interest rate parity and short run exchange rate determination
WORKING PAPER SERIES NO. 351 / APRIL 2004: INTEREST RATE DETERMINATION IN THE INTERBANK MARKET pot
... Spreads and Short- Term Interest Rate Movements, Journal of Money, Credit and Banking, 28(1), February, pp 34-53 RUDEBUSCH, G (1995) Federal Reserve Interest Rate Targeting, Rational Expectations, and ... decisions in response to demand and price uncertainty by C Fuss and P Vermeulen, April 2004 348 Financial openness and growth: Short- run gain, long -run pain? by M Fratzscher and M Bussiere, April 2004 ... spectral density matrix by G Camba-Mendez and G Kapetanios, April 2004 350 Exchange -rate policy and the zero bound on nominal interest rates by G Camba-Mendez and G Kapetanios, April 2004 ECB Working...
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The impact of exchange rate fluctuation on trade balance in short and long run
... arguments about exchange rate 2.1.1 Exchange rate concepts 2.1.2 Nominal exchange rate and real exchange rate 2.1.2.1 Bilateral nominal and real exchange rate 2.1.2.2 ... mentioned exchange rate in this study is quoted directly 2.1.2 Nominal exchange rate and real exchange rate 2.1.2.1 Bilateral nominal and real exchange rate The bilateral nominal exchange rate (NER) ... long -run and short- run relationships between exchange rate and trade balance are not consistent among studies, they indicate the positive impact of exchange rate on trade balance in long -run and...
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The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc
... floating interest rate and the cap rate 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 ... survey (FRAs, interest rate swaps, cross-currency swaps, and foreign exchange and interest rate options) averaged $659 billion, up percent See Chart Chart 2: Daily U.S FX and Interest Rate Derivatives ... 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 options, and interest...
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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc
... Sterling-Dollar Exchange Rate. ” Journal of 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.” ... current and future 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 ... 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...
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Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity potx
... fixed exchange rates (e.g., Malaysia after the Asian crisis) The scope for a successful interest rate defense” of a fixed exchange rate depends on the extent of the deviation from interest rate parity ... 341-360 34 Table Changes to Interest and Exchange Rate Regimes in Liberalized Emerging Markets This table documents some of the changes to interest rate and exchange rate regimes around the official ... liberalization (see, e.g., Kim and Singal (2000), Bekaert and Harvey (1998) and Bekaert (1995)) Others such as Mexico and Thailand have been forced to abandon fixed exchange rate regimes in the post-liberalization...
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WORKING PAPER NO. 218 THE ZERO-INTEREST-RATE BOUND AND THE ROLE OF THE EXCHANGE RATE FOR MONETARY POLICY IN JAPAN potx
... 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; ... scenario and the recession and deflation are signficantly dampened The exchange rate rule is abandoned in favor of the original interest rate rule when the interest rate implied by the 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...
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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt
... bank's interest rate and currency derivative contracts and the bank's interest rate and exchange rate risks Particularly noteworthy is the influence of currency derivatives on exchange rate betas ... between expected domestic interest rate changes and expected exchange rate changes, (c) the expected exchange rate volatility, and (d) the deviation from uncovered interest rate parity This indicates ... informationally efficient, changes in interest rates and exchange rates are likely to be largely unexpected In the second step, the interest rate and exchange rate betas generated in the first stage are...
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international parity conditions interest rate parity and the fisher parities
Phân tích tài chính doanh nghiệp
... 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 ... 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 ... Enterprises Application 1: Interest Rate Parity and One-Way Arbitrage Application 2: Credit Risk and Forward Contracts - To Buy or to Make? Application 3: Interest Rate Parity and the Country Risk...
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Revision of Nominal Effective Exchange Rate (NEER) and Real Effective Exchange Rate (REER) Indices.doc
... 50 and 51 of the December issue of RBI Bulletin Table 4: Indices of Real Effective Exchange Rate (REER) and Nominal Effective Exchange Rate (NEER) of the Indian Rupee (36-Currency Export and ... source for data on monthly exchange rates and prices for 36 currencies is the IFS of the International Monetary Fund2 With the IFS providing data on exchange rate and prices with a lag of at ... rupee relative to the currency i and vice versa, where e represents exchange rate of Indian rupee against the numeraire, SDR in indexed form and ei represents exchange rate of foreign currency ‘i’...
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Tài liệu SHORT-TERM INTEREST RATE FUTURES doc
... Examples of Interest Rate Hedging Strategies A wide variety of interest rate hedging strategies have been devised in the few years since interest rate 22 futures were first introduced Interest rate ... market prices, taking on a short position in interest rate futures produces an opposing risk Traders with short positions in interest rate futures profit when interest rates rise because the contracts ... additional risk in exchange for a higher expected rate of return Hedgers in the money market selectively buy and sell interest rate futures to fix future borrowing and lending rates when they perceive...
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Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
... Transmission of nominal exchange rate changes to export prices and trade flows and implications for exchange rate policy 23 2009 2009 Do we really know that flexible exchange rates facilitate current ... this standardized interest rate shock Currently, the standardized interest rate shock consists of two parts: a parallel upward shift of 130 basis points (bp) in the entire term structure and a ... intermediaries and interest rate risk: II Financial Markets, Institutions and Instruments 15 (5), 225–272 16 Svensson, L E O (1994) Estimating and interpreting forward interest rates: Sweden 1992...
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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
... 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 ... the notional amounts outstanding of interest rate swaps, futures, forwards, and the following interest rate options: over-the-counter (OTC) options written/purchased; and exchange- traded (ET) options...
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Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf
... positions in interest- rate futures Finally, less than percent of the sample banks report having open positions in interest- rate swaps, interest- rate options, interest- rate forwards, and interest- rate ... use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans Robustness Check To check ... commercial and industrial loan portfolios More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interestrate futures, and interest- rate forwards,...
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Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc
... growth and the outlook for price stability By contrast, multivariate reaction functions control for economic activity, past interest rates, and the rate of depreciation of the exchange rate and ... level of the interest rate and the change in the interest rate are significant Rather than commenting on the regressions individually, in the interest of brevity we summarize the most interesting ... money growth between 2001 and 2003 was interpreted as largely reflecting increases in the demand for money that did not generate inflation risks 4.5 Exchange Rate and Repo Rate Finally, panel F shows...
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Tài liệu Incomplete Interest Rate Pass-Through and Optimal Monetary Policy∗ docx
... Mojon, and Valla (2005), the estimated degree of short- run (i.e., monthly) pass-through of changes in the market interest rates to the loan rate on short- term loans to firms varies from 25 (Sander and ... Mojon (2000), Heinemann and Sch¨ler (2002), Hofmann (2003), u and Sander and Kleimeier (2004) reported that the long -run pass-through of market rates to interest rates on short- term loans to firms ... loan rate, the current policy rate, and the previous loan rate. 16 It states that the relative weights on the expected loan rate and the previous loan rate increase as the sluggishness of loan rates...
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Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf
... with robust standard errors in brackets The symbols *, **, and *** represent significance levels of 10%, 5%, and 1% respectively 32 Fig Interest rates on overdrafts and interbank rate in Italy ... 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 ... macroeconomic conditions (policy rates, real GDP, inflation, interest rate volatility), are captured by the constant α Following Albertazzi and Marchetti (2010) and Hale and Santos For a survey on...
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Anticipation and Surprises in Central Bank Interest Rate Policy ppt
... official 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 ... (1996), which concentrates more on the reaction of a wide variety of interest rates and exchange rates to overall changes in the Bundesbank’s Lombard, discount, and repurchase rates, and does not examine ... official rates January 1985 10 Percent Lombard rate January 1990 3-month interest rate Discount rate Figure Lombard, Discount, and Market Interest Rates January 1995 ANTICIPATION IN CENTRAL BANK INTEREST...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... dynamics, on a default-free interest rate context, see for example Avellaneda and Newman (1998), or Brigo and Mercurio (2001, 2001b) 3.1 CIR++ short -rate model We write the short -rate rt as the sum of ... Brigo and Mercurio (2001, 2001b) We will often use the integrated process, that is t t β t Λ(t) = λs ds, and also Y β (t) = ys ds and Ψ(t, β) = ψ(s, β)ds We take the short interest- rate and the ... intensity and interest rates In this section we consider a model with stochastic intensity and interest rates In this kind of models λ is a stochastic process but, conditional on the filtration generated...
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