trade exchange rates budget balances and interest rates

Ngày tải lên: 06/03/2014, 02:21

... between exchange rates and interest rates is negative for expansionary depreciations and positive for contractionary ones The exact timing of such response of interest rates and exchange rates ... between exchange rates and interest rates is negative for expansionary depreciations and positive for contractionary ones The exact timing of such response of interest rates and exchange rates ... involving the link between interest rates and exchange rates in EMEs Figures through show the behaviour of real e¤ective exchange rates (REER) and short-term interest rates - together with some...

Ngày tải lên: 22/03/2014, 23:20

... Figure 11.7 Covered interest rate parity, 1965-89 Source: as figure 11.6 INTEREST RATES AND EXCHANGE RATES 241 t UK and US interest rates move together fairly closely Covered interest rate parity ... international trade It is, for obvious reasons, calculated only for the years of floating exchange rates Movements in these exchange rates are discussed in the next section INTEREST RATES AND EXCHANGE RATES ... within the EMS 11.3 EXCHANGE RATES Real and nominal exchange rates Some of the main exchange rates against sterling are shown in figure 11.8 The problem with using any individual exchange rate to...

Ngày tải lên: 29/03/2014, 01:20

... further increases in dollar-denominated assets and to a rise in U.S interest rates and the exchange rate At any given set of interest rates and exchange rates such as point El in figure 1.2, international ... developments, outlook, and policy Kansas City 1985b The dynamic interaction of exchange rates and trade flows In T Peeters, P Praet, and P Reding, eds., International trade and exchange rates, pp 133-60 ... movements in real interest rates and the real exchange rate The focus is on real interest rates, because these have been the source of surprise and concern If nominal interest rates had simply...

Ngày tải lên: 11/06/2014, 17:00

... changes in interest rates and default rates, with the correlations between changes in short rates and default rates being significantly negative When interest rates decrease, default rates increase ... BETWEEN INTEREST RATES AND AGGREGATE DEFAULT RATES This section describes the relationship between interest rates and aggregate default rates, including contemporaneous correlations, and correlations ... default rates and real interest rate, and a strong positive correlation between default rate and lagged 2-year real interest rate We find negative correlation between changes in interest rates and...

Ngày tải lên: 26/10/2012, 11:21

... Bates (1996a,b), and Bakshi, Cao and Chen (1997), and examples in discrete-time include Taylor (1986), Amin and Ng (1993), Harvey, Ruiz and Shephard (1994), and Kim, Shephard and Chib (1998) Review ... with logarithmic interest rates so that the nominal interest rates are restricted to be positive, as negative nominal interest rates are ruled out by a simple arbitrage argument The interest rate ... through random noises st and rt via their correlation λ1 ; Finally, parameters λ2 and λ3 are to measure the asymmetry of conditional volatility for stock returns and interest rates When st and ηst...

Ngày tải lên: 21/12/2013, 01:20

... expectations of interest rates and inflation Interest rate perceptions, expectations and movements in retail rates Question of the Bank/GfK NOP survey asks respondents ‘how would you say interest rates ... degree to which people’s perceptions and expectations of interest rates track actual movements in retail rates; and (b) the speed with which people expect interest rates to affect inflation The responses ... is likely to be complex and hard to identify Research and analysis Public attitudes to inflation and interest rates One hypothesis is that if people expect interest rates to be higher, they...

Ngày tải lên: 15/02/2014, 05:20

... household time and sight deposit effective stock rates by the outstanding balances (c) Weights together the household secured and unsecured borrowing effective stock rates by the outstanding balances ... expectations Research and analysis Public attitudes to inflation and interest rates Chart 13 Perceptions and expectations of changes in interest rates Net percentage balances( a) 100 155 Chart ... Research and analysis Public attitudes to inflation and interest rates The second section summarises the public’s attitudes to interest rates and the conduct of monetary policy...

Ngày tải lên: 15/02/2014, 05:20

... Money, interest rates, and exchange rates with endogenously segmented markets Journal of Political Economy Alvarez, Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inflation ... the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing Countries in Various ... of interest rates Do money and interest rates have the same relationship when central banks use interest rate rules rather than money supply rules? Yes This can be seen by incorporating an interest...

Ngày tải lên: 15/02/2014, 06:20

... Bonds and Exchange Rates , Journal of International Money and Finance, 22, 307-341 Faust, J., Rogers, J., Wang, S., Wright, J (2003), “The High Frequency Response of Exchange Rates and Interest Rates ... class and we find that the estimates have the expected sign and magnitude For equations (21) and (24) for short-term interest rates, one would expect that a positive shock to short rates, long rates ... large and highly significant in the reduced-form, as the effects of long rates on short rates within each economy and from short rates to long rates across countries are sizeable Highly interesting...

Ngày tải lên: 16/02/2014, 02:20

... (Finland, Ireland, Spain, Switzerland and the US) have interest rates that have, on average, been lower than Taylorimplied rates over the sample period In Finland, interest rates remained relatively ... period, interest rates deviated from the Taylor-implied rates for a maximum duration of nine quarters in Canada and seven quarters in Germany (Table 3) For Finland and Spain, on the other hand, interest ... the early 1980s and similarly to Finland, have remained consistently too low since 1999 In Switzerland and the US, rates were generally too low in the late 1980s and early 1990s and again from...

Ngày tải lên: 17/02/2014, 03:20

... Rudebusch (1998)] Interest rates one-day response to monetary policy This section first revisits the basic relationship between target rate changes and market interest rates, and confirms its apparent ... policy on interest rates Roley and Sellon (1995), for example, conclude that “although casual observation suggests a close connection : : :, the relationship between Fed actions and long-term interest ... relationship between target rate changes and other interest rates For example, in applying the Cook and Hahn event-study approach to the 1987–1995 period, Roley and Sellon (1995) found that the bond...

Ngày tải lên: 06/03/2014, 02:21

... allowed to be different in expansions and recessions, periods of high or low inflation and periods of high and low interest rates While regime-switching and time-varying models can account for ... ˆ Chib (1995) and Chib and Jeliazkov (2001) we proceed by factorising ln G Ξ\Zt into conditional and marginal densities of various parameter blocks and using additional and Gibbs and Metropolis ... contains 43 variables that represent data on real activity, inflation, money supply, interest rates and exchange rates This data set is chosen as it is consistently available over the sample period...

Ngày tải lên: 06/03/2014, 14:20

... banks’ interest rates ∗ ∗ ∗ {rdi , rd∗ , rli , rli }1 , interest rate indexes {Rd , Rd , Rl , Rl } and loan and dei=0 i posit demands {d, d∗ , l, l∗ } such that given interest rates, aggregate demand ... loan rates and i ∗ ∗ di and li are the demand for bank i’s foreign currency deposits and loans ∗ ∗ Rd and Rl are the respective interest rate indexes 2.3 Banks Each bank i chooses deposit and ... real exchange rate and inflation, which were assumed to be equal The correlation of real returns and real exchange rate (ρM,S ), and real returns and inflation (ρM,π ) are set to be equal to 0.4 and...

Ngày tải lên: 22/03/2014, 23:20

... Money, interest rates, and exchange rates with endogenously segmented markets Journal of Political Economy Alvarez, Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inflation ... the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing Countries in Various ... of interest rates Do money and interest rates have the same relationship when central banks use interest rate rules rather than money supply rules? Yes This can be seen by incorporating an interest...

Ngày tải lên: 22/03/2014, 23:20

... Rose (1988), Hall, Anderson and Granger (1992), and Konishi, Ramey and Granger (1993) for short-term rates, and Mehra (1994) and Campbell and Shiller (1987) for long-term rates 18 Table presents ... credit spreads respond to interest rate movements We find that corporate rates and government rates are cointegrated and the relation between credit spreads and Treasury rates depends on the time ... rates eventually produces a proportionately larger rise in corporate rates This widens the credit spread and induces a positive relation between spreads and Treasury rates These results are interesting...

Ngày tải lên: 22/03/2014, 23:20

... lending and deposit rates) and ex post spreads (being the difference between realised interest income and interest costs) Both approaches have advantages and disadvantages Since we are interested ... the aggregate interest rate is used, calculated as a weighted average of the available interest rates on denar loans (enterprises and households) and interest rates on total foreign exchange loans ... consumption and investment, and hence of the financing capital accumulation and technological innovations, aimed at medium-term productivity growth and more dynamic and sustainable rates of economic...

Ngày tải lên: 22/03/2014, 23:20

... Integrals and Hamiltonians for Options and Interest Rates This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the ... of interest rates models Quantum field theory of forward interest rates 7.1 Quantum field theory 7.2 Forward interest rates action 7.3 Field theory action for linear forward rates 7.4 Forward interest ... forward interest rates 10.1 Forward interest rates Hamiltonian 10.2 State space for the forward interest rates 10.3 Treasury Bond state vectors 10.4 Hamiltonian for linear and nonlinear forward rates...

Ngày tải lên: 23/03/2014, 12:20

... nontraded goods (as nontraded consumption goods and retail services) has important implications for both exchange rate volatility and for cross-correlations of exchange rates and terms of trade ... more traded goods and a smaller exchange rate depreciation is needed to equate the demand and supply of foreign traded goods As a consequence, exchange rates 28 See, for instance, Chari, Kehoe, and ... varieties of tradable and nontraded goods, PT,t (i) and PN,t (i), the demand functions for each individual variety of tradable and nontraded goods, cT,t (i) and cN,t (i), and the consumption-based...

Ngày tải lên: 30/03/2014, 06:20

... Finance and Economics - Issue 38 (2010) 152 3.2 Time Series Model of the Interest Rate As suggested by Engle and Lee (1993), we set up an ARIMA model for interest rates and then retrieve interest ... between oil price changes and bond returns, the relationship between oil price changes and the growth of interest rates, and the relationship between oil price changes and interest rate volatility, ... bond returns, interest rates, and interest rate volatility) Models Granger Causality GOIL and GBOND GBOND = f ( a , b ) a and b mean the lag lengths chosen for the oil variable and bond variable...

Ngày tải lên: 13/07/2014, 21:13