the interest rate margin

... all the bank and market interest rate series used. The IPS test on the null hypothesis of a unit root cannot be rejected at the 5% significance level for either the bank rates or the market rates, ... of bank interest rates to changes in corresponding market interest rates; third, we also test the impact of competition in the loan market on the immediate adjustment of bank interest rates to ... market interest rates. The structure of the paper is as follows. Section 2 discusses the literature on both measuring competition and the bank interest rate pass-through. Section 3 describes the...

Ngày tải lên: 15/02/2014, 05:20

... notes: Another problem with the current procedure of the Bank of England is that it is unclear how the MPC is intended to deter- mine the correct current repo rate in the event that the interest- rate ... 2 The Interest Rate Conditioning Assumption 87 In order to provide a basis for such inflation forecast(s), which then forms one of the main inputs into the current interest rate deci- sion, the ... projection, under the assumption that the path of the repo rate after the current month would follow the path anticipated by the markets? This would typically require an extreme adjustment of the current...

Ngày tải lên: 06/03/2014, 02:21

... complete description of the development of the interest- rate series in What Was the Interest Rate Then? The objective of the project was to generate interest- rate series for the United States and ... change, daily. There were two call-loan rates, the rate on new loans (the “new rate ) and the rate on renewal of existing loans (the “renewal rate ). The renewal rate was by far the more important. ... better. 2. Across Interest Rates The criterion for the selection of the interest- rate series for a given period differs for the short-term and long-term concepts. For the short-term concepts, the criterion...

Ngày tải lên: 06/03/2014, 14:20

... based upon their views on the direction of interest rates. What are interest rate options? Interest Rate Options are options on the spot yield of U.S. Treasury securities. Available to meet the investor’s ... lower forward rate in the far month than in the nearby month. If the difference in forward rates is large enough to offset the time value associated with the longer expiration, then the premium on the longer ... for the option position to become profitable. In the following examples, we present a variety of possible option strategies for different interest rate forecasts. These are only a few of the strategies...

Ngày tải lên: 06/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 15/03/2014, 14:20

... proxy for the annual interest rate, we therefore need to multiply the quarterly interest rate by four. Hence, if we had used an annual interest rate, the coefficient for the interest rate difference ... increased the interest rate when there have been a depreciating pressure, and reduced the interest rate when there was an appreciation pressure. An increase in the interest rate differential has therefore ... i a =4i q +6i q 2 +4i q 3 +i q 4 >4i q . The factor we have to multiply the quarterly interest rate is therefore a bit higher than 4 (and depending on the interest rate) , and the corresponding coefficient for the interest...

Ngày tải lên: 15/02/2014, 05:20

... on the exposure to interest rate risk. Above, we investigated the system- 10 in the systematic component of the exposure to interest rate risk μ(t) or whether the com- position of banks in the ... 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 ... cooperative banks). The results of the between-group model do not indicate that banks with high interest rate exposure tend to have a high interest margin. It appears that the interest margin is not...

Ngày tải lên: 16/02/2014, 06:20

... are computed under the assumption that the other variables are at their sample means. Of course, if the business cycle is at neutral, interest rates are at their mean, and the exchange rate is stable, ... large. Next we derive the equation estimated below. Let i t denote the repo rate and i T t the Governing Council’s “target” for the repo rate. These may differ because the ECB and most other central banks 3 For ... data, which, unless otherwise noted, was taken from the ECB’s web site. As noted above, the lagged level of the repo rate and the change in the repo rate are used as regressors in the equations we...

Ngày tải lên: 17/02/2014, 03:20

... While the interest rate rule is the same as when the central bank announces its expected future interest rate, the yield curve no longer matches the central bank forecast of the interest rate ... imply the same interest and inflation rates. Indeed, the information sets of the central bank and of the private sector change with the transparency regime. Vol. 4 No. 3 The Expected Interest Rate ... and the private sector. The results imply that neither side can ever fully recover the information of the other side by simply observing its actions the private sector observes the interest rate...

Ngày tải lên: 17/02/2014, 03:20

... following the adoption of the common currency had a comparable effect). (iii) Increased interest rate exposures The third consequence of low long-term rates is that interest rate exposures in the ... leverage in interest rate exposures, the more attentive investors must be to the interest rate environment. When interest rate expectations change, attempts by investors to close or to hedge their ... Report sided with the economists – and against the Treasury. A key conclusion was that the structure of interest rates rather than the supply of money [was] the centre piece of the monetary mechanism.”...

Ngày tải lên: 17/02/2014, 03:20

... circumscribe the interest rate rule so that the limiting sum in the solution for the inflation rate in (15) is finite as we look further and further ahead. 13 In the current context, this means that the ... between the expected growth rate of output (or aggregate demand) and the real interest rate, rather than a connection between the level of output and the real interest rate. (That is, the standard ... of the modern approach to consumption. In these settings, the natural real interest rate, r , would be determined by the rate of time preference, the real growth rate of the economy, and the...

Ngày tải lên: 06/03/2014, 02:21

... OHGJHWUDQVSDUHQF\  (FRQRPLFVRI*RYHUQDQFHSS 5HIHUHQFHV :25.,1*3$3(51R 19 *LDQQRQL03DQG:RRGIRUG0 2SWLPDO,QIODWLRQ7DUJHWLQJ5XOHVLQ ĵ7KH ,QIODWLRQ7DUJHWLQJ'HEDWHĵ%HQ%HUQDQNHDQG0LFKDHO:RRGIRUGHGV&KLFDJR 8QLYHUVLW\RI&KLFDJR3UHVV *RRGIULHQG0 0RQHWDU\0\VWLTXH6HFUHF\DQG&HQWUDO%DQNLQJ -RXUQDORI 0RQHWDU\(FRQRPLFV *RRGKDUW&$( 0RQHWDU\7UDQVPLVVLRQ/DJVDQGWKH)RUPXODWLRQRIWKH3ROLF\ Decision on Interest Rates )HGHUDO5HVHUYH%DQNRI6W/RXLV5HYLHZ-XO\$XJXVW  *RVVHOLQ3/RW]$:\SORV]& The Expected Interest Rate Path: Alignment ...   6HH:HOW]IRUGHULYDWLRQDQGVROXWLRQRIDVLPLODUPRGHOXQGHUWKLVWLPLQJDVVXPSWLRQ Introduction National Bank of Poland 8 1 New Keynesian model with learning to show that publishing the interest rate path lowers the YDULDELOLW\RIRXWSXWDQGLQIODWLRQ*RVVHOLQHWDOXVHDPRGHOZLWKKHWHURJHQHURXV LQIRUPDWLRQWRVKRZWKDWWKHSXEOLFDWLRQRIDQLQWHUHVWUDWHSDWKPD\LQFUHDVHRUUHGXFH ZHOIDUHGHSHQGLQJRQWKHUHODWLYHTXDOLW\RIVLJQDOVUHFHLYHGE\WKHFHQWUDOEDQNDQGWKH SXEOLF7KHJDLQVLQFUHDVHZLWKWKHGLIILFXOW\WRLQIHUWKHREMHFWLYHVRIPRQHWDU\DXWKRULWLHV 7RRXUNQRZOHGJHQRVWXG\DWWHPSWHGWRFRPSDUHWKHJDLQVIURPSXEOLVKLQJPDFURHFRQRPLF SURMHFWLRQVDQGWKHLQWHUHVWUDWHSDWK2XUSDSHUWULHVWRILOOWKLVJDS On ... $  +1        +1    where P GHQRWHVLQIODWLRQjXQHPSOR\PHQW^ the nominal interest rate and the superscript ZVWDQGVIRUSRVVLEO\QRQUDWLRQDOH[SHFWDWLRQV)RUFRQYHQLHQFHZLWKRXWORVVRIJHQHUDOLW\ LQZKDWIROORZVWKHQDWXUDOUDWHRIXQHPSOR\PHQWj  ZLOOEHDVVXPHGWREH]HUR7KHWHUPV E P ...

Ngày tải lên: 06/03/2014, 02:21

... 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 ... 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 different from the rate ... bracketing the current level of a long-term interest rate. Interest rate swaption OTC option to enter into an interest rate swap contract, purchasing the right to pay or receive a certain fixed rate. ...

Ngày tải lên: 06/03/2014, 02:21

... calibrate option data, such as caps for the interest rate market and options on CDS’s in the credit market. The calibrations to the interest- rate market and to the credit market can be kept separate, ... 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 ... used to calibrate further products, similarly to the way the α parameters of the r model are used to calibrate cap prices after calibration of the zero-coupon curve in the interest rate market....

Ngày tải lên: 06/03/2014, 04:21

... Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate change predicted by the median expectation ... is the standard deviation calculated from individual analysts’ forecasts. The final five columns in the table indicate whether the interest rate announcement surprised the market according to the ... during the morning of the meeting. These results are qualitatively similar to those reported by Sager and Taylor (2004) in their high-frequency study of the exchange rate effects of ECB interest rate...

Ngày tải lên: 06/03/2014, 14:20