Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

... −71082 (continued) Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ Michael Melvin, a Christian Saborowski, b,c Michael Sager, c,e and Mark P. Taylor d,f a BlackRock b World Bank c Department ... that the MPC changed the policy rate or was surprised by the extent of the change. There were no instances where the market...

Ngày tải lên: 06/03/2014, 14:20

... used a mix of observed and forecast data, including the Bank of England fan chart one-year-ahead input standard deviations for inflation and output growth, when analyzing the Bank of England Monetary ... website. They refer to the decision of the MPC about the level of the key interest rate, the Official Bank Rate, from 1997Q3 to 2009Q4. 2 Though availab...

Ngày tải lên: 22/03/2014, 23:20

... analysis, the magnitude of the stress levels refers to the absolute value of the deviation of the Taylor recommended rate from the ECB rate. A. Germany For Germany, the ECB interest rate was ... unique when considering the above graph of the ECB rate and the Taylor recommended rate for the country as its recommended rate dips below the ECB...

Ngày tải lên: 29/03/2014, 13:20

... downward bias in the variability of the real rate depending on the level of the nominal equilibrium rate of interest. The downward bias in the variability of the real rate accounts for the reduced ... above, the distortion of output and inflation distributions is driven by a distortion of the real interest rate. The left-hand panels of Figure 5 r...

Ngày tải lên: 22/03/2014, 23:20

... Putting the size of the OTC IRD market in the context of exchange- traded IRD activity, we found that the vast majority of IRS trading occurs in the OTC market. In contrast, short-dated interest rate ... of the G4 IRS activity and 46% of the notional volume. Nonetheless, we noted that even in the most commonly traded tenors, the number of transaction...

Ngày tải lên: 06/03/2014, 03:20

... of the impact of the interest- rate shock upon the equity capital of the bank. In addition, we seek to measure the interest- rate risk of various banks, as perceived by the stock market. When interest ... follows: • The interest- rate on savings bank deposits: 3.54%. • The interest rate on time deposits: 7%. • The interest rate on the liabil...

Ngày tải lên: 06/03/2014, 14:20

... appreciation of the dollar decreases the quantity of dollar assets demanded at each level of the exchange rate. – Demand curve shifts left • Rise in real money supply causes the domestic interest rate ... • Exchange rate - price of one currency in terms of another • Foreign exchange market - the financial market where exchange rates are determined...

Ngày tải lên: 05/01/2014, 16:59

... markets. 22 Table 5: Reaction of Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest Rate Surprise ... d by the usage of interest rate derivatives, we expand the se t of control variables— the vector X it in equation (5)—to include a battery of...

Ngày tải lên: 17/02/2014, 03:20

... the structure of interest rates and the very nature of the underlying instru- ment itself that investors must take into account to fully understand the behavior of interest rate options and their ... purchase of FVX put options would allow the holder to profit if rates do decline because as 5-year interest rates fall, so does the level of FVX. As interest r...

Ngày tải lên: 06/03/2014, 14:20

... Reserve Bank of Chicago Staff Memoranda Choi, J., Elyasiani, E. and Kopecky, K. (1992) The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks”, Journal of Banking and ... to interest rate innovations. The hypothesis that the interest- rate sensitivity is uniform across banks was also rejected suggesting that the interest ra...

Ngày tải lên: 22/03/2014, 17:20