the fisher effect the interest rate and the exchange rate under the flexible price monetary approach
The effect of interest rate changes on bank stock returns doc
... returns in the face of announced interest rate changes: Stiglitz and Weiss (1981) Optimal Interest Rate Theory and Gordon (1962) Dividend Valuation Theory as well as Ho and Saunders (1981) theory ... return on a security, Rf is the risk-free rate, i is the risk of the asset where (Rm-Rf) is the market risk premium and Rm the market rate of return In practice the interest rate on secure debt securities, ... the interest rate sensitivity Stone's work was built on and further enhanced by Lynge and Zumwalt (1980) who found that interest rate sensitivity varied depending on the term of interest rates,...
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international parity conditions interest rate parity and the fisher parities
Phân tích tài chính doanh nghiệp
... in the deviation from interest rate parity Define the Fisher Effect and the Fisher International Effect (Uncovered Interest Parity) How are these effects similar and how are they different? The ... different? The Fisher Effect states that the nominal interest rate reflects a real interest rate and an anticipated rate of inflation The Fisher International Effect (Uncovered Interest Parity) ... that the nominal interest rate differential between two countries reflects the anticipated rate of currency depreciation of the exchange rate The two Fisher effects are similar in that they both...
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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
... the bank’s own funds Ei (t) (which explains the multiplication with Ei (t) and the division by 130) The variable ki (t) states the ratio of the bank’s interest rate exposure to the interest rate ... case especially the shape of the (past and current) term structure of interest rates We call this variable the change in the systematic factor of the exposure to interest rate risk The variables ... in the cross-section, the interest margin is not much determined by the exposure to interest rate risk The results apply especially to the small and medium-sized banks in the German savings and...
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Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc
... with a monetary tightening Finally, the lagged level of the interest rate and the change in the interest rate are significant Rather than commenting on the regressions individually, in the interest ... past interest rates, and the rate of depreciation of the exchange rate and are therefore more informative about the role of money in the Governing Council’s conduct of monetary policy Assessing the ... rate of appreciation, and the lagged level (and the lagged change) of the repo rate Below we estimate the model, reporting the parameter estimates, the value of the likelihood function, and the...
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The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc
... pays the difference between a 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 ... 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 ... specific date at a rate agreed upon at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally...
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Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot
... of the interest- rate part to interest- rate data and of the intensity part to credit market data Indeed, in the separable case the credit derivatives desk might ask for the α parameters and the ... that if ρ = and ψ(·; β) is selected according to (7), then the price of the CDS under the stochastic intensity model λ is the same price obtained under deterministic intensity γ mkt and is given ... being the instantaneous short interest rate We denote by CDS(t, T , T, Rf , Z) the price at time t of the above CDS The pricing formula for this product depends on the assumptions on interest- rate...
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Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc
... 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 ... (1) where Δet is the change in the logarithm of the exchange rate at time t The mean of the exchange rate returns process, μ, the autocorrelation coefficient, ρ, and the variance of the innovation, ... on the MPC 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...
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Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf
... regarding the structure of interest rates and the very nature of the underlying instrument itself that investors must take into account to fully understand the behavior of interest rate options and their ... the holder to profit if rates decline because as 5-year interest rates fall, so does the level of FVX As interest rates decline and the level of the 5-year underlying declines, the value of the ... difference between the premium originally paid when the option was purchased and the premium received upon the sale of the option 10 Interest Rate Movement and Option Premium Interest Rate Options...
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Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity potx
... is the implementation of 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 ... At the beginning of the month a U.S dollar is converted to local currency at the spot exchange rate against the U.S dollar and deposited in the country of reference At the end of the month the ... (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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Bank income and profits over the business and interest rate cycle pdf
... between the loan and deposit rates are the extent of competition in the markets, the interest rate risk to which the bank is exposed, the degree of risk aversion of the bank management and the size ... in monetary policy rates On the other hand, the variation of banking-related measures over the interest rate cycle is rewarding on its own Our presumptions follow the observation from the interest ... factors (interest rates for outstanding amounts and new business on both sides of the balance sheet, the level and the structure of interest- earning assets and interest- bearing liabilities), further...
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What is the neutral real interest rate, and how can we use it? doc
... implicitly assumes that there is a corresponding neutral level for the exchange rate, such that the exchange rate neither stimulates nor contracts demand, and that the exchange rate is at this neutral ... influenced the level of the NRR over The currency risk premium was then derived from actual interest rate differentials between New Zealand and Australia and New Zealand and the United States the 1990s ... to consumption, the higher the interest rate they will require in fall, as the cost of borrowing increases, since fewer order to induce them to save, and the further to the left the investment...
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Interest rate setting by universal banks and the monetary policy transmission mechanism in the euro area pot
... countries under EMU than on average over the 1990s (this is not the case in Ireland and the Netherlands for the former, and Finland for the latter) The picture is less clear in the case of mortgages and ... In the short run, changes in retail bank rates depend on changes in the MMR and in the BR and on the deviation from the long-run equilibrium relationship between the retail bank interest rate and ... and the Netherlands For the latter, it goes up in Spain, Ireland, Italy, down in Belgium and Germany However, it could be the case that the term CC captures a trend in the level of the bank rate...
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WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY pptx
... on the share of variable interest rate contracts, the frequency of the interest rate variations defined in the contract and the correlation of the MMR with the reference interest rate used in the ... other countries 3.2 Recent evidence on the reference maturity and the effective interest rate This section briefly outlines the determinants of the effective interest rate which applies to the ... value of the future stream of dividends The discount rate used in the computation of the present value is, again, the long-term interest rate The lower the level of long-term interest rates, the higher...
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The Sensitivity of Bank Net Interest Margins and Profitability to Credit, Interest-Rate, and Term-Structure Shocks Across Bank Product Specializations potx
... limited since the late 1980s, when the savings and loan crisis brought the issue of interest- rate risk to the fore Understanding the systematic effects of changes in interest- rate and credit risks ... liabilities and their capacity to price changes in risks effectively In addition, the credit cycle and the strength of new loan demand determine the magnitude of the effect of interest- rate shocks ... for the change in short-term interest rates (ST_DUMMY1) that controls for the change in the interest- rate environment Coefficients for interest- rate volatility and the short-term interest- rate...
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Interest Rate Risk and Bank Common Stock Returns: Evidence from the Greek Banking Sector pot
... portfolios In other words, the analysis on the one hand has the drawback that noise is not 'averaged out', but on the other hand allows the evaluation of interest rate risk on the micro level ... sensitivity to interest rate innovations The hypothesis that the interest- rate sensitivity is uniform across banks was also rejected suggesting that the interest rate effect is bank specific Given the rejection ... -11.7* * The mean and standard deviation correspond to the sample values The numbers in the parentheses stand for the t-ratios The Sharpe ratio is calculated by diving the sample mean by the sample...
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Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks potx
... verges of interest rtes insted of the interest rtes themselvesF 12 As the methods Interest income of the two strategies S(12) and S(60) and Year dummies have no cross sectional variation, their ... lulte the net interest inome for the yer PHHV nd the yer PHHWD respetivelyF hese interest mrgins re ompred with the interest mrgin in the se of no interest shokD the sis senrioD ... the yield urveD ie the shortEterm rtes go up shrply nd the longEterm rtes rely moveD hs the most negtive impt on the nk9s net interest inome in the yer fter the shok nd in the...
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Forecast uncertainty and the Bank of England interest rate decisions ppt
... of the relationship between the MPC’s own forecasts and the interest rate decisions of the MPC on the official Bank Rate The data used are the historical forecasts for British CPI inflation and ... level Despite variations of the responses across the conditional distribution of both the MPC interest rate decisions and the member interest rate average, these interest rate reactions are not significantly ... uncertain and the uncertainties might affect the interest rate decisions, they should be incorporated into the estimation model This study therefore focuses on the impact of forecast uncertainty on the...
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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
... in the mean real rate and the downward bias in the variability of the real rate depending on the level of the nominal equilibrium rate of interest The downward bias in the variability of the ... in Coenen and Wieland (2002)) 3.1 Recession, Deflation and the Zero -Interest- Rate Bound The Zero -Interest- Rate Bound Under normal circumstances, when the short-term nominal interest rate is well ... NO 218 THE ZERO -INTEREST- RATE BOUND AND THE ROLE OF THE EXCHANGE RATE FOR MONETARY POLICY IN JAPAN * BY GÜNTER COENEN AND VOLKER WIELAND ** MARCH 2003 * Prepared for the “Conference on the tenth...
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WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf
... 218 The zero -interest- rate bound and the role of the exchange rate for monetary policy in Japan” by G Coenen and V Wieland, March 2003 219 “Extra-euro area manufacturing import prices and exchange ... 5.3 sw ap Furthermore, the changes in the yields and in the swap spreads for both Portugal and Germany, were not directly related to the change in the yield and in the swap spread in the leading ... of the interest rate swap spreads the interest rate swap spread in the US, a measure of bond market liquidity, a measure of the stock market risk/volatility, the slope of the yield curve in the...
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WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc
... correlation between the actual real interest rate and the real interest rate gap are high and their standard deviations are roughly identical In other words, the variation in the real interest rate is not ... on the real interest rate gap, dened as the dierence between the real short term interest rate and estimates of the natural real interest, as an indicator of the monetary policy stance Rather, ... defined as the difference between the real short term interest rate and estimates of the natural real interest rate In addition, the natural real interest rate is linked to the potential growth rate...
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