b 73 bond yields and interest rates 1929 2007

... (2) ( , ) Hb: 0.07 AIC BIC BIC FPE FPE (2) GBOND=f (B , IRV1 ) Hb - Hb: IRV1 does not Granger- cause Bond SBC (1) ( , ) Ha: 0.01 (2) ( , ) Hb: 0.07 SBC S HJC GBOND and IRV2 (1) IRV2=f (B t −i , IRV2 ... 0.22 GOIL(1) -0.60 GIR GBOND(2) -2.41** GBOND(1) 1.59 GBOND(2) -1.19 GOIL GBOND GIR GOIL(2) -0.95 GOIL(1) 0.19 GOIL(2) 2.16** GOIL GBOND GBOND(1) -1.53 GBOND(1) 1.20 GBOND(1) 0.98 GIR(1) 0.58 ... variable Dependent variable GOIL GBOND GIR Panel B Independent variable Dependent variable GOIL GBOND IRV1 Panel C Independent variable Dependent variable GOIL GBOND IRV2 GOIL(1) GBOND(1) GIR(1) 7.06**...

Ngày tải lên: 13/07/2014, 21:13

... the correlation between callable bonds and interest rates using Moody’s and Lehman Brothers bond indices Callable bonds show stronger negative correlations than non-callable bonds Collin-Dufresne ... correlations between changes in interest rates and default rates As can been seen in Table 4, the correlation default rates and changes in interest rates is more negative at shorter interest rates terms ... RELATIONSHIP BETWEEN INTEREST RATES AND AGGREGATE DEFAULT RATES This section describes the relationship between interest rates and aggregate default rates, including contemporaneous correlations, and...

Ngày tải lên: 26/10/2012, 11:21

... (1993), Bates (1996a ,b) , and Bakshi, Cao and Chen (1997), and examples in discrete-time include Taylor (1986), Amin and Ng (1993), Harvey, Ruiz and Shephard (1994), and Kim, Shephard and Chib (1998) ... statistics of both interest rates and stock returns are reported in Table 6.1, a time-series plot and salient features of both data sets can be found in Figures 6.1 and 6.2 The interest rates used ... have been proposed: Kalman filter-based techniques of Fridman and Harris (1997) and Sandmann and Koopman (1997), Bayesian MCMC methods of Jacquier, Polson and Rossi (1994) and Kim, Shephard and...

Ngày tải lên: 21/12/2013, 01:20

... 2006 and 2007 Chart A3 Public satisfaction with the Bank of England by age group in February 2007( a) Chart A2 Public satisfaction with the Bank of England 2005 average 2006 average February 2007 ... interest rates 221 Per cent 2003 Feb 2004 May Aug Nov Feb 2005 May Aug Nov Feb 2006 May Aug Nov Feb 2007 May Aug Nov Feb Q.7 What you think would be best for the British economy — for interest rates ... balance, respondents have a reasonably good understanding of the MPC’s reaction function and the relationship between Bank Rate and retail rates Chart Bank/GfK NOP interest rate perceptions and...

Ngày tải lên: 15/02/2014, 05:20

... household time and sight deposit effective stock rates by the outstanding balances (c) Weights together the household secured and unsecured borrowing effective stock rates by the outstanding balances ... rates Between February 2007 and February 2008, the net balance expecting higher interest rates over the next year fell sharply But in the May 2008 survey the net balance bounced back slightly Nonetheless, ... reasonably good understanding of how interest rates have changed over the past year 20 Chart 12 Interest rate perceptions and movements in household interest rates 10 200 Net percentage balance(a) Basis...

Ngày tải lên: 15/02/2014, 05:20

... market rates (line 6 0b) , which is the rates on “short-term lending between financial institutions,” and government bond yields (line 61), which is the yields to maturity of government bonds or ... 1968–92 Table Measures of the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing ... Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inflation American Economic Review 91 (May): 219–25 Bernanke, Ben S., and Mihov, Ilian 1998 The liquidity effect and long-run...

Ngày tải lên: 15/02/2014, 06:20

... near future The next best rating is Aa After that come A, Baa, Ba, B and Caa The S&P ratings corresponding to Moody's Aaa, Aa, A, Baa, Ba, B, and Caa are AAA, AA, A, BBB, BB, B, and CCC respectively ... downloaded from Bloomberg and the bonds to be included were selected using the following major criteria: Bonds must not be puttable, callable, convertible, or reverse convertible Bonds must be single ... accrued interest are therefore likely to be 10 The arbitrage assumes that interest rates are constant so that par yield bonds stay par yield bonds By defining the corporate bond used in the arbitrage...

Ngày tải lên: 16/02/2014, 03:20

... 1660-7724 (online version) © 2012 by Swiss National Bank, B rsenstrasse 15, P.O Box, CH-8022 Zurich Housing Bubbles and Interest Rates Christian Hott and Terhi Jokipii† Abstract In this paper we assess ... as bubbles We then estimate the impact that a deviation of short term interest rates from the Taylor-implied interest rates have on house price bubbles We additionally assess whether interest rates ... 4.1 What Is The Impact of Too Low Interest Rates On Housing Bubbles? Our baseline regression for analyzing the impact of low interest rates on housing bubbles can be written as: (pa − p∗ ) = θ +...

Ngày tải lên: 17/02/2014, 03:20

... Fleming and Remolona (1999)] The estimated responses of note and bond rates are also more robust than those observed at a one-day horizon, with the 30-year bond yield rising by over 50 basis points ... one basis point premium would become a 15 basis point error; with one day left, the error would be 30 basis points The problem could be solved by subtracting the premium from the forward rate, but ... Treasuries, obtained from Bloomberg The coefficients describing interest rates reaction to target rate changes are uniformly smaller and less significant than those reported by Cook and Hahn For...

Ngày tải lên: 06/03/2014, 02:21

... MPC Unit Bank of England Email: alina.barnett@bankofengland.co.uk (2) Centre for Central Banking Studies Bank of England Email: haroon.mumtaz@bankofengland.co.uk (3) Monetary Assessment and Strategy ... conditional and marginal densities of various parameter blocks and using additional and Gibbs and Metropolis runs to approximate these densities Details are provided in the appendix In Table B we present ... starting values for the VAR parameters and covariances and the transition probabilities, the unobserved state variables S and H are drawn using multi-move ˜ Gibbs sampling to draw from the joint...

Ngày tải lên: 06/03/2014, 14:20

... ROLE OF BANKS AND INTEREST RATES by Henrique S Basso 2, Oscar Calvo-Gonzalez and Marius Jurgilas In 2007 all ECB publications feature a motif taken from the €20 banknote This paper can be downloaded ... loan rates and i ∗ ∗ di and li are the demand for bank i’s foreign currency deposits and loans ∗ ∗ Rd and Rl are the respective interest rate indexes 2.3 Banks Each bank i chooses deposit and ... Central Banks ECB Working Paper Series No 748 May 2007 37 Table 6: Correlation of ratio (1-2),foreign liabilities (3-4) and different measures of foreign bank presence Country sfb ta sfb nb sfb ta...

Ngày tải lên: 22/03/2014, 23:20

... market rates (line 6 0b) , which is the rates on “short-term lending between financial institutions,” and government bond yields (line 61), which is the yields to maturity of government bonds or ... 1968–92 Table Measures of the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing ... Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inflation American Economic Review 91 (May): 219–25 Bernanke, Ben S., and Mihov, Ilian 1998 The liquidity effect and long-run...

Ngày tải lên: 22/03/2014, 23:20

... cointegration between the Aaa and Treasury bond series, and between the Baa and Treasury bond series, Table reports the corresponding cointegrating vectors The Aaa vector is (1, -1.028) and the Baa vector ... will be misleading Bivariate Cointegration Results See Rose (1988), Hall, Anderson and Granger (1992), and Konishi, Ramey and Granger (1993) for short-term rates, and Mehra (1994) and Campbell and ... series contain some callable bonds The embedded option gives the issuer the right to repurchase the bonds and may affect the relation between credit spreads and 15 interest rates Duffee (1998) argues...

Ngày tải lên: 22/03/2014, 23:20

... Treasury Bonds’ derivatives and hedging’, the pricing of Treasury Bond futures, bond options and interest caps are studied The hedging of Treasury Bonds in field theory models of interest rates is ... information, and resulted in equilibrium prices; any departures of the prices from equilibrium should be uncertain and unpredictable, with changes being equally likely to be above and below the equilibrium ... Treasury Bonds Risky bonds consequently pay a risk premium over and above that of Treasury Bonds The price of a zero coupon Treasury Bond P(t, T ) can be written in terms of the forward rates, ...

Ngày tải lên: 23/03/2014, 12:20

... sub-periods and stages of the business cycle, as See Becker (2012) and Tumbarello, Cabezon and Wu (2013) for a discussion of these issues in the small Pacific island countries; and Easterly and ... GDP is well above Table Volatility of key macroeconomic variables: 1980-2014 % Standard deviation Antigua and Barbuda Barbados Dominica Grenada St Kitts and Nevis St Lucia St Vincent and the Grenadines ... coefficient between output and interest rate turns from being large and negative to being positive The same is true for the correlation between consumption and interest 26    rate Trade balance also becomes...

Ngày tải lên: 23/04/2016, 04:50

... on interest rates • Understand the term structure of interest rates and the determinants of bond yields 7-2 Chapter Outline • • • • • • • Bonds and Bond Valuation More about Bond Features Bond ... Key Concepts and Skills • Know the important bond features and bond types • Understand bond values and why they fluctuate • Understand bond ratings and what they mean • Understand the impact ... Features Bond Ratings Some Different Types of Bonds Bond Markets Inflation and Interest Rates Determinants of Bond Yields 7-3 Bond Definitions • • • • • • Bond Par value (face value) Coupon rate Coupon...

Ngày tải lên: 20/03/2015, 08:40

... Risk and Term Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The term structure of interest rates ... long-term rates are below short-term rates Empirical Facts To Be Explained by the Term Structure Interest rates on bonds of different maturities move together over time When short-term interest rates ... Buyers of bonds not prefer bonds of one maturity over another; they will not hold any quantity of a bond if its expected return is less than that of another bond with a different maturity • Bonds...

Ngày tải lên: 05/01/2014, 16:56

... “Guide to database on bank regulation and supervision“, Worldbank database Bartholdy J., Boyle G and Stover R., 2001: “Deposit insurance and the risk premium in bank deposit rates , mimeo Beck T., ... main objective is to deal with the moral hazard problems mentioned above and underlined especially by Benston and Kaufman (1998) and Calomiris (1999) The following broad guidelines can be suggested ... with big banks, as these are expected to be too big to fail and to receive implicit insurance from either the central bank or the government Besides, it may affect both lending and deposit interest...

Ngày tải lên: 15/02/2014, 05:20

... interest rates payable on these accounts please visit: www.personal.barclays.co.uk Barclays Bank PLC Current Interest Rates Rates for accounts no longer available to new applicants Barclays Bonus ... USD ITSA interest rates will be below the US dollar base rate by the margins specified until further notice Rates effective from 18 December 2008 Rates are tracker (variable) Barclays Bank PLC ... 0.10 1.00 interest rates will be below the euro base rate by the margins specified until further notice.1 Rates effective from August 2012 Rates are tracker (variable) Following a base rate change...

Ngày tải lên: 15/02/2014, 05:20

... Bank of Chicago Texas Commerce Bank BayBank Continental Bank Midlantic Bank First Union Bank of New York BankBoston Bank of New England Crestar Bank First of America Bank MI Market (CMSA) Washington, ... Loan rates can vary from branch to branch, so when more than one branch exists in any given region, BRM calculates a simple average of the individual branch loan rates BRM’s rates on new automobile ... mean and standard deviation of new automobile loan rates are 9 .73 percent and 2.76 percent, respectively The mean and standard deviation of unsecured personal loan rates are 14.14 percent and...

Ngày tải lên: 16/02/2014, 10:20