interest rate and foreign currency swaps

... Zealand and those in Australia and the United States. The currency risk premium was then derived from actual interest rate differentials between New Zealand and Australia and New Zealand and ... real interest rates. Figure 4 illustrates the sensitivity of our estimates of the real interest rate to the measure of inflation that is used to convert nominal interest rates into real interest rates. ... neutral real interest rate to decide whether interest rates are contractionary to demand, but we will not necessarily be able to use it to answer whether interest rates will actually cause demand to...

Ngày tải lên: 15/03/2014, 01:20

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Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 15/02/2014, 05:20

... traditional foreign exchange contracts. These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross -currency rate swaps, and foreign exchange and interest rate options. ... turnover in foreign exchange (FX) spot, forwards, and swaps as the foreign exchange part of the survey. Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange ... Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination of cap and floor. Interest rate corridor...

Ngày tải lên: 06/03/2014, 02:21

... interest rates and of credit default swaps (CDS’s). Moreover, the model retains free dynamics parameters that can be used to calibrate option data, such as caps for the interest rate market and ... calibrations to the interest- rate market and to the credit market can be kept separate, thus realizing a superposition that is of practical value. We discuss the impact of interest- rate and default-intensity ... term structure of in- terest rates and of credit default swaps (CDS’s). Additional parameters can be set so as to calibrate option data from the interest rate market and option data on the credit...

Ngày tải lên: 06/03/2014, 04:21

... Meetings, Interest Rate Decisions, and Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate ... higher than expected, and I(Δi<0) is an indicator function that takes the value of one on interest rate surprise days between 12:05 and 13:00 if the announced interest rate is lower than expected. Coefficient ... and the UK monetary policy process, see Bean (2001) and www.bankofengland.co.uk/monetarypolicy/ framework.htm. 4 These are published at www.bankofengland.co.uk. Vol. 6 No. 3 Bank of England Interest...

Ngày tải lên: 06/03/2014, 14:20

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Ngày tải lên: 30/03/2014, 01:20

... 817–838. Yourougou, P. (1990). Interest- rate risk and the pricing of depository financial intermedi- ary common stock. Journal of Banking and Finance 14, 803–820. 17 Banks’ exposure to interest rate risk, their ... changes in banks’ exposure to interest rate risk and whether the interest rate regulation has an impact on banks’ behavior. By contrast, practitioners are more interested in the earning opportunities ... the average one-year and ten-year interest rates were 4.52% and 5.55%, respectively. To calculate the durations, we use the corresponding continuously compounded interest rates. 15 Abstract We...

Ngày tải lên: 16/02/2014, 06:20

... place. 5 Table 6: Effect of Interest Rate Surprise on Bank Stock Returns (By Usage of Interest Rate Derivatives) Interest Rate Surprise Median Bank Level Slope With median interest rate derivatives position ... th es e data, interest rate swaps account for the vast bul k of the notional amount of interest rat e de r i vative contracts. Interest rate options, both exchange traded (ET) and those that ... Selected Interest Rates and the Associated Interest Rate Surprises 1997 1999 2001 2003 2005 2007 0 1 2 3 4 5 6 7 8 Percent Target federal funds rate 5-year Treasury yield Daily (a) S elect ed Interest...

Ngày tải lên: 17/02/2014, 03:20

... commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, ... and OFSW are eleven possible interactions between each type of derivative instruments. Among these interaction terms, O stands for option, F stands for futures, S stands for swaps, and W stands ... ratio and C&I loan 2 Examples of this literature also include Hall (1993), Berger and Udell (1994), Haubrich and Wachtel (1993), Hancock and Wilcox (1994), Brinkman and Horvitz (1995), and...

Ngày tải lên: 17/02/2014, 03:20

... To illustrate, the expected rate of inflation in February is computed as 10/12 of the expected rate of inflation for this year and 2/12 of the expected rate of inflation for next year. Interest Rate ... growth, and exchange rate changes but not to inflation. We develop quantitative indicators of the Governing Council’s assessment of economic conditions to understand its interest rate decisions and ... 5 8 Subtotal 11 7 Total: 18 set interest rates at discrete levels, typically 0.25 percent apart, and because of interest rate smoothing. Let π t , y t , µ t , and ε t denote (some measure of)...

Ngày tải lên: 17/02/2014, 03:20

... interest rate pass-through, where retail lending rates are allowed to differ across regions. Following Christiano and Eichenbaum (1992), Christiano, Eichenbaum, and Evans (2005), and Ravenna and ... literature on the empirical study of interest rate pass-through, including deposit rate pass-through. Vol. 4 No. 3 Incomplete Interest Rate Pass-Through 103 under loan rate stabilization is greater ... (2006), 1 See, for example, Barth and Ramey (2001), Angeloni, Kashyap, and Mojon (2003), Christiano, Eichenbaum, and Evans (2005), Chowdhury, Hoffmann, and Schabert (2006), and Ravenna and Walsh (2006). 2 Some...

Ngày tải lên: 17/02/2014, 03:20

... the spread between the interest rate on time deposits and the repo rates on corresponding maturities. Then we compute an average interbank deposit rate by weighting each rate with the amount ... nominal interest rate applied to overdrafts is typically the sum of a spread and the one-month policy rate. Current account contracts establish that changes in the policy rates are incorporated ... Japan (Aoki and Patrick, 1994), Germany (Harhoff and Körting, 1998) and Italy (Angelini et al.,1998) and in more market oriented ones such as the U.S. (Petersen and Rajan, 1994; Berger and Udell,...

Ngày tải lên: 17/02/2014, 03:20

... and discount repurchase rates, rates on euro–deutsche mark deposits with matu- rities of 1 day, and of 1, 3, 6, 12, and 24 months, and Frankfurt money-market rates for 1 day and 1-, 3-, 6-, and ... Discount, and Market Interest Rates 2 4 6 8 10 Percent January 1985 January 1990 January 1995 Lombard rate Discount rate 3-month interest rate ANTICIPATION IN CENTRAL BANK INTEREST RATE POLICY ... offi- cial interest rates by the U.S. Federal Reserve (for instance, Lombra and Torto, 1977; Thornton, 1986 and 1994; Cook and Hahn, 1988 and 1989; and Radecki and Reinhart, 1994), the Bank of England...

Ngày tải lên: 06/03/2014, 02:21

... expectations, monetary and fiscal policies and the value of the U.S. dollar. Other interest rates, including bank prime lending rates, home mortgage rates and corporate and municipal bond rates, tend to ... of forward rates, option prices may move sharply when current spot rates are unchanged. 14 Basic Strategies with Interest Rate Options Using options to implement interest rate strategies offers ... structure of interest rates and the very nature of the underlying instru- ment itself that investors must take into account to fully understand the behavior of interest rate options and their differences...

Ngày tải lên: 06/03/2014, 14:20

... that currency markets are integrated. For instance, both Dumas and Solnik (1995) and De Santis and Gerard (1998) assume that currency and equity markets are internationally integrated and impose ... 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 ... summarizes and suggests further research. 2. Risk Premium and Liberalization Market liberalization can impact UIRP through two basic channels, the exchange rate and/ or nominal interest rates (and...

Ngày tải lên: 06/03/2014, 14:20