bonds bond prices and the determination of interest rates

... institutions.3 The data give a sense of both the prevalence of variable rates in the Irish mortgage market, and the difference in average interest rates when compared with other interest rate types ... used in the modelling The price lenders have to pay for their funding is a key variable of interest in the analysis In the case of Ireland up to the end of 2008, lenders tended to use the ECB ... behaviour of interest rates in their dataset For instance, Sander and Kleimeier (2004) and and De Graeve et al (2007) select the threshold that minimises the residual sum of squares or results in the...

Ngày tải lên: 15/03/2014, 14:20

... 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 ... interest rates that people expect to occur over the life of the long-term bond • Buyers of bonds not prefer bonds of one maturity over another; they will not hold any quantity of a bond if its ... payments or pay off the face value – Canadian government bonds are considered default free • Risk premium - the spread between the interest rates on bonds with default risk and bonds without default...

Ngày tải lên: 05/01/2014, 16:56

... was introduced during the synthesis of the QDs and its presence while altering QD growth rates and QYs [44], does not significantly alter the size distribution of the QDs and acts primarily as ... expected for the (111) plane of cubic zinc blend CdTe [50] We have previously shown that although the presence of gelatine during the synthesis of the QDs can influence the rate of QD growth and QY ... degradation of the QDs without the presence of the PC12 cells, we carried out a number of experiments to analyse the effect of co-incubating the QDs with only the cell culture medium (Figure and 6)...

Ngày tải lên: 11/08/2014, 00:22

... imply that the minimum and maximum available price should affect the choice of prices, since the range of prices affects the prices set by naive decision makers and therefore the prices set by ... see whether the range of prices available to subjects affects their choice of prices According to standard Nash equilibrium theory, the range of prices (above and below the Nash equilibrium price) ... severe On the other hand, according to the CH model and the preliminary assumption, only the average of minimum and maximum prices matters, so it is difficult to measure the effect of price floors...

Ngày tải lên: 16/10/2015, 11:59

... Supply and Demand for Bonds I • Bond Demand: At lower prices (higher interest rates) , ceteris paribus, the quantity demanded of bonds is higher—an inverse relationship • Bond Supply: At lower prices ... to the left • Liquidity - increased liquidity of bonds results in the demand curve shifting right Shifts in the Demand for Bonds II Shifts in the Supply of Bonds I • Expected profitability of ... increase in the expected rate of inflations lowers the expected return for bonds, causing the demand curve to shift to the left • Risk - an increase in the riskiness of bonds causes the demand curve...

Ngày tải lên: 05/01/2014, 16:56

... and χ2(4)= 18.58 [0.00] respectively) However, neither of these two hypothesis can be rejected when the rest of the cointegrating vectors are left unrestricted, implying that the hypotheses of ... contemporaneous and lagged values of domestic and foreign prices, a contemporaneous value of the domestic interest rate, a lagged value of foreign interest rate, a centred seasonal dummy (S) and the three ... evidence using the MAE metric (se Table 3) strengthens the results reported above The structural EqCM performs the best of all the models at all horizons (with the exception of the horizon of four quarters,...

Ngày tải lên: 15/02/2014, 05:20

... property prices, consumer price indices (CPIs), real gross domestic product (GDP) and interest rates. 6 Much of the interest in the behaviour and determination of asset prices stems from their role ... zero even at the 95% level in Canada, Finland, the Netherlands, Norway, Sweden, Switzerland, the UK and the US Moreover, while in some countries, (including Finland, the UK and the US) residential ... also for these countries the existence of cointegration could not be rejected We therefore specify the VAR models in the level of the variables Nevertheless, we neither impose the number of cointegrating...

Ngày tải lên: 24/10/2012, 09:40

... case especially the shape of the (past and current) term structure of interest rates We call this variable the change in the systematic factor of the exposure to interest rate risk The variables ... instance, the duration, and the weighted sum of the positions’ duration is a measure of the bank’s exposure to interest rate risk (See, for instance, Sierra and Yeager (2004)) The main problem of these ... two strands of the literature of the banks’ interest rate risk (See Staikouras (2003) and Staikouras (2006) for a survey) The first one is about the determinants of the banks’ exposure to interest...

Ngày tải lên: 16/02/2014, 06:20

... The “efficiency hypothesis” states that the merged bank might reach economies of scale and other efficiency gains and transfer these to the customers in the form of more beneficial interest rates ... +1 ], (12) 0, otherwise, and where x is the value of the explanatory variable (the time distance to the merger, in our case) The values xi denote the “knots” of the spline, and the coefficients, ... These authors extend the time horizon of the analysis to six years after the merger, and their results imply that in the long run, merging banks offer higher deposit rates than their rivals The...

Ngày tải lên: 17/02/2014, 03:20

... structure of interest rates, and especially the size and dynamics of risk premiums Therefore, Rudebusch and Wu (2007) use their macro-finance model to consider whether the bond market’s assessment of ... applications of the Rudebusch-Wu model illustrate the range of issues that such a macrofinance model can address The first of these is an exploration of the source of the Great Moderation the period of reduced ... solved and responses given Quarters of the term premium and the other variables of the model to economic shocks can be computed Figures and show the impulse response functions of the term premium and...

Ngày tải lên: 17/02/2014, 03:20

... endorsement of the divine and hereditary right of English kings to rule, his promotion of accumulated wealth in the hands of the few, and above all his disdain for common people and for the idea of government ... about the text, theorists insist that the warp and woof of constitutional law is still traceable to the written document and must be, given that the document and only the document counts as the ... Court Activism, the Public Interest, and the Making of Constitutional Law l a r ry yac k l e the university of chicago press chicago and london larry yackle is professor of law and the Basil Yanakakis...

Ngày tải lên: 18/02/2014, 11:20

... statehood: the unlawful proclamation of independence § 3.1 The prohibition of abuse of the right of selfdetermination: the requirement of fulfilment of the conditions of the qualified right of secession ... to the creation of their own State on the basis of an alleged right of self -determination, and the attempts of the parent States to preserve their territorial status quo, is the source of the ... non-recognition of claims to statehood 116 § 5.1 The era of the League of Nations 116 § 5.2 The era of the United Nations 122 § 5.2.1 Violation of the prohibition of the use of force, in particular the prohibition...

Ngày tải lên: 07/03/2014, 11:20

... growth and interest rates Cook and Hahn (1989) test for evidence of the Fed’s influence on rates by examining the reaction of interest rates to Fed target changes They estimate the reaction of rates ... between three- and six-month rates before and after the founding of the Fed The two rates moved together more closely in the later period, as predicted by the expectations theory of the term structure, ... interest rates This section surveys empirical evidence from the founding of the Fed and from the 1970s that demonstrates the Fed’s theory of the term power over rates Th e evidence supports the expectations...

Ngày tải lên: 15/03/2014, 01:20

... (2005), Heinemann and Schüller (2002), Sander and Kleimeier (2004)) We then test the stability of the baseline linear ECM before and after the introduction of the euro and assess whether more general ... Second, the speed of adjustment towards the “equilibrium price of retail bank products” is significantly higher since the launch of the euro The introduction of the euro may have 11 The effect of ... explaining the sluggishness of retail bank interest rates We also show that in the cases where we cannot reject that the adjustment of retail rates has changed since the introduction of the euro,...

Ngày tải lên: 15/03/2014, 14:20

... strength of the relationship between the MPC’s own forecasts and the interest rate decisions of the MPC on the official Bank Rate The data used are the historical forecasts for British CPI inflation and ... developments of prices and output When the MPC decides on the level of interest rates in response to economic prospects, then these measures of uncertainty should also play a significant role in the decision ... available at the time the interest rate decision is made I include the forecast standard deviations directly in reaction functions to estimate the strength and the direction of the impact of forecast...

Ngày tải lên: 22/03/2014, 23:20

... above, the distortion of output and inflation distributions is driven by a distortion of the real interest rate The left-hand panels of Figure 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 of the real rate accounts for the reduced ... shown, the short-term nominal interest rate will fall back to zero either during the peg or at the end of the peg period Such a recurrence of zero interest rates may render the communication of the...

Ngày tải lên: 22/03/2014, 23:20

... (2005), Heinemann and Schüller (2002), Sander and Kleimeier (2004)) We then test the stability of the baseline linear ECM before and after the introduction of the euro and assess whether more general ... Second, the speed of adjustment towards the “equilibrium price of retail bank products” is significantly higher since the launch of the euro The introduction of the euro may have 11 The effect of ... explaining the sluggishness of retail bank interest rates We also show that in the cases where we cannot reject that the adjustment of retail rates has changed since the introduction of the euro,...

Ngày tải lên: 22/03/2014, 23:20

... from the outside, taking various forms such as treasury bonds, corporate bonds and commercial bills and notes On the other hand, in the money and bond market, funds not originate solely in the ... rate On the other hand, the impact of CBB issuance on market interest rates is small compared to that of the benchmark deposit rate and the RRR This is because the average size of an issue of CBB ... He and Honglin Wang Dual-track Interest Rates and the Conduct of Monetary Policy in China All opinions expressed are those of the authors and not necessarily reflect the views of the Bank of...

Ngày tải lên: 29/03/2014, 13:20

... models In these models changes in the nominal interest rate influence the real interest rate due to the presence of price rigidities; the real interest rate determines the level of output; and the gap ... elasticity of money demand (in line with Andres et al (2006) and Ireland (2004)) Interest rate elasticity of money demand (in line with Andres et al (2006) and Ireland (2004)) Weighting parameter of ... interest rate, potential output growth, steady-state inflation and inflation target Standard deviation of cost-push, demand and money demand shocks Standard deviation of noise of aggregate demand...

Ngày tải lên: 29/03/2014, 13:20

... and the questioning of the long-term viability of the Eurozone as the prospect of a breakup of the euro is increasingly viewed as possible.” While the potential fiscal and political causes of the ... Finland, France, the Netherlands, the Czech Republic, and the UK are explored in more detail It should be noted that due to the concerns about the accuracy of the HP filter towards the end of ... most of the members of Euroland probably find that the interest rate decisions of the ECB are consistent with their national economic conditions most of the time, this may no longer be the case...

Ngày tải lên: 29/03/2014, 13:20