interest rate inflation and economic activity

Interest Rate Swaps and Economic Exposure potx

... interest rate swap activity in any given country to the total (global) interest rate swap activity 28 Table USE OF INTEREST RATE SWAPS AND CURRENCY SWAPS (billions of US$) Year Activity for Interest ... the use of interest rate swaps when firms face economic exposure Exchange rate shocks have a microeconomic effect on the firm's cash flows and a macroeconomic effect on the interest rate in the ... lower interest rates by issuing a longterm debt and swapping the fixed long-term riskfree interest rate for the short-term riskfree interest rate by using a floating-for-fixed interest rate swap...

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Aﬀairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

Danh mục: Ngân hàng - Tín dụng

... Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest Rate Surprise Level Swaps 0.212 ... Selected Interest Rates and the Associated Interest Rate Surprises Percent Daily Target federal funds rate 5-year Treasury yield 1997 1999 2001 2003 2005 2007 (a) Selected Interest Rates Basis ... margins (net interest income as a percentage of interest- earnings assets) and interest rates have generally found little evidence that net interest margins respond to changes in short-term rates or...

Tài liệu RELATIONSHIP BETWEEN INFLATION AND ECONOMIC GROWTH ppt

Danh mục: Cao đẳng - Đại học

... significant at relatively high rates of inflation At lower rates of inflation, growth and inflation may simply be jointly troubled by various demand and supply shocks and hence shows no consistent ... References Andrade, J P and J R Faria (1994) “Money and Growth: From a QuasiNeoclassical Standpoint”, Revista Brasieira de Economia, Vol 48, pp 529-550 Andres J and I Hernando (1997) Does inflation ... (1995) Inflation and Economic Growth, NBER Working Paper 5326 Barro, R J and X Sala-i-Martin (1995) Economic Growth, McGrawHill, New York Bruno, M and W Easterly (1995) Inflation Crises and Long-Run...

Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

Danh mục: Ngân hàng - Tín dụng

... U.S and foreign 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 ... and the UK monetary policy process, see Bean (2001) and www.bankofengland.co.uk/monetarypolicy/ framework.htm These are published at www.bankofengland.co.uk Vol No Bank of England Interest Rate ... Applied Econometrics (1): 1–13 Vol No Bank of England Interest Rate Announcements 247 Hakkio, C S., and D K Pearce 1985 “Exchange Rates and Discount Rate Changes.” Federal Reserve Bank of Kansas...

Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf

Danh mục: Ngân hàng - Tín dụng

... 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 ... interest rates Two of the most closely watched interest rates are the benchmark rates on short-term and longterm U.S Treasury securities They reflect changes in general economic conditions, inflationary ... estimate of forward rates, option prices may move sharply when current spot rates are unchanged 13 Basic Strategies with Interest Rate Options Using options to implement interest rate strategies offers...

Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot

Danh mục: Ngân hàng - Tín dụng

... 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 rate5 The change in the interest rate is ... (1996), Allen and Jagtiani, (1997) and Benink and Wolff, (2000) conclude that interest rate sensitivity has decreased in the late 1980's and early 1990's due to the availability of interest rate derivatives ... relationship with interest rate changes (Flannery and James, 1984; Brewer and Lee, 1985; Scott and Peterson, 1986; Kane and Unal, 1988; Saunders and Yourougou, 1990; Kwan, 1991; Akella and Greenbaum,...

Net foreign assets, interest rate policy, and macroeconomic stability potx

Danh mục: Ngân hàng - Tín dụng

... real interest rate (both in the sense R H and R ) is raised.3 Thus, given the constant world real interest rate r , a future real depreciation (x/x > 0) is implied by the real interest rate ... situation of high aggregate demand cures itself without change in the nominal interest rate As usual, high aggregate demand implies positive ination and a low real interest rate In the present model, ... lower default risk, the risk adjusted real interest rate r is higher for any given nominal interest rate and e ination rate, which brings aggregate demand back to normal through the associated...

Interest Rate Volatility and Risk in Indian Banking pptx

Danh mục: Ngân hàng - Tín dụng

... advise banks to use forward rate agreements and interest rate swaps to hedge interest rate risks, these markets are quite shallow The market for exchange-traded interest rate derivatives has recently ... markets, and falling international rates have resulted in a significant decline in interest rates in the last five years Currently, interest rates in India are at historical lows The drop in interest ... rates For India, the interest rate is the call money rate -5- Some of these banks may be exposed if interest rates were to rise India’s large fiscal deficit and signs of economic revival are...

WORKING PAPER NO. 218 THE ZERO-INTEREST-RATE BOUND AND THE ROLE OF THE EXCHANGE RATE FOR MONETARY POLICY IN JAPAN potx

Danh mục: Ngân hàng - Tín dụng

... exchange rate, interest rates and base money, we treat uncovered interest parity and potential deviations from it explicitly in the model While MC compares interest rate and exchange rate rules ... real interest rate; r∗ : equilibrium real interest rate; ew : trade-weighted real exchange rate; d : aggregate demand shock; l: long-term nominal interest rate; i : short-term nominal interest rate; ... additional eﬀect on the nominal interest rate, and a negative interest rate prescribed by the interest rate rule cannot be implemented Orphanides and Wieland (2000) illustrate this point using recent...

Interest-Rate Exposure and Bank Mergers ppt

Danh mục: Ngân hàng - Tín dụng

... realized rising -rate environment 17 Target and acquirer positioning is related to the interest rate environment, particularly the level and trend in interest rates Targets’ interest- rate betas were ... Lynge and Zumwalt (1980), Flannery and James (1984), Scott and Peterson (1986), Unal and Kane (1988), Akella and Chen (1990), Choi, Elyasiani, and Kopecky (1992), Sweeney and Warga (1986), and ... Abstract: This study examines how interest rates and interest- rate exposures affect the level of acquisition activity, the identities of targets and acquirers, and the pricing of acquisitions in...

Monetary Policy in the Eurozone: Evaluating the European Central Bank’s interest rate decisions and the needs of member states using a Taylor rule ppt

Danh mục: Ngân hàng - Tín dụng

... policymaking” as countries with ‘high inflation rates experience relatively low real interest rates” which lead to even higher inflation rates by boosting aggregate demand 16 Since these differentials ... individually would prefer.” 32 IV Results and Analysis An introductory inspection of the ECB interest rate and the European countries’ Taylor rates shows the interest rate lower than recommended for many ... growth and, assuming it stays in the euro, no inflation either – yet market interest rates are likely to be quite high.” 50 G Finland 14.00 12.00 10.00 8.00 6.00 4.00 ECB Rate 2.00 Finland 0.00...

international parity conditions interest rate parity and the fisher parities

Danh mục: Phân tích tài chính doanh nghiệp

... nominal interest rate reflects a real interest rate and an anticipated rate of inflation The Fisher International Effect (Uncovered Interest Parity) states that the nominal interest rate differential ... controls, higher inflation, and/ or currency depreciation) in the higher interest rate currency High Italian lire interest rates versus the DM in 1992, and high Mexican peso interest rates versus ... interest arbitrage acts to enforce Interest Rate Parity Describe the impact of each transaction on interest rates and exchange rates Provide one example using the data in Appendix B Covered interest...

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financial markets and economic activity

Danh mục: Ngân hàng - Tín dụng

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bài giảng môn tài chính quốc tế interest rate swap and currency swap

Danh mục: Tài chính doanh nghiệp

... were interested in hedging a floating -rate interest payment due in March 2003  sell a future  So, locking in an interest rate of 5.24%  If interest rate rise by Marche 2003?  If interest rate ... Refinancing  Forward Rate Agreement (FRA)  Interest Rate Future  Interest Rate Swaps Forward rate agreement (FRA)  FRA is an interbank-traded contract to buy or sell interest rate payment on a ... managed with forward rate agreement, interest future and interest rate swap  Introducing currency swap case Interest rate risk  All firms are sensitive to interest rate movements in one way to another...

Applications of malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton

Danh mục: Tổng hợp

... structured interest rate products were well established Demand grew and grew, the product spewing forth from the dealers become a ﬂood Investors are primarily interested in receiving a rate of return ... class of interest rate contracts that allows the termination of the underlying contracts consisting of ﬁxed -rate, ﬂoating -rate and option legs at some ﬁxed dates Callable inverse ﬂoaters and callable ... Callable Libor exotics is a class of interest rate contracts that allows the termination of the underlying contracts consisting of ﬁxedrate, ﬂoating -rate and option legs at some ﬁxed dates Using...

Ethnic politics and economic activity a comparison of sri lanka and malaysia

Danh mục: Tổng hợp

... literature and most of these studies accept that economic factors and ethnic conflict can not be separated (Sachs and Warner 1995; Easterly and Levine 1997; Collier and Hoeffler 1998; Collier and Hoeffler ... between economic activities and EPPs shows that economic policies, government activities, and macroeconomic management were less supportive of EPPs in improving economic development and promoting ... related to economic factors (Gurr 1994; Sachs and Warner 1995; Easterly and Levine 1997; Collier 1998; Collier and Hoeffler 1998; Elbawadi and Sambanis 2000a; Fearon and Laitin 2000; Bussmann and Schneider...

Inflation And Economic Growth Nexus In The Southern African Development Community: A Panel Data Investigation

Danh mục: Tổng hợp

... of macroeconomic policies is to attain high and sustainable output growth rates coupled with low and stable inflation rates (Kan and Omay, 2010), implying that a certain magnitude of inflation ... into three threshold levels or breaks, namely inflation rates less than 15 per cent, inflation rates between 15 per cent and 40 per cent, and inflation rates above 40 per cent The results depict ... which inflation is detrimental to economic growth and below which inflation is beneficial to economic growth Similarly, Li (2006) estimates a non-linear relationship between inflation and economic...

Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc

Danh mục: Ngân hàng - Tín dụng

... 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 ... Kuritzkes and Schuermann, 2007) In our framework, unexpected losses can arise because of credit risk or adverse interest rate shocks For credit and interest rate risk, we follow standard convention and ... argued that ECCR and ECRNI not fully disentangle credit and interest rate risk, in the sense that the former incorporates the effect of higher interest rates on default probabilities and the latter...

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Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf

Danh mục: Ngân hàng - Tín dụng

...

Tài liệu Public attitudes to inflation and interest rates docx

Danh mục: Ngân hàng - Tín dụng

... observed growth rates of nominal demand, money and asset prices Research and analysis Public attitudes to inflation and interest rates Understanding the likely future path of inflation expectations ... expectations of interest rates and inflation Interest rate perceptions, expectations and movements in retail rates Question of the Bank/GfK NOP survey asks respondents ‘how would you say interest rates ... expectations and these measures is high The relationship between interest rates and inflation An important question for analysing the links between interest rate expectations and inflation expectations...

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