Long-term Interest Rates, Risk Premia and Unconventional Monetary Policy ppt

... Rudebusch and Svensson (1999), Rudebusch (2002a, 2002b), Levin and Williams (2003), and Ellingsen and S¨oderstr¨om (2004). See Sack and Wieland (2000) and Rudebusch (2006) for a survey of studies on interest rate ... left-hand side and right-hand side can also be interpreted as representing the supply and the demand for funds, respectively. At the end of the period, commerci...

Ngày tải lên: 17/02/2014, 03:20

... be tested in the first hand for how well it represents the true data generating process (DGP), and various risk factors, such as systematic volatility risk, interest rate risk, are identified from ... random noises  st and  rt via their correlation λ 1 ; Finally, parameters λ 2 and λ 3 are to measure the asymmetry of conditional volatility for stock returns and interest rates....

Ngày tải lên: 21/12/2013, 01:20

... wealth and investment management products and services to its clients through Barclays Bank PLC and its subsidiary companies. Barclays Bank PLC is registered in England and authorised and regulated ... you’ll receive $667.23 in interest for the first nine months at an interest rate of 0.90% gross and for the remaining three months you will earn $99.29 in interest at an inte...

Ngày tải lên: 15/02/2014, 05:20

... Cottarelli and Kourelis, 1994, and Borio and Fritz 1995). Recent cross-country studies by Kleimeier and Sander (2000 and 2002), Donnay and Degryse (2001), Toolsema et al. (2001), and Heinemann and Schüller ... Austria, Spain, Finland, Ireland, Italy and Portugal, and down in Belgium, Germany and the Netherlands. For the latter, it goes up in Spain, Ireland, Italy, down i...

Ngày tải lên: 15/03/2014, 02:20

... analyzes the link between bank risk and monetary policy effects, a reverse relationship may also hold. Namely, monetary policy may affect the risk- taking behaviour of banks and other financial intermediaries ... effects of a monetary policy shock than high -risk banks: the long-term effects are -0.4% and -1.8%, respectively. 13 We also verify the importance of i...

Ngày tải lên: 15/03/2014, 10:20

... term structure of interest rates: A cross-country comparison”, Monetary Policy and Interest Rates, edited by I. Angeloni and R. Rovelli, Mac Millan Press, London. Cottarelli C. and A. Kourelis ... (1995). Brookes M. and K. Winkelmann (1998): “The supply and demand for corporate credit”, Goldman Sachs, March. Buttiglione L., P. Del Giovane and O. Tristani (1998): Monetary...

Ngày tải lên: 15/03/2014, 14:20

... Limited Current Interest Rates Definitions Annual Equivalent Rate (AER) – Illustrates what the interest would be if the interest was paid and compounded once each year. Gross Rate – Is the rate of interest ... you’ll receive $667.23 in interest for the first nine months at an interest rate of 0.90% gross and for the remaining three months you will earn $99.29 in interest at...

Ngày tải lên: 22/03/2014, 17:20

... between asset risk and credit risk in the interbank market, ˆp = p. 21 ECB Working Paper Series No 1107 November 2009 risk, p, there are two effects at play: the risk premium 1 δ and the ratio ... case when there is no asset risk and hence no credit risk. Substituting p = 1 into (10) yields the following result: Corollary 1 (No risk) Without risk, p =1, the interest rate in...

Ngày tải lên: 22/03/2014, 20:20

Ngày tải lên: 15/02/2014, 05:20

... of monetary policy in New Zealand as an example. See also Whitesell (2006) and Keister et al. (2008) for analysis and discussion of interest on reserves and monetary policy in New Zealand and ... considered. Reserve Bank of New Zealand The Reserve Bank of New Zealand (RBNZ) implements monetary policy through its standing lending and deposit facilities (exhibit 8a)...

Ngày tải lên: 17/02/2014, 03:20