of annual real interest rates, diesel prices and load sizes, using the HOMER (hybrid optimization of multiple energy resources) software. The results indicate that, at the ordinary diesel price of $ 0.61/L, low interest rates (0–3%) are desirable for the implementation of hybrid PV/diesel with battery systems over standalone diesel systems, regardless of the load sizes. Although different load sizes may affect the decisions on the implementation of PV systems at higher interest rates (6–9%), these effects become less pronounced as the price of diesel increases to $ 1.22/L or higher. Also, under high diesel prices, the choice of optimal system configurations obtained for small load sizes should be applicable for larger load sizes, albeit with different component ratings. Although the current study is intended for Malaysian islands, the findings can be generalized for other places with similar solar radiation levels. - Highlights: • Photovoltaic systems for Malaysian islands have been analyzed using HOMER. • Interest rates, diesel prices and load sizes affect optimal system configurations. • Effects of interest rates and load sizes reduce with increasing diesel prices. • Photovoltaic systems' implementation is feasible at high diesel prices. • The findings can be generalized for places with similar solar radiation levels
How costly is it to ignore interest rate risk management in your 401(k) plan?
van Bilsen, Servaas; Boelaars, I.; Bovenberg, Lans; Mehlkopf, Roel
This paper explicitly derives and explores optimal interest rate risk management for lifecycle investors in DC pension plans, and compares our results to the portfolio mix chosen in practice by Target-Date Fund (TDF) managers. We show that investments in long-term bonds play an important role in the
Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
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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.
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
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
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
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.
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
EFFECTS OF INTEREST RATE DEREGULATION ON AGRICULTURAL FINANCE AND GROWTH IN NIGERIA
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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.
2012-02-03
... manage derivatives. First, an FCU would need to demonstrate relevant IRR exposure. One of the motivations... in ANPR I, the Board is considering whether to limit the types of derivatives instruments that some... considers it appropriate to limit the types of derivatives that an FCU may transact to interest rate...
Tables of compound-discount interest rate multipliers for evaluating forestry investments.
Allen L. Lundgren
1971-01-01
Tables, prepared by computer, are presented for 10 selected compound-discount interest rate multipliers commonly used in financial analyses of forestry investments. Two set of tables are given for each of the 10 multipliers. The first set gives multipliers for each year from 1 to 40 years; the second set gives multipliers at 5-year intervals from 5 to 160 years....
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
Measurement of reaction rates of interest in stellar structure and evolution
International Nuclear Information System (INIS)
Terrasi, F.; D''Onofrio, A.; Campajola, L.; Imbriani, G.; Gialanella, L.; Greife, U.; Rolfs, C.; Strieder, F.; Trautvetter, H.P.; Roca, V.; Romano, M.; Straniero, O.
1998-01-01
Accurate determinations of reaction rates at astrophysical energies are very important in stellar structure and evolution studies. The cases of two key reactions, namely 7 Be(p,γ) 8 B and 12 C(α,γ) 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.)
Beating the random walk: a performance assessment of long-term interest rate forecasts
den Butter, F.A.G.; Jansen, P.W.
2013-01-01
This article assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using outside sample forecast errors, where a
2011-06-24
..., with certain exceptions, are financial derivatives such as futures, options, interest rate swaps and... to evaluate any hedge transaction using derivatives must include the ability to capture all options... NATIONAL CREDIT UNION ADMINISTRATION 12 CFR Part 703 Financial Derivatives Transactions To Offset...
Vocational Interests in China: An Evaluation of the Personal Globe Inventory-Short
Zhang, Yu; Kube, Erin; Wang, Yuzhong; Tracey, Terence J. G.
2013-01-01
A diverse Chinese sample of 2567 high school and college students was utilized to examine the structural validity of the PGI-S (Tracey, 2010) with respect to the fit to the circumplex structure, the theoretical model underlying the RIASEC types and the eight PGI (Tracey, 2002) interest types. The randomization test of hypothesized order relations…
Short-Term and Long-Term Government Debt and Nonresident Interest Withholding Taxes
Eijffinger, S.C.W.; Huizinga, H.P.; Lemmen, J.J.G.
1996-01-01
This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5-year government bond market.The approach is one of pooled cross-section, time-series regressions.We find that, in general, U.S. dollar yields on
Areas of interest for wind development in the short and medium term
International Nuclear Information System (INIS)
Delgado Gonzalez, Maria del Carmen
2009-01-01
We present the data collected by the network of 82 wind research stations, many of which accumulate more than 2 years of measurements. Data collected and simulations of wind farms in each area of interest are analyzed by internationally recognized software (WAsP, WindPro). The cost of future projects in Cuba are estimated
The IMF’s High Interest Rate Policy and Its Effects on the Stabilization of the Korean Won
Directory of Open Access Journals (Sweden)
Tae-Joon Kim
2000-03-01
Full Text Available There has been a lively debate whether high interest rates were effective in stabilizing the exchange rate in the wake of the Asian currency crisis. Many economists insist that high interest rates not only failed to stabilize the Korean won, but also exacerbated the crisis itself. This paper tries to shed light on this problem by providing empirical evidence from the high interest rate period. (1997. 12. 3 ? 1998. 4. 8 If possible channels whereby interest rates may affect exchange rates are examined, the high interest rate policy scores well. It accommodated net capital inflow by satisfying the interest rate parity condition. Also it helped rebuild credibility of the policy stance. While the negative impact of high interest rates on the private sector cannot be denied, the role of credit crunch needs to be recognized together. Next, the dynamic interaction between interest rates and exchange rates is analyzed using a vector error correction model composed of interest rate differential, spot and forward exchange rates, and country risk premium. The estimation result shows that a 10% point rise in domestic interest rate appreciates the Korean won by 25%. In addition, the country risk premium considerably falls down. In sum, it may be concluded that the high interest rate policy was effective in achieving its goal of stabilizing exchange rates.
Real-time data for estimating a forward-looking interest rate rule of the ECB
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Tilman Bletzinger
2017-12-01
Full Text Available The purpose of the data presented in this article is to use it in ex post estimations of interest rate decisions by the European Central Bank (ECB, as it is done by Bletzinger and Wieland (2017 [1]. The data is of quarterly frequency from 1999 Q1 until 2013 Q2 and consists of the ECB's policy rate, inflation rate, real output growth and potential output growth in the euro area. To account for forward-looking decision making in the interest rate rule, the data consists of expectations about future inflation and output dynamics. While potential output is constructed based on data from the European Commission's annual macro-economic database, inflation and real output growth are taken from two different sources both provided by the ECB: the Survey of Professional Forecasters and projections made by ECB staff. Careful attention was given to the publication date of the collected data to ensure a real-time dataset only consisting of information which was available to the decision makers at the time of the decision. Keywords: Interest rate rule estimation, Real-time data, Forward-looking data
Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates
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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?
DEFF Research Database (Denmark)
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...
Directory of Open Access Journals (Sweden)
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.
30 CFR 75.601-1 - Short circuit protection; ratings and settings of circuit breakers.
2010-07-01
... 30 Mineral Resources 1 2010-07-01 2010-07-01 false Short circuit protection; ratings and settings... Trailing Cables § 75.601-1 Short circuit protection; ratings and settings of circuit breakers. Circuit breakers providing short circuit protection for trailing cables shall be set so as not to exceed the...
KING FUEI LEE
2009-01-01
The Fisher effect postulated that real interest rate is constant, and that nominal interest rate and expected inflation move one-for-one together. This paper employs Johansen’s method to investigate for the existence of a long-run Fisher effect in the Singapore economy over the period 1976 to 2006, and finds evidence of a positive relationship between nominal interest rate and inflation rate while rejecting the notion of a full Fisher Effect. The dynamic relationship between nominal interest ...
Short-term memory load and pronunciation rate
Schweickert, Richard; Hayt, Cathrin
1988-01-01
In a test of short-term memory recall, two subjects attempted to recall various lists. For unpracticed subjects, the time it took to read the list is a better predictor of immediate recall than the number of items on the list. For practiced subjects, the two predictors do about equally well. If the items that must be recalled are unfamiliar, it is advantageous to keep the items short to pronounce. On the other hand, if the same items will be encountered over and over again, it is advantageous to make them distinctive, even at the cost of adding to the number of syllables.
The natural rate of interest in Brazil between 1999 and 2005
Directory of Open Access Journals (Sweden)
Paulo Chananeco F. de Barcellos Neto
2009-06-01
Full Text Available The aim of the present study is to estimate the level of the natural rate of interest in Brazil. First, statistical filters are used for the ex ante and ex post real interest series. Then, an estimation of a dynamic Taylor rule is performed. These two estimates are eventually compared with the natural rate of interest obtained from a simplified macroeconomic state-space model following Laubach and Williams (2003. The results indicate that monetary policy decisions caused the level of the real interest rate to fluctuate around the natural rate of interest, showing that the Brazilian monetary authority can not be characterized as conservative over the analyzed period.O objetivo desse estudo é estimar o nível da taxa natural de juros para o Brasil. Inicialmente filtros estatísticos são usados nas séries de taxas de juros reais ex-post e ex-ante. Depois disso, estima-se uma regra de Taylor dinâmica. Os resultados desses dois experimentos são comparados com a taxa natural de juros que é estimada a partir de um modelo macroeconômico simplificado em formato de espaço de estados, tal como em Laubach and Williams (2003. Os resultados mostram que as decisões de política monetária geraram uma taxa de juros real que flutuou ao redor da taxa de juros natural estimada. Portanto, no período analisado, as autoridades monetárias brasileiras não podem ser caracterizadas, em média, como conservadoras.
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...
2013-08-29
... Notice of Interest Rates of Federal Student Loans Made Under the Federal Family Education Loan Program... Federal Student Aid announces the interest rates for the period July 1, 2013, through June 30, 2014, for..., 2010. The Chief Operating Officer takes this action to give notice of FFEL Program loan interest rates...
2010-01-01
... 7 Agriculture 12 2010-01-01 2010-01-01 false Information concerning interest rates, amortization... UTILITIES SERVICE, AND FARM SERVICE AGENCY, DEPARTMENT OF AGRICULTURE GENERAL REGULATIONS INTEREST RATES, TERMS, CONDITIONS, AND APPROVAL AUTHORITY Interest Rates, Amortization, Guarantee Fee, Annual Charge...
2013-07-24
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
2013-08-29
... Notice of Interest Rates of Federal Student Loans Made Under the William D. Ford Federal Direct Loan... Operating Officer for Federal Student Aid announces the interest rates for the period July 1, 2013, through...(b)), provides formulas for determining the interest rates charged to borrowers for loans made under...
2010-07-16
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by...). The interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period...
2013-01-25
... DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the... announces the interest rates for the period July 1, 2012, through June 30, 2013, for certain loans made... give notice of FFEL Program loan interest rates to the public. DATES: This notice is effective January...
2011-03-01
... Treasury Bills, Notes, and Bonds; Minimum Interest Rate AGENCY: Bureau of the Public Debt, Fiscal Service... rules to establish a minimum interest rate of \\1/8\\ of one percent for all new Treasury note and bond... Treasury Bills, Notes, and Bonds \\1\\ (``UOC'' or ``Auction Rules'') to establish a minimum interest rate of...
2013-01-22
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
2013-09-25
... DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the... Aid announces the interest rates for loans made under the William D. Ford Federal Direct Loan (Direct...(b)), provides formulas for determining the interest rates charged to borrowers for loans made under...
2010-02-02
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
2012-01-27
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by...). The interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period...
2011-01-24
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
12 CFR 617.7105 - When must a qualified lender disclose the effective interest rate to a borrower?
2010-01-01
... effective interest rate to a borrower? 617.7105 Section 617.7105 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM BORROWER RIGHTS Disclosure of Effective Interest Rates § 617.7105 When must a qualified lender disclose the effective interest rate to a borrower? (a) Disclosure to prospective borrowers...
2010-01-01
... effective interest rate disclosure? 617.7100 Section 617.7100 Banks and Banking FARM CREDIT ADMINISTRATION FARM CREDIT SYSTEM BORROWER RIGHTS Disclosure of Effective Interest Rates § 617.7100 Who must make and who is entitled to receive an effective interest rate disclosure? (a) A qualified lender must make the...
13 CFR 123.603 - What is the interest rate on an economic injury disaster loan under this subpart?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What is the interest rate on an... September 11, 2001 Terrorist Attacks § 123.603 What is the interest rate on an economic injury disaster loan under this subpart? Your economic injury disaster loan under this subpart will have an interest rate of...
2011-08-04
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
7 CFR 1737.71 - Interest rate to be considered for the purpose of assessing feasibility for loans.
2010-01-01
... 7 Agriculture 11 2010-01-01 2010-01-01 false Interest rate to be considered for the purpose of... Interest rate to be considered for the purpose of assessing feasibility for loans. (a) For purposes of... Administrator shall assume that the loans, if made, would bear interest at the Treasury rate on the date of...
2013-01-25
... DEPARTMENT OF EDUCATION Annual Notice of Interest Rates of Federal Student Loans Made Under the... amended, the Chief Operating Officer for Federal Student Aid announces the interest rates for the period... interest rates to the public. FOR FURTHER INFORMATION CONTACT: Ian Foss, U.S. Department of Education, 830...
13 CFR 123.406 - What is the interest rate on a pre-disaster mitigation loan?
2010-01-01
... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false What is the interest rate on a pre... ADMINISTRATION DISASTER LOAN PROGRAM Pre-Disaster Mitigation Loans § 123.406 What is the interest rate on a pre-disaster mitigation loan? The interest rate on a pre-disaster mitigation loan will be fixed at 4 percent...
2012-07-20
... Programs Under the National Housing Act--Debenture Interest Rates AGENCY: Office of the Assistant Secretary... in the interest rates to be paid on debentures issued with respect to a loan or mortgage insured by... interest rate for debentures issued under section 221(g)(4) of the Act during the 6-month period beginning...
2010-01-01
... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Interest rate risk management by associations... OPERATIONS, AND FUNDING OPERATIONS Risk Assessment and Management § 615.5182 Interest rate risk management by... shall comply with the requirements of §§ 615.5180 and 615.5181. The interest rate risk management...
INTEREST RATE REGIME AND THE PERFORMANCE OF THE NIGERIAN CAPITAL MARKET
Directory of Open Access Journals (Sweden)
Edirin Jeroh
2015-12-01
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.
MACROECONOMIC AND MARKET DETERMINANTS OF INTEREST RATE SPREAD: EVIDENCE FROM ALBANIA
Directory of Open Access Journals (Sweden)
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.
Venkataramani, Prakash; Johnson, Tricia; O'Neil, Patricia; Poindexter, Victoria; Rooney, Jeffrey
2006-01-01
The utilization of interest rate derivative instruments in US for-profit companies has grown exponentially since the early 1980s. International Swaps and Derivatives Association, Inc. (ISDA), reported that the amount of outstanding standard swaps grew by 25 percent during the first six months of 2003. The growth rate of all interest rate derivatives, which includes single-currency interest rate swaps, cross-currency interest rate swaps, and interest rate options, grew by 24 percent during the same period. The total outstanding amount of interest rate derivatives now totals $123.9 trillion compared to $99.9 trillion at the end of 2002 (Dodd, 2003). This explosion in usage is a testament to the efficacy and flexibility of the instruments and the increased appreciation by financial managers of the importance of financial risk management in a volatile interest rate environment.
Directory of Open Access Journals (Sweden)
Burić Milijana Novović
2018-01-01
Full Text Available Insurance companies are facing major challenges that point to the need for control process and risk management. Risk management in insurance has a direct impact on solvency, economic security, and overall financial stability of insurance companies. It is very important for insurance companies to adequately calculate risks to which they are exposed. Asset liability management (ALM, as an integrated approach to financial management, requires simultaneous decision-making about categories and values of assets and liabilities in order to establish the optimum volume and the ratio of assets and liabilities, with the understanding of complexity of the financial market in which financial institutions operate. ALM focuses on a significant number of risks, whereby the emphasis in this paper will be on interest rate risk which indicates potential losses that may reflect in a lower interest margin, a lower value of assets or both, in terms of changes in interest rates. In the above context, the aim of this paper is to show how to protect from interest rate changes and how these changes influence the insurance market in Montenegro, both from the theoretical and the practical point of view. The authors consider this to be an interesting and very important topic, especially because the life insurance market in Montenegro is underdeveloped and subject to fluctuations. Also, taking into account the fact that Montenegro is a country that has been making serious efforts to join the EU, it is expected that insurance companies in Montenegro will strengthen their financial position in the market even using the ALM traditional techniques, which is shown in this paper.
Pricing Asian Interest Rate Options with a Three-Factor HJM Model
Directory of Open Access Journals (Sweden)
Claudio Henrique Barbedo
2010-04-01
Full Text Available Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation
Directory of Open Access Journals (Sweden)
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.
Relationship between oil prices, interest rate, and unemployment. Evidence from an emerging market
International Nuclear Information System (INIS)
Dogrul, H. Guensel; Soytas, Ugur
2010-01-01
While the interrelation between oil price changes, economic activity and employment is an important issue that has been studied mainly for developed countries, little attention has been devoted to inquiries on fluctuations in the price of crude oil and its impact on employment for small open economies. Adopting an efficiency wage model for equilibrium employment that does not require any assumptions regarding labor supply, this paper contributes to the literature by investigating the causality between unemployment and two input prices, namely energy (crude oil) and capital (real interest rate) in an emerging market, Turkey for the period 2005:01-2009:08. Applying a relatively new technique, the Toda-Yamamoto procedure, we find that the real price of oil and interest rate improve the forecasts of unemployment in the long run. This finding supports the hypothesis that labor is a substitute factor of production for capital and energy. (author)
Directory of Open Access Journals (Sweden)
Ahmed S. Abou-Zaid
2014-06-01
Full Text Available Despite the conventional consensus that interest rates are efficient mechanism of allocating loanable funds and the most influential monetary policy instrument in modern economies, the three major monotheistic religions, Judaism, Christianity, and Islam, prohibit the use of interest and consider charging interest as an act of exploitation and extortion. Several passages and verses in the Torah, the Bible, and the Quran make their position on interest clear and definitive, from the Bible’s dictum, “Do not charge your brother interest” to the Quran’s exhortation “give up what remains of your demand for usury.” This paper reviews those passages and verses, provides different scholars’ perspectives on these verses, and relates them to the current financial system. The paper also presents several recent events that support the religious position by showing the negative impact of interest on countries, societies, and individuals. These events have, in fact, inspired many economists and financial institutions to seek alternatives to the current system.
The short term effects of Low-dose-rate Radiation on EL4 Lymphoma Cell
International Nuclear Information System (INIS)
Bong, Jin Jong; Kang, Yu Mi; Shin, Suk Chull; Choi, Moo Hyun; Choi, Seung Jin; Kim, Hee Sun; Lee, Kyung Mi
2012-01-01
To determine the biological effects of low-dose-rate radiation ( 137 Cs, 2.95 mGy/h) on EL4 lymphoma cells during 24 h, we investigated the expression of genes related to apoptosis, cell cycle arrest, DNA repair, iron transport, and ribonucleotide reductase. EL4 cells were continuously exposed to low-dose-rate radiation (total dose: 70.8 mGy) for 24 h. We analyzed cell proliferation and apoptosis by trypan blue exclusion and flow cytometry, gene expression by real-time PCR, and protein levels with the apoptosis ELISA kit. Apoptosis increased in the Low-dose-rate irradiated cells, but cell number did not differ between non- (Non-IR) and Low-dose-rate irradiated (LDR-IR) cells. In concordance with apoptotic rate, the transcriptional activity of ATM, p53, p21, and Parp was upregulated in the LDR-IR cells. Similarly, Phospho-p53 (Ser15), cleaved caspase 3 (Asp175), and cleaved Parp (Asp214) expression was upregulated in the LDR-IR cells. No difference was observed in the mRNA expression of DNA repair-related genes (Msh2, Msh3, Wrn, Lig4, Neil3, ERCC8, and ERCC6) between Non-IR and LDR-IR cells. Interestingly, the mRNA of Trfc was upregulated in the LDR-IR cells. Therefore, we suggest that short-term Low-dose-rate radiation activates apoptosis in EL4 lymphoma cells.
The short term effects of Low-dose-rate Radiation on EL4 Lymphoma Cell
Energy Technology Data Exchange (ETDEWEB)
Bong, Jin Jong; Kang, Yu Mi; Shin, Suk Chull; Choi, Moo Hyun; Choi, Seung Jin; Kim, Hee Sun [Radiation Health Research Institute, Korea Hydro and Nuclear Power Co., Ltd, Seoul (Korea, Republic of); Lee, Kyung Mi [Global Research Lab, BAERI Institute, Dept. of Biochemistry and Molecular Biology, Korea University College of Medicine, Seoul (Korea, Republic of)
2012-06-15
To determine the biological effects of low-dose-rate radiation ({sup 137}Cs, 2.95 mGy/h) on EL4 lymphoma cells during 24 h, we investigated the expression of genes related to apoptosis, cell cycle arrest, DNA repair, iron transport, and ribonucleotide reductase. EL4 cells were continuously exposed to low-dose-rate radiation (total dose: 70.8 mGy) for 24 h. We analyzed cell proliferation and apoptosis by trypan blue exclusion and flow cytometry, gene expression by real-time PCR, and protein levels with the apoptosis ELISA kit. Apoptosis increased in the Low-dose-rate irradiated cells, but cell number did not differ between non- (Non-IR) and Low-dose-rate irradiated (LDR-IR) cells. In concordance with apoptotic rate, the transcriptional activity of ATM, p53, p21, and Parp was upregulated in the LDR-IR cells. Similarly, Phospho-p53 (Ser15), cleaved caspase 3 (Asp175), and cleaved Parp (Asp214) expression was upregulated in the LDR-IR cells. No difference was observed in the mRNA expression of DNA repair-related genes (Msh2, Msh3, Wrn, Lig4, Neil3, ERCC8, and ERCC6) between Non-IR and LDR-IR cells. Interestingly, the mRNA of Trfc was upregulated in the LDR-IR cells. Therefore, we suggest that short-term Low-dose-rate radiation activates apoptosis in EL4 lymphoma cells.
Measurement of reaction rates of interest in stellar structure and evolution
Energy Technology Data Exchange (ETDEWEB)
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.)
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.
Unpredictable After All? A short note on exchange rate predictability
G.A. Moerman (Gerard)
2001-01-01
textabstractEarlier research has shown that it is very hard to outperform the random walk model with respect to forecasting exchange rates. In this paper we propose an extension to the regular regime-switching model in order to capture the exchange rate dynamics. The model is extended by including
Effects of Conflicts of Interest on Practice Patterns and Complication Rates in Spine Surgery.
Cook, Ralph W; Weiner, Joseph A; Schallmo, Michael S; Chun, Danielle S; Barth, Kathryn A; Singh, Sameer K; Hsu, Wellington K
2017-09-01
Retrospective cohort study. We sought to determine whether financial relationships with industry had any impact on operative and/or complication rates of spine surgeons performing fusion surgeries. Recent actions from Congress and the Institute of Medicine have highlighted the importance of conflicts of interest among physicians. Orthopedic surgeons and neurosurgeons have been identified as receiving the highest amount of industry payments among all specialties. No study has yet investigated the potential effects of disclosed industry payments with quality and choices of patient care. A comprehensive database of spine surgeons in the United States with compiled data of industry payments, operative fusion rates, and complication rates was created. Practice pattern data were derived from a publicly available Medicare-based database generated from selected CPT codes from 2011 to 2012. Complication rate data from 2009 to 2013 were extracted from the ProPublica-Surgeon-Scorecard database, which utilizes postoperative inhospital mortality and 30-day-readmission for designated conditions as complications of surgery. Data regarding industry payments from 2013 to 2014 were derived from the Open Payments website. Surgeons performing rate, and/or complication rate. A total of 2110 surgeons met the inclusion criteria for our database. The average operative fusion rate was 8.8% (SD 4.8%), whereas the average complication rate for lumbar and cervical fusion was 4.1% and 1.9%, respectively. Pearson correlation analysis revealed a statistically significant but negligible relationship between disclosed payments/transactions and both operative fusion and complication rates. Our findings do not support a strong correlation between the payments a surgeon receives from industry and their decisions to perform spine fusion or associated complication rates. Large variability in the rate of fusions performed suggests a poor consensus for indications for spine fusion surgery. 3.
Real-time data for estimating a forward-looking interest rate rule of the ECB.
Bletzinger, Tilman; Wieland, Volker
2017-12-01
The purpose of the data presented in this article is to use it in ex post estimations of interest rate decisions by the European Central Bank (ECB), as it is done by Bletzinger and Wieland (2017) [1]. The data is of quarterly frequency from 1999 Q1 until 2013 Q2 and consists of the ECB's policy rate, inflation rate, real output growth and potential output growth in the euro area. To account for forward-looking decision making in the interest rate rule, the data consists of expectations about future inflation and output dynamics. While potential output is constructed based on data from the European Commission's annual macro-economic database, inflation and real output growth are taken from two different sources both provided by the ECB: the Survey of Professional Forecasters and projections made by ECB staff. Careful attention was given to the publication date of the collected data to ensure a real-time dataset only consisting of information which was available to the decision makers at the time of the decision.
Development of multimedia resource and short courses for LRFR rating.
2011-09-01
Multimedia technology is an important instrument in the training of graduate engineers. This multimedia package : provides an exclusive background and an in-depth understanding of recent technological advances in the evaluation : and rating of highwa...
2013-10-28
... Account. These funds are held ``in trust'' for the obligor and currently earn simple interest at the rate..., the Government has paid simple interest at the rate of 3 percent per year on cash deposited by bond... #0;notices is to give interested persons an opportunity to participate in #0;the rule making prior to...
30 CFR 75.601-3 - Short circuit protection; dual element fuses; current ratings; maximum values.
2010-07-01
... 30 Mineral Resources 1 2010-07-01 2010-07-01 false Short circuit protection; dual element fuses... Trailing Cables § 75.601-3 Short circuit protection; dual element fuses; current ratings; maximum values. Dual element fuses having adequate current-interrupting capacity shall meet the requirements for short...
A panel-data analysis of interest rates and dollarization in Brazil
Directory of Open Access Journals (Sweden)
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
The legality of unilateral increase of interest rate in banking loan contracts under Serbian law
Directory of Open Access Journals (Sweden)
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
Feld, Lars P.; Köhler, Ekkehard A.
2015-01-01
Has the “Swiss interest rate anomaly” persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence for the demise of the interest rate bonus of the Swiss franc (CHF) vis-à-vis the Euro (EUR) after the Swiss National Bank (SNB) started to advocate an exchange rate floor with the Euro. After the compr...
The Credit-Risk Decision Mechanism on Fixed Loan Interest Rate with Imperfect Information
Institute of Scientific and Technical Information of China (English)
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.
'EMU equity markets' return variance and spill over effects from short-term interest rates
DEFF Research Database (Denmark)
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...
Directory of Open Access Journals (Sweden)
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
Determining cardiac vagal threshold from short term heart rate complexity
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Hamdan Rami Abou
2016-09-01
Full Text Available Evaluating individual aerobic exercise capacity is fundamental in sports and exercise medicine but associated with organizational and instrumental effort. Here, we extract an index related to common performance markers, the aerobic and anaerobic thresholds enabling the estimation of exercise capacity from a conventional sports watch supporting beatwise heart rate tracking. Therefore, cardiac vagal threshold (CVT was determined in 19 male subjects performing an incremental maximum exercise test. CVT varied around the anaerobic threshold AnT with mean deviation of 7.9 ± 17.7 W. A high correspondence of the two thresholds was indicated by Bland-Altman plots with limits of agreement −27.5 W and 43.4 W. Additionally, CVT was strongly correlated AnT (rp = 0.86, p < 0.001 and reproduced this marker well (rc = 0.81. We conclude, that cardiac vagal threshold derived from compression entropy time course can be useful to assess physical fitness in an uncomplicated way.
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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
Government debt-interest rate nexus in G7 countries over a long horizon
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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.