international parity conditions interest rate parity and the fisher parities

... CHAPTER 5 INTERNATIONAL PARITY CONDITIONS: INTEREST RATE PARITY AND THE FISHER PARITIES Chapter Overview Chapter 5 focuses on the parity conditions that link the spot and forward ... with the international money and bond markets. It begins with a reprise of the international parity conditions. It then develops the theory and reviews the...

Ngày tải lên: 12/07/2014, 10:57

... is the standard deviation calculated from individual analysts’ forecasts. The final five columns in the table indicate whether the interest rate announcement surprised the market according to the ... during the morning of the meeting. These results are qualitatively similar to those reported by Sager and Taylor (2004) in their high-frequency study of the exchange rate...

Ngày tải lên: 06/03/2014, 14:20

... 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 report the upward bias in the mean real rate and the ... 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...

Ngày tải lên: 22/03/2014, 23:20

... result of the global economic recession during this time. The recommended rate again rises above the ECB rate towards late 2010 and 2011, about the time in which the ECB raised its interest rate ... investigate the alignment between the interest rate set by the European Central Bank and the interest rate that may be considered “optimal” for specific...

Ngày tải lên: 29/03/2014, 13:20

... equities and foreign currency deposits. A fundamental relationship in international finance is interest rate parity. It states that when the domestic interest rate is less than the foreign interest ... measured as the difference in yield between the 10-year Treasury note and the three-month Treasury bill, the risk-free rate (RFREE) measured as the return o...

Ngày tải lên: 06/03/2014, 14:20

... growth, the rate of appreciation, and the lagged level (and the lagged change) of the repo rate. Below we estimate the model, reporting the parameter estimates, the value of the likelihood function, and ... statements and studies how the term structure of interest rates reacts to it. 2 Another set of papers uses the information in the press state- ments to u...

Ngày tải lên: 17/02/2014, 03:20

... investment opportunities. These options give investors the chance to invest based upon their views on the direction of interest rates. What are interest rate options? Interest Rate Options are options on the spot yield ... structure of interest rates and the very nature of the underlying instru- ment itself that investors must take into account to fully understand the...

Ngày tải lên: 06/03/2014, 14:20

... long-term interest rate follows Sweeny and Warga (1986) and Elyasiani and Mansun (1998) whom employ this measure as a proxy for innovations in the interest rate 5 . The change in the interest rate ... -11.7 * * The mean and standard deviation correspond to the sample values. The numbers in the parentheses stand for the t-ratios. The Sharpe ratio is cal...

Ngày tải lên: 22/03/2014, 17:20

... of data in the Bundesbank. They include micro data on firms and banks not available in the public. Visitors should prepare a research project during their stay at the Bundesbank. Candidates ... Ph D and be engaged in the field of either macroeconomics and monetary economics, financial markets or international economics. Proposed research projects should be from these field...

Ngày tải lên: 22/03/2014, 23:20

... marked-to-market and interest rate risk arises due to volatility in the bank’s net interest income. In contrast to standard models, however, we integrate credit and interest rate risk using the framework ... data for the 3 month and 10 year interest rates from the beginning of 1992 to July 2007 for US, UK, Germany and the Euro, and five years of observations...

Ngày tải lên: 29/03/2014, 13:20