derivation of the interest rate rule

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

Ngày tải lên: 06/03/2014, 14:20

... parts of the European banking market The next section describes how we estimate the characteristics of the interest rate- setting behavior, primarily the markup of loan rates above a market rate ... presents OLS estimates of the determinants of the loan interest rate markup and the adjustment speed The dependent variable of models (1)-(2) is the loan markup The dependent variable of models (3)-(4) ... factors in the subsequent analysis The results of IPT models will be bank- and product-specific loan markups (i.e., the spread above the market interest rate) , the speed of interest rate adjustment...

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 ... such an interest rate rule captures key elements of the ECB’s description of its two-pillar policy strategy However, the ECB has never published a formal, mathematical exposition of its strategy ... but then takes the perspective of Taylor’s rule with the federal funds rate as instrument: The Taylor rule is an attempt to specify the federal funds rate that will come closest to achieving the...

Ngày tải lên: 29/03/2014, 13:20

... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rateIT Market interest rate NL Market interest rate PT ... Market interest rate AT Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT ... Market interest rate BE Market interest rate DE Market interest rate ES Market interest rate FR Market interest rate IT Market interest rate NL Market interest rate PT Market interest rate* Boone ind...

Ngày tải lên: 15/02/2014, 05:20

... interest rate rule which specifies the actions of the monetary authority entirely in terms of the interest rate Under such a rule, the monetary sector simply serves to determine the quantity of ... contrast to the analysis of “pure” interest rate rules above, there would not be any difficulty with the existence of rational expectations equilibrium That is, the form of the interest rate rule means ... pure interest rate rules are admissible descriptions of monetary policy Specification of a Pure Interest Rate Rule We assume that the “pure interest rate rule for monetary policy takes the form...

Ngày tải lên: 06/03/2014, 02:21

... (1) where Δet is the change in the logarithm of the exchange rate at time t The mean of the exchange rate returns process, μ, the autocorrelation coefficient, ρ, and the variance of the innovation, ... short-term interest rates, and exchange rates in order to assess the effect of U.S monetary policy shocks on other variables in the SVARs Although the results for interest rates are mixed, the impact of ... various interest rate futures, and define their variable of interest as the deviation of the absolute value of exchange or interest rate returns in a given five-minute period on day j from the average...

Ngày tải lên: 06/03/2014, 14:20

... on the share of variable interest rate contracts, the frequency of the interest rate variations defined in the contract and the correlation of the MMR with the reference interest rate used in the ... computation of the present value is, again, the long-term interest rate The lower the level of long-term interest rates, the higher the impact of a change in the long-term rate on the underlying value of ... approximation, the variation in the value of a bonds portfolio can be taken as the response of the value of a bond with the average maturity of the portfolio For instance, if the average maturity of the...

Ngày tải lên: 15/03/2014, 14:20

... expectations of the future path of the funds rate, as illustrated for example by OIS rates As I discuss further in the next section, these statements by the FOMC have had less of the character of an ... following the return of the natural rate of interest to its normal level has a dramatic effect on the severity of both the economic contraction and the deflation that occur during the period of the negative ... federal funds rate, as indicated by the response of OIS rates at the time of the release The “cleanest” tests of the effects of forward guidance were the last two instances; not only did these statements...

Ngày tải lên: 15/03/2014, 14:20

... 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 available on a monthly basis, I select the values of March, ... of a reasonable significance level Despite variations of the responses across the conditional distribution of both the MPC interest rate decisions and the member interest rate average, these interest ... might affect the interest rate decisions, they should be incorporated into the estimation model This study therefore focuses on the impact of forecast uncertainty on the strength of the relationship...

Ngày tải lên: 22/03/2014, 23:20

... 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 ... throughout these simulations except if the nominal interest rate is constrained at zero Figure shows the frequency of zero nominal interest rates as a function of the level of the equilibrium rate ... propagation of those shocks throughout the economy (i.e the degree of persistence exhibited by important endogenous variables), the level of the equilibrium nominal interest rate (i.e the sum of the...

Ngày tải lên: 22/03/2014, 23:20

... risks The results of this study provide the first formal estimates of the joint effect of derivative exposures on the systematic interest rate and exchange rate risks of U S banks The rest of the ... excess rate of return of stock i over the risk-free rate q at time t, Rmt is an excess rate of return on market portfolio over the risk-free rate, rt is the interest rate risk factor measured by the ... and Rosen (1995) recently examined the interest rate sensitivity of banks regarding their use of interest rate swaps However, they not consider other interest rate derivative products such as options...

Ngày tải lên: 29/03/2014, 13:20

... interest rates fell, the reduction in the net interest margin would be offset by the gain on the long hedge in the futures market Of course, if interest rates increased, the gain in the net interest ... to measure the interest rate risk that affected to the income of the bank And also to find out the component of net interest income according to the maturity bucket The thesis wil net interest ... of the Table 1: Exposure to interest rate Rate Changes of rate Lender Borrower Existing exposure Floating rate + - Rate - + Rate - + Rate Fixed Rate Rate + - Source: Gup & Kolari (2005) 2.4 The...

Ngày tải lên: 26/05/2015, 08:34

... notes: Another problem with the current procedure of the Bank of England is that it is unclear how the MPC is intended to determine the correct current repo rate in the event that the interestrate ... Official Rates Caught between the lack of credibility (at least on some occasions) of a constant rate assumption and the problems of adopting an MPC chosen time path for interest rates, the move by the ... informative, but there are offsetting problems These problems include how to reach agreement in a committee of equals and whether the perception by the private sector of the extent of commitment of the MPC...

Ngày tải lên: 06/03/2014, 02:21

... participants often employ interest rate derivatives for one of two reasons, either (a) to hedge interest rate risk; or (b) to take a position on the future path of interest rates Numerous varieties of ... may reflect the higher interest rate sensitivity of longer-dated swap transactions One measure of the interest rate sensitivity of a swap is the “dollar value of a basis point” or DV01 The DV01 ... alternative means of acquiring long-term interest rate exposure At the short end of the curve, trading is much more active on-exchange, with the exception of the euro OIS market The absence of a liquid...

Ngày tải lên: 06/03/2014, 03:20

... money-market rates (examples: Bank Rate of the Bank of England, discount rates of the Federal Reserve banks, federal-funds target rate of the Fed) These rates have a profound effect on the market rates of ... description of the development of the interest- rate series in What Was the Interest Rate Then? The objective of the project was to generate interest- rate series for the United States and United ... country, it is redone for the other country Then (1)-(3) are repeated for the subsequent interest rate (1) Interest Rate: The ordering of presentation of the three interest rates is: (a) short-term,...

Ngày tải lên: 06/03/2014, 14:20

... gia Trang The Economics of Exchange Rate – Mark P Taylor thị trường họ kỳ vọng mức vào hội kinh doanh Taylor trình bày mở rộng phân tích thêm hai quy luật mà thị trường ngoại hối tuân theo lý thuyết ... tế Với giả định giản lược này, mô hình nói Trang The Economics of Exchange Rate – Mark P Taylor mối liên hệ tỷ giá cân (equibilibrium exchange rate ) với số biến vĩ mô quan trọng khác GDP, lạm ... sử dụng đánh giá mẫu (in-samples test), lại Trang The Economics of Exchange Rate – Mark P Taylor cho kết ý nghĩa thống kê đánh giá mẫu (out -of- samples test) so sánh với mô hình thay đổi ngẫu...

Ngày tải lên: 12/03/2014, 16:05

... Interest Rates We begin by examining the linkages between wholesale market interest rates and the Bank of Ghana policy interest rate (the prime rate) When the transmission from the policy interest rate ... ECONOMETRIC ANALYSIS OF INTEREST RATE PASS-THROUGH The primary purpose of this paper is to shed light into the interest rate transmission process in Ghana The effectiveness of the interest rate transmission ... rate increase The overshooting illustrates how the wholesale market rate deviates from the prime rate (Figure 2) The treasury bill interest rate is more volatile than the interbank interest rate, ...

Ngày tải lên: 15/03/2014, 14:20

... The Details Let P denote the set of nonnegative integer sequences of the form λ = (λ1 ≥ λ2 ≥ · · ·) with finitely many nonzero terms; i.e., the set of partitions We let Pn denote the set of ... extension of the Littlewood-Richardson rule [Z] Taking the specialization λ = , we obtain the decomposition of sµ/ν into Schur functions; it is simpler than the traditional formulation of the Littlewood-Richardson ... and bi free k + 1’s in row i of T , then there should be bi free k’s and free k + 1’s in row i of σk (T ) In the following, T≥j denotes the subtableau of T formed by the entries in columns j, j...

Ngày tải lên: 07/08/2014, 06:23

... three of them Let HIVEν denote the set of hives dec dec λµ of size n such that • the lower left entry is zero • the differences on the Northwest side of the hive give λ • the differences on the Northeast ... several of these rules, the set being counted is the lattice points in a polytope (and in fact the polytopes from the different rules are linearly equivalent) The first was in the unpublished thesis ... vertex The vertices of the honeycomb then correspond to the linear regions in the hive The rhombus inequalities on the hive, reinterpreted, state that the edges of the honeycomb are of nonnegative...

Ngày tải lên: 07/08/2014, 08:20

... address the issues of existence and uniqueness of solutions to the above equations by finding explicit examples of basic weights for certain values of the parameters of the model The main result of ... S, so the language is restricted to {N, S, E, E} Definition Let Pn be the set of bicoloured Motzkin paths of length n The weight of the path in P0 is and the weight of any other path is the product ... showing that the the weight of the paths obeys the same equations as the weight of the basic configurations We may specialise the above result to get the corollary: Corollary 14 If α = β = the paths...

Ngày tải lên: 07/08/2014, 13:21