interest rate uncertainty and forward rates

... 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 ... 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 ... quite sticky and, in many cases, the rates paid on these deposits respond very sluggishly to changes in market interest rates; see, for example, Hannan and Berger [1991] and Neumark and Sharpe...

Ngày tải lên: 17/02/2014, 03:20

... 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 ... repo, rate and after that date in terms of the Bank rate We use the two names interchangeably Vol No Bank of England Interest Rate Announcements 213 analyses, we allow for a probabilistic and thus...

Ngày tải lên: 06/03/2014, 14:20

... 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 ... 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 ... inversely related to interest rates An investor must be able to understand this inverse relationship between bond prices and yields That is, whenever interest rates rise, prices on outstanding Treasury...

Ngày tải lên: 06/03/2014, 14:20

... 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 ... 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 ... needs and faces economic exposure and interest rate uncertainty in different parts of the world In 1993, their interest rate swap portfolio included 45 interest rate swaps in different currencies...

Ngày tải lên: 15/03/2014, 14:20

... 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 ... stock returns and unexpected inflation is given by interest rates If movements in interest rates result primarily from changes in inflationary expectations as Fama (1975, 1976) and Fama and Gibbons ... 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,...

Ngày tải lên: 22/03/2014, 17:20

... demand schedule in a symmetric equilibrium is w= PH mcH , P (18) and the symmetric aggregate production function is X y = yH + yH = l (19) Exchange rates and foreign demand Following Gali and ... 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,...

Ngày tải lên: 22/03/2014, 17:20

... 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 ... 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 ... debate The easing of controls on interest rates has led to higher interest rate volatility in India Hence, there is a need to measure and monitor the interest rate exposure of Indian banks Using...

Ngày tải lên: 22/03/2014, 17:20

... Thus, with interest rates near zero policymakers will not be able to stave off recessionary shocks by lowering nominal and thereby real interest rates Even worse, with nominal interest rates constrained ... 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...

Ngày tải lên: 22/03/2014, 23:20

... 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 ... intrastate economies, and capitalization, and the market-wide effects interest rates have on the relative supply and demand for banks In particular, the notion that lower interest- rates bring more ... positioned for falling rates in rising -rate environments (have a positive interest- rate beta), while acquirers would have been positioned for rising rates (have a negative interest- rate beta) We fail...

Ngày tải lên: 29/03/2014, 13:20

... 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 “cannot ... temporal spacing of the quarterly Taylor rates and the monthly Central Bank interest rate decisions, the rates are laid out on a continuous timeline for comparison and stress levels are also calculated ... 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...

Ngày tải lên: 29/03/2014, 13:20

... 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 ... Eurocurrency interest rates Traders typically use the interest rate parity formula when asked to quote a forward rate, which is further evidence favoring the Interest Rate Parity condition 10 "If the forward ... 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 the US$...

Ngày tải lên: 12/07/2014, 10:57

... Exppectation Strategy Fixed rate debt Rates to go up Do nothing Rates to go down Pay floating/Receive fixed Rates to go up Pay fixed/Receive floating Rates to go down Do nothing Floating rate debt Interest ... 2003? Interest Rate Futures Strategies for Common Exposures Exposure or Position Paying interest on future date Futures Actions Interest Rate Sell a future (Short position) If rates go up If rates ... 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...

Ngày tải lên: 02/02/2015, 11:29

... 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 ... Wong Man Chui Title: Applications of Malliavin Calculus and White Noise Analysis in Interest Rate Markets, and Convertible Bonds with and without Symmetric Information Department: Mathematics ... Chapter The interest rate markets model framework In this chapter we review the classical HJM model which captures the full dynamics of the entire forward rate curve, while the short -rate models...

Ngày tải lên: 11/09/2015, 14:27

... the MPC interest rate decisions and the member interest rate average, these interest rate reactions are not significantly different from the OLS estimates in terms of a 10% confidence band Although ... estimates of interest rate reaction function parameters for h = 6, 7, Accounting for forecast downward risk 35 Forecast Uncertainty and the Bank of England Interest Rate Decisions∗ ... of interest rates while output uncertainty is negatively correlated Kim & Nelson (2006) use standardized prediction errors for inflation and output as a bias correction in their forecast-based interest...

Ngày tải lên: 22/03/2014, 23:20

... investigating the determinants of lending rates and interest rate spreads In order to quantify the effect of various factors on lending rates and interest rate spreads during the last decade, we ... influence lending rates and interest rate spreads, so that certain conclusions can be drawn regarding policy measures that could lead to lower lending rates and narrower interest rate spreads In ... of lending rates and interest rate spreads in Croatia between 1999 and 2003 Čihák supposes that interest rate spread is a function of the deposit rate, total assets, market share, and the share...

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 15/02/2014, 05:20

... of interest rates would change until the implicit forward rates equalled expectations of future rates Future interest rates are, of course, not known with certainty Nevertheless, if forward rates ... rate the forward rate( 2) of 7.77% now for borrowing in the future If there were no uncertainty about the path of future interest rates then forward rates would equal expected future interest rates ... rates, the expectations hypothesis and term premia Forward rates are the interest rates for future periods that are implicitly incorporated within today’s interest rates for loans of different maturities...

Ngày tải lên: 15/02/2014, 05:20

... 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 ... 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 References Ballester, ... transformation) because long-term interest rates tend to be higher than short-term interest rates In this paper, we investigate the banks’ exposure to interest rate risk as well as their earnings...

Ngày tải lên: 16/02/2014, 06:20

... 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

... before changing interest rates, and when they change rates, they so sufficiently so that they not expect to have to change them again soon The Governing Council seems to change rates to “clear ... 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 ... own lagged 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...

Ngày tải lên: 17/02/2014, 03:20