interest rate parity money market basis swaps and crosscurrency basis swaps

... deviations from interest rate parity (see, e.g., Kaminsky and Peruga (1990), McCurdy and Morgan (1991), Chiang (1991), Korajczyk and Viallet (1992), Malliaropulos (1997), and Morley and Pentecost ... financial market 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 ... there is expected to be a decline in interest rates Hence, the net impact of liberalization on emerging market interest rates and in turn the impact of interest rates on UIRP is an empirical question...

Ngày tải lên: 06/03/2014, 14:20

... 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 ... 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 ... 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...

Ngày tải lên: 12/07/2014, 10:57

... related to money market funds could be significantly mitigated by proposed SEC reforms and, potentially, by monitoring and reducing the credit risk taken by prime funds Prime Money Market Funds and ... stability Money market funds serve as important intermediaries between investors who want low-risk, highly liquid investments, and banks and corporations that have short-term borrowing needs Money market ... 2008 and the more recent sovereign debt problems in Europe underscored the significance of money market fund flows to short-term credit markets, and the potential for disruptions in those flows and...

Ngày tải lên: 19/02/2014, 14:20

... real interest rate setting by examining whether German interest rates tend to drive common movements among other European rates, ie is the German rate the single common trend on which the other rates ... mobility, risk neutrality and real exchange rate convergence, the expected change in the real exchange rate and the risk premium will be zero in the long run, and real interest rates will be equalised ... determination of real interest rates These studies have typically looked at long-term real interest rates and consequently we analyse linkages between long-term real interest rates of the major...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/02/2014, 05:20

... where r0, 12 is the one-year interest rate and r0, is the six-month interest rate 24 Inferring market interest rate expectations from money market rates 23, 45 and 109 basis points respectively ... Inferring market interest rate expectations from money market rates Sterling money market instruments General collateral sale and repurchase agreements Gilt sale and repurchase (‘gilt ... the interest rate today for borrowing and lending money for six months is 6% per annum and that the rate for borrowing and lending for twelve months is 7% Taken together, these two interest rates...

Ngày tải lên: 15/02/2014, 05:20

... structure of interest 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 market, ... corresponding to market quoted Rf ’s This is rather annoying, since the attractive feature of the model is the separate and semi-automatic calibration of the interest- rate part to interest- rate data and of ... 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...

Ngày tải lên: 06/03/2014, 04:21

... 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 ... to the market if the difference between the rate in periods t + (interbank or LIFFE) and t − is greater than 10 (15) basis points, where t is the second MPC meeting day and the interest rate data...

Ngày tải lên: 06/03/2014, 14:20

... 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 respond to ... on-line pricing services How interest rate options work? Options on interest rates and listed stock and stock index options have similar benefits and risks They are standardized contracts traded ... intermediate-term rates and would like to profit from his projection for the move in interest rates The investor will sell his Tbills and will deposit $18,000 in a money market account and $2,000 will...

Ngày tải lên: 06/03/2014, 14:20

... intraday interest rate implicit in the UK overnight money market by estimating the average premium (defined as the interest rate less official Bank Rate) 1 charged in the overnight money market as ... Baglioni and Monticini (2008) and Kraenzlin and Nellen (2010) who study overnight money markets with fixed and known maturity Assuming continuous compounding and same intraday interest rate on ... element of the UK money market arrangement over the period analysed is the time-varying aspect of the standing facility rates, which set a narrower band for market interest rates at the end of...

Ngày tải lên: 06/03/2014, 14:20

... (interbank market interest rate) and loan and deposit interest rates and from 1988 to 2002 Loan and deposit interest rates reported are linear averages of actual interest charged by Spanish banks Interest ... confirms that interest rates are rigid to changes in the money market interest rate and also confirms asymmetries in the speed at which loan or deposit interest rates adjust to the money market one ... costs and market power of banks, which creates interest rate rigidity and asymmetries in the speed at which increases and decreases in the money market interest rate are translated into banking interest...

Ngày tải lên: 15/03/2014, 14:20

... use of interest rate swaps since these firms are leading users of interest rate swaps3 1These are aggregate global figures for interest rate swaps for both ISDA and non-ISDA categories See Market ... conjunction with interest rate swaps in order to pay the least cost on debt consistent with interest rate expectations It shows that these firms use interest rate swaps, because interest rate swaps not ... group of users of interest rate swaps Financial firms (e.g., banks) are comparatively infrequent users of interest rate swaps and they are primarily interest rate swap dealers.2 Wall and Pringle (1989)...

Ngày tải lên: 15/03/2014, 14:20

... Income 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 ... of money demand, γi the semi -interest rate elasticity and st an i.i.d normal money demand shock While the central bank controls interest rates via openmarket operations that also affect the money ... 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

... 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 ... Mi (t)) and the bank’s interest income Ri (t) (variable: sharei (t)) Note that total assets T Ai (t) and interest income Rt (t) are reported only once a year (and, in the case of the interest...

Ngày tải lên: 16/02/2014, 06:20

... 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 points ... derivatives markets 22 Table 5: Reaction of Bank Stock Returns to Changes in Interest Rates (By Bank Characteristics and the Usage of Interest Rate Derivatives) Interest Rate Surprise Variable × Interest ... Moreover, interest rates on these special bank liabilities are often substantially below market rates; demand deposits, for example, yield no interest at all, obviously a very low and sticky rate. 19...

Ngày tải lên: 17/02/2014, 03:20

... 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,...

Ngày tải lên: 17/02/2014, 03:20

... increase in 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, ... value and the difference between the probability of a 0.25 percentage point increase in interest rates and the probability of a 0.25 percentage point cut in interest rates (DPROB ) Since money- market ... Change (±50 Basis Points) Subtotal 10 11 Total: 18 set interest rates at discrete levels, typically 0.25 percent apart, and because of interest rate smoothing Let πt , yt , µt , and εt denote...

Ngày tải lên: 17/02/2014, 03:20

... argued that retail bank rates are not completely responsive to money- market rates since bank rates are tied to long-term market interest rates even in the case of short-term bank rates From a different ... to what extent shifts in money- market rates affect loan rates and thereby the behavior of firms depends on how commercial banks react to the shifts in the money- market rates If not all of the commercial ... instance, 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...

Ngày tải lên: 17/02/2014, 03:20

... loan interest rate pattern The level of the interest rate on overdrafts is quite strongly correlated with the three-month interbank rate (Figure 1) Therefore, as a result of the drop in money market ... However, the reduction in the interest rates charged to firms was significantly lower than that experienced by money market rates, and therefore the spread between the two rates, typically considered ... 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

... Lombard and discount repurchase rates, rates on euro–deutsche mark deposits with maturities of day, and of 1, 3, 6, 12, and 24 months, and Frankfurt money- market rates for day and 1-, 3-, 6-, and ... 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 ... Conclusion The official interest rates applied at central bank standing facilities serve as bounds and guideposts for short-term money market rates The relationship between market rates and these bounds...

Ngày tải lên: 06/03/2014, 02:21