Interest Rate Research Papers - Academia.edu (original) (raw)

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- Economic Theory, Applied Economics, Financial Crisis, Relationship lending
- by David Laibson
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- Microeconomics, Developing Country, Interest Rate

Central banks’ liquidity management plays a crucial role in the implementation of monetary policy. In most countries central banks influence short term interest rates through determining the equilibrium conditions of supply and demand in the market for bank reserves (liquidity). This article describes the liquidity management practice of the National Bank of Hungary in the period of 1998-2001. This period is characterized by two particular circumstances. First, there is a substantial liquidity surplus, therefore the Bank influences market interest rates using the liabilities side instruments of its balance sheet. Second, as a result of the narrow-band exchange rate regime and the fact that the Treasury Account is held with the Bank, the amount of liquidity is highly volatile and hard to forecast. The article explains how the Bank forecasts liquidity and the movements of overnight interest rate in these circumstances, and it describes the development of monetary policy instruments ap...

- by Judit Antal
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- Monetary Policy, Management Practice, Central Bank, Interest Rate
- by Aditya Sharma
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- Computer Science, Economics, Modeling, Multidisciplinary

Fair valuation is becoming a major concern for actuaries, especially in the per- spective of IAS norms. One of the key aspects in this context is the simulta- neous analysis of assets and liabilities in any sound actuarial valuation. The aim of this paper is to illustrate these concepts, by comparing three common ways of giving bonus in life insurance with profit: reversionary, cash or terminal. For each participation scheme, we compute the fair value of the contract taking into account liability parameters (guaranteed interest rate and participation level) as well as asset parameters (market conditions and investment strategy). We find some equilibrium conditions between all those coefficients and com- pare, from an analytical and numerical point of view, the systems of bonus. Developments are made first in the classical binomial model and then extended in a Black and Scholes economy.

- by Pierre Devolder
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- Profitability, Life Insurance, Fair Value, Investment Strategies
- by Fita Aldaba
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- Business, Technology development, Small and Medium Enterprise, Business environment
- by Dariusz Gatarek
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- Applied Mathematics, Economics, Mathematical Finance, Key words
- by Francesco Spinelli
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- Economics, Political Science, Economic Theory, United Kingdom
- by Gary Burtless
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- Financial Market, Interest Rate

Factores como la aparición en el mercado de nuevas formas de financiación, los nuevos patrones de consumo y ahorro, o la estabilidad macroeconómica de los últimos años han impulsado el incremento del endeudamiento de los hogares. Sin... more

- by Alazne Alberdi
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- Estudios de Género, Degeneration, Interest Rate, Macroeconomic Stability

This paper evaluates whether Nigeria is ready to adopt inflation targeting (IT), a monetary policy framework that several emerging markets have adopted over the last one decade. The paper reviews literature on selected conditions for... more

- by usman aliyu
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- Economics, Monetary Policy, Emerging Market, Impulse response
- by Lawrence Christiano
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- Economics, Economic Theory, Applied Economics, Proceedings

We propose a new hierarchical approach to resolution scalable lossless and near-lossless (NLS) compression. It combines the adaptability of DPCM schemes with new hierarchical oriented predictors to provide resolution scalability with better compression performances than the usual hierarchical interpolation predictor or the wavelet transform. Because the proposed hierarchical oriented prediction (HOP) is not really efficient on smooth images, we also

- by C. Labit
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- Cognitive Science, Algorithms, Medical Imaging, Computed Tomography
- by Huu Dung Nguyen
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- Vietnam, Applied Economics, Land Use, Profitability
- by Haluk Unal
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- Capital Structure, Model Calibration, Credit Spread, Interest Rate
- by patrick eke
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- Social Justice, Human Resources, Transactional Leadership, Economy
- by Raghuveer Sharma
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- Accounting, Economic Growth, Cancer, Environmental Health
- by Helmut Lütkepohl
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- Economics, Empirical Economics, Seasonality, Impulse response
- by Ian Cooper
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- Finance, Default Risk, Interest Rate, Numerical Solution
- by Justin Lin and +1
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- International Economics, Natural Resources, International Trade, International Macroeconomics
- by Fernando Mierzejewski
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- Economics, Monetary Policy, Economic Capital, Value at Risk

RESUMO O presente artigo pretende apresentar os principais resultados de um estudo empírico de modelação da série cronológica da taxa de juro nominal da operação activa do crédito a particulares em Portugal realizado por Caiado (1997). Com base na metodologia dos modelos ARIMA com variáveis de intervenção e detecção de outliers , vai avaliar-se o impacto de alterações de relevo

- by Jorge Caiado
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- Time Series, European Union, Outlier detection, Interest Rate
- by Dr Mahyudin Ahmad
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- Asian Financial Crisis, Financial Market, Moving average, Interest Rate
- by Graciela L Kaminsky
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- Economics, Applied Economics, Financial Crisis, Early Warning
- by Vaibhav Chaturvedi
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- Economic Growth, South Asia, Panel Data, Development policy
- by Gianpaolo Rossini and +1
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- Emerging Economies, Applied Economics, External Debt, Current Account Deficit
- by Meltem Ozturan
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- Finance, Cognitive Science, Machine Learning, Data Mining
- by jae sim
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- Economics, Monetary Economics, Applied Economics, Monetary Policy

This study investigates the response of unemployment to selective macroeconomics shocks for the period of 2000:Q1-2010:Q1. It finds that positive shocks to growth, growth in export and inflation reduce unemployment. On the other hand, shocks to exchange rate, interbank interest rate and money supply increase unemployment. The results are consistent with Phillips curve and Okun's Law suggestion. Namely, negative relationship between output and unemployment and positive relationship between unemployment and inflation are found. Also, this study finds consistent results with earlier literature.

- by Taylan Doğan
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- Economics, Financial Economics, Macroeconomic Variables, Interest Rate

This working paper gathers three projects of articles which have as a same subject inflation expectations and their use within the framework of monetary policy. It appeared convenient to synthesize them in the form of three parts of only one document, thus making it possible to the reader to have a vision as complete as possible on this question. The first part is of a theoretical nature and presents the literature. The second points out this literature, specifies the characteristics of a monetary policy founded on a direct target of inflation, and proposes an econometric analyse in the French case. The third extends this methodology to the case of the euro zone and shows the difficulties of it.

- by Jean-françois Goux
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- Monetary Policy, Inflation expectations, Cointegration, Interest Rate

We undertake an empirical assessment of the competitiveness and market contestability of the major British banks post-1980 - a period of major structural changes, mergers, demutualizations and acquisitions. Specifically, we estimate and test the Rosse-Panzar model on a panel of 12 banks for the period 1980-2004,furthermore, we buttress the Rosse-Panzar methodology by estimating the ratio of Lerner indices obtained from interest rate setting equations. The sample of banks corresponds closely to the major British Banking Groups as specified by the British Banking Association. Our results confirm the consensus finding that the British banking market can be described as monopolistically competitive. We also find that on the core business of balance sheet activity, British banks have remained as competitive in the 1990s as in the 1980s. This finding is further supported by evidence from the ratio of Lerner indices for loans and deposits. However, we find a significant worsening of compet...

- by Kent Matthews
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- Business, Structural Change, Interest Rate, Monopolistic Competition

The quality of mortgage loans had been deteriorating since 2001, when interest rates were consistently below 3 per cent for several years. Housing prices dropped substantially since their high in 2006. This article examines the current credit crisis against the background of recent financial meltdowns in wealthy and emerging markets. We argue that securitisation involves various tensions between market participants and is based on several different criteria that gauge liquidity and creditworthiness. Most often, liquidity and credit enhancement are part of the deal. The problems in the subprime market led directly to the Fed Rescue, in which it guaranteed $30 billion, although Fed's authority over investment banks is murky. The United States had been experiencing subprime crisis, and that affect EU ’s policies on interest rates and exchange rates. The situation also influence Romanian creditors to study more closely a borrower's capability to pay the loan. The possible implic...

- by Antonia Colibasanu
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- Economics, Investment Banking, Emerging Market, United States

1. INTRODUCTION THIS WORK PROVIDES sufficient conditions on agents' primitives for the validity of the Consumption-Based Capital Asset Pricing Model (CCAPM) of Breeden (1979). As a necessary condition, Breeden showed that in a... more

- by Ismunandar hasan
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- Marketing, Finance, Econometrics, Economic Theory

Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy, Portugal and Spain) and non-EMU members (Norway, Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q3. For each country, we extract the long

- by Periklis Gogas
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- Forecasting, Applied Economics, Monetary Policy, Recession
- by Jeromin Zettelmeyer
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- Monetary Economics, Economic Theory, Applied Economics, Monetary Policy
- by Idrees Khawaja
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- Panel Data, Monetary Policy, Banking Industry, Central Bank
- by Caio Almeida
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- Econometrics, Time Series, Forecasting, Stochastic Volatility
- by Tom Bernhardsen
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- Applied Economics, Panel Data, Money and Finance, Interest Rate

This paper reviews recent developments in the management of government debt in the euro area, covering both theoretical and practical aspects. It focuses on key aspects of debt management; the objectives of debt management, its organisation, the maturity of debt, inflation-indexation, currency-denomination, the ownership of debt, and debt issuing and trading practices. Main adjustments include an increase in autonomy of

- by Guido Wolswijk
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- Euro Area, Foreign Ownership, Interest Rate, Indexation
- by Dimitri Papadimitriou
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- Empirical evidence, Interest Rate
- by zakaria moussa
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- Monetary Policy, Quantitative Easing, Interest Rate, Yield Curve
- by Tarek Ork
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- Financial Economics, Public Debt, Banking Crisis, Profitability
- by James Myers
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- Finance, Time Series, Interest Rate, Risk Premia
- by Brigit Helms
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- Management Information Systems, Accounting, Microfinance, Human Resource Management