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1
Bottazzi, Laura. "Essays on exchange rate targets and interest rates." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12879.
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2
Alexius, Annika. "Essays on exchange rates, prices and interest rates." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 1997. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-862.
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3
Chantapacdepong, Pornpinun. "Essays in interest rates, exchange rates and savings." Thesis, University of Bristol, 2007. http://hdl.handle.net/1983/2ca48335-de06-42e6-a9fe-05e13bfdc6ab.
Повний текст джерелаАнотація:
This thesis studies the behaviour of interest rates in government bonds markets, foreign exchange rates and national savings. There are three main chapters in the thesis. The first chapter consists of a comparative study of government securities and risk. It generates monthly interest rate risk premium data and examines their determinants. The results show that the risk premia are time varying and also vary considerably across sample countries. In particular, countries with better financial development and higher income generally have lower risk premia of government assets. Additionally, the risk premia are significantly affected by macroeconomic circumstances, especially economic growth and the real effective exchange rate.
4
Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.
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5
Jitmaneeroj, Boonlert. "Survey Expectations ot Interest Rates." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.522080.
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6
MIAO, ZAN. "CIR Modeling of Interest Rates." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-79154.
Повний текст джерелаАнотація:
Short-term interest rate models within one-year financing maturity are considered. In this thesis, we mainly study two short-term interest rate models, the Cox-Ingersoll-Ross model (CIR model) and the Vasicek model. The CIR model is evaluated by numerical simulations based on applying the Euler approximation method and an exact algorithm. By using an ordinary least squares method we can find an initial start value for implementation of a numerical estimate of parameters that maximize the likelihood. Similarly applying those methods to the Vaˇs ́ıˇcek model, we compare the two models with empirical data based on three-month money market rates.
7
Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.
Повний текст джерелаАнотація:
In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT.
Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefore, as the political interest rate would be insufficient in the calculation of the effect of monetary policy on loan interest rates of the banks, Government Dept Securities&rsquopremiums are used instead of the political interest rates in this study to make it reflect the policies of central bank more clearly as a whole. Among the Government Dept Securities that have different maturity structure, benchmark bonds that are adapted to the expected political interest rate changes and that react to the unexpected interest rate changes at the high rate (reaction coefficient 0.983) are used. In order to weight the cointegration relation between interest rates, unrestricted error correction model is established and it is determined by Bound Test that there is a long-term relation between each interest rate and interest rate of benchmark bond. After a cointegration relation is determined among the serials, autoregressive distributed lag model is used to determine the level of transitivity and it is determined that monetary policy decisions affect the banking interest rate at 77% level and by 13 weeks delay on average.
8
Lekkos, Ilias. "Empirical evidence on interest rate dynamics : evidence from USD, DM, GBP and JPY interest rates." Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268125.
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9
Hyll, Magnus. "Essays on the term structure of interest rates." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2000. http://www.hhs.se/efi/summary/548.htm/.
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10
Gruber, Peter. "Market expectations of short interest rates." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03608056001/$FILE/03608056001.pdf.
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11
Kulish, Mariano. "Money, interest rates, and monetary policy." Thesis, Boston College, 2005. http://hdl.handle.net/2345/49.
Повний текст джерелаАнотація:
Thesis advisor: Peter N. IrelandThis dissertation contains two independent and self contained essays in monetary economics. Chapter 1: "The New Keynesian Model and The Term Structure of Interest Rates" The first essay studies the ability of a standard New Keynesian model to reproduce the behavior of the term structure of interest rates for the U.S. economy. The model is consistent with important features of the data. The version of the expectations hypothesis embodied in the model does a good job in explaining the patterns of correlations between nominal interest rates of various maturities. Other aspects, such as the volatility of, both nominal and real, long-term interest rates as well as the correlations between nominal interest rates and output, are not appropriately captured by the model. Chapter 2: "Should Monetary Policy Use Long-Term Rates?" The second essay studies two roles that long-term nominal interest rates can play in the conduct of monetary policy in a New Keynesian model. The first role allows long-term rates to enter the reaction function of the monetary authority. The second role considers the possibility of using long-term rates as instruments of policy. It is shown that in both cases a unique rational expectations equilibrium exists. Reacting to movements in long yields does not improve macroeconomic performance as measured by the loss function. However, long-term rates turn out to be better instruments when the relative concern of the monetary authority for inflation volatility is high
Thesis (PhD) — Boston College, 2005
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
12
Nikolic, Marko, and Miriam Homsi. "Negative Interest Rates Effect Economic Stability." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40911.
Повний текст джерелаАнотація:
Today's monetary policy is a historic one, where the introduction of negative interest rates has started a new "age" of unconventional monetary policy and some argue that there is a need for further unconventional monetary tools. The purpose of this thesis is to analyze negative interest rates, how they came to be, what long-term eect they have on economic stability and if its possible to get out. We do this by analyzing existing theoretical and empirical research, including a theoretical model based on household consumption, a cost of money function and an illustration of the liquidity trap. Thereby the thesis concludes that the short term positive eects of negative interest rate policy get exhausted in the long-term as the negative eects increase over time, thus creating an environment of excessive borrowing both by consumers and governments that might lead to instability and economic downturn in the long-term. Furthermore, the negative interest rate policy is creating a diculty of getting out of the negative interest rate environment because the consumers and the rms have gotten used to the "cheap money" and might have hard time nancing day to day operations in normal interest rate world.
13
O???Brien, Peter Banking & Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.
Повний текст джерелаАнотація:
This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
14
Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.
Повний текст джерелаАнотація:
This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that real exchange rates are the adjusting variables for Italy, Switzerland, Belgium and Israel. Consistent with an endogenous response of domestic interest rates to a real exchange rate shock policy rule, real interest rate differentials are found to be endogenous for the parameters of the cointegration vector for Canada, Chile and Norway.
15
Ho, Raymond Wai Ming. "Fixed rate mortgage prepayment and the term structure of interest rates." Thesis, Imperial College London, 1998. http://hdl.handle.net/10044/1/7384.
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16
Fendel, Ralf. "Monetary policy, interest rate rules, and the term structure of interest rates : theoretical considerations and empirical implications /." Frankfurt am Main [u.a.] : Lang, 2007. http://www.loc.gov/catdir/toc/fy0709/2007416149.html.
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17
Gogala, Jaka. "Low-factor market models of interest rates." Thesis, University of Warwick, 2015. http://wrap.warwick.ac.uk/81986/.
Повний текст джерелаАнотація:
In this thesis we study three different, but interconnected low-factor market models: LIBOR market model, Markov-functional model, and two-currency Markov-functional model. The LIBOR market model (LMM) is one of the most popular term structure models. However, it suffers from a major drawback, it is high-dimensional. The problem of highdimensionality can be in part solved imposing a separability condition. We will be interested how the separability condition interacts with time-homogeneity, a desirable property of an LMM. We address this question by parametrising two- and three-factor separable and time-homogeneous LMMs and show that they are of practical interest. Markov-functional models (MFMs) are a computationally efficient alternative to the LMMs. We consider two aspects of the MFMs, implementation and specification. First we provide two new algorithms that can be used to implement the one-dimensional MFM under the terminal and the spot measure driven by a general diffusion process. Since the existing literature has been focused exclusively on the Gaussian driving processes our algorithms open the scope for new parameterisations. We then prove that the dynamics of the onedimensional MFM are only affected by the time dependence of the driving process, described by a copula, and not by its marginal distributions. We then shift our focus and show that the one-dimensional MFM under the terminal measure is closely related to the one-factor separable local-volatility LMM. Finally, we move our attention to the models of a two-currency economy. We propose a new three-factor model that we calibrate to the domestic and foreign caplet prices and the foreign exchange call options. To maintain the no-arbitrage condition while calibrating to foreign exchange market we propose a predictor-corrector type step. It is our conjecture that the predictor-corrector step converges, thus the model is well defined.
18
Hutton, Jay. "The term structure of Canadian interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ38534.pdf.
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19
Roszbach, Kasper. "Essays on banking, credit and interest rates." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1998. http://www.hhs.se/efi/summary/488.htm.
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20
Calvert, Paul Wesley. "The effect of inflation on interest rates." Thesis, Montana State University, 1988. http://etd.lib.montana.edu/etd/1988/calvert/CalvertP1988.pdf.
Повний текст джерелаАнотація:
This thesis addresses the effect of expected inflation on interest rates, and in so doing attempts to., replicate the findings of John Makin. In order to obtain an unbiased estimate of the effect of expected inflation on interest rates, other variables, such as inflation uncertainty, Federal budget deficits, the state of the business cycle and Federal Reserve policy, were included in the model. The model is a reduced form, modified IS-LM macroeconomic model with a money sub-model to separate expected from unexpected monetary policy. The regressions showed that a 1% change in expected inflation causes about a .915% change in short-term Treasury Bill yields; however, the results depend on the sample period and heteroscedasticity .correction employed. The point estimate of .915 for the expected inflation coefficient is similar to what many researchers have estimated. The coefficients for inflation uncertainty, the Federal budget deficits, and the business cycle were not significant. The attempt to replicate the results of John Makin was not successful. The R ² and coefficients for expected inflation and inflation uncertainty were different; however, the coefficients for unexpected monetary policy and the intercept term were quite similar.
21
Baker, Lesley J. "Life annuities under random rates of interest." [Johnson City, Tenn. : East Tennessee State University], 2001. http://etd-submit.etsu.edu/etd/theses/available/etd-0716101-164302/unrestricted/bakerl0809.pdf.
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22
Zhang, Hua 1962. "The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168.
Повний текст джерелаАнотація:
This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-factor empirical term structure model, based on 22 years of cross-maturity time series data. The results show that the price differences, between the well-known Vasicek, and Cox, Ingersoll and Ross models and the three-factor empirical model, for interest-rate sensitive securities are of substantial economic significance.
23
Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.
Повний текст джерелаАнотація:
This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The third essay examines the behavior of short-term riskless rate and models the risk free rate as a nonlinear trend stationary process. While addressing these issues, these essays account for: (1) finite sample bias; (2) Unit root and other nonstationary behaviors; (3) the role of nonlinear trend; and (4) the interrelations between different behaviors. Several new results have been gleaned from our analysis; we find that: (1) the spot exchange rates display a very slow mean aversion behavior, which implies the failure of the purchasing power parity; (2) there are positive autocorrelations across the long horizons overlapping returns increases overtime and then begin to decline at a very long horizon period; (3) the short-term riskless rate displays a nonlinear trend stationary process which is closer to driftless random walk behavior; (4) modifying the mean reverting shortterm interest rates models to a nonlinear trend stationary shows an extreme improvement and outperforms all suggested models; (5) the traditional tests for rational expectations and market efficiency in the foreign exchange markets are subject to size distortions; (6) we relate the rejection of market efficiency in the foreign exchange markets documented across most currencies to the existence of risk premium not to the rejection of rational expectation hypothesis.
24
Begum, Jahanara. "A theoretical and empirical study of real exchange rates and interest rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ31916.pdf.
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25
Galindo-Paliza, Luis Miguel Alejandro. "The demand for money, interest rates and the exchange rate in Mexico." Thesis, University of Newcastle Upon Tyne, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.241548.
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26
Bekdache, Basma Z. "Essays on the Term Structure of Interest Rates." Thesis, Boston College, 1994. http://hdl.handle.net/2345/1754.
Повний текст джерелаАнотація:
Thesis advisor: Christopher BaumIn the first essay, a multiprocess mixture model (MM) is used to explain the time variation in the relationship between forward rates and future spot rates. I find considerable support for modeling the relationship between one-month spot rates and forward rates in a timevarying framework using data for the U.S. Treasury Bill market for the period 1959 to 1991. The posterior probabilities from the MM model confirm that the period between October 1979 to 1982 represents a change in policy regime for the U.S. Federal Reserve. More specifically, the probabilities show that a structural change took place in the slope of the relationship between spot and forward rates. This is in accord with the term premium becoming more variable with the level of interest rates. The term structure relationship is found to be stable in the period after 1982 when the Fed returned to partial interest rate targeting. Finally, I find that the predictive power of forward rates varies considerably over time and that this power decreases significantly in the periods identified with regime changes. In the second essay, I compare seven term structure estimation methods empirically in terms of zero and forward rate curves as well as price- and yield-prediction accuracy. A marked difference in the performance of the models between in- and out-of-sample predictions is documented. Particularly, models that generate relatively smooth yield and forward rate curves do not perform well in-sample but produce the best out-of-sample forecasts. The results support the conclusion from a previous study that modeling the forward rate function as a cubic spline with adaptive parameters produces the best overall results. The most interesting finding is that the Neslon-Siegel model estimated from Treasury Strips with only three parameters can price coupon bonds out-of-sample more accurately than more complicated estimation methods fitted to coupon bonds
Thesis (PhD) — Boston College, 1994
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
27
Aroskar, Nisha. "Essays on the term structure of interest rates." Columbus, Ohio : Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1064238845.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Ohio State University, 2003.Title from first page of PDF file. Document formatted into pages; contains x, 143 p. : ill. Advisor: Paul Evans, Dept. of Economics. Includes bibliographical references (p. 136-143).
28
Huang, Shuhui. "Target zones and dynamic properties of interest rates." Thesis, Georgia Institute of Technology, 1995. http://hdl.handle.net/1853/28665.
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29
Han, Liang. "Collateralisation, interest rates and signalling in entrepreneurial finance." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/51523/.
Повний текст джерелаАнотація:
Berger and Udell (1990) made an important distinction between sorting-byobserved- risk (SBOR) and sorting-by-private-information (SBPI) as responses to asymmetric information in financing entrepreneurial ventures. The current research seeks not to distinguish, but to integrate, these responses in what is called Signalling and Self-Selection (SASS) model. By developing Bester’s (1985) model, the SASS model is one in which the type (high or low) of the entrepreneur is private information known only to the entrepreneur and the bank offers a menu of contracts as a self-selection mechanism. The SASS model proposes that high-type entrepreneurs, who have a high probability of success and high project returns, are more likely to choose a contract with high collateral but low interest rate. Low-type entrepreneurs, who have a low probability of success and low project returns, are more likely to choose a contract with low collateral but high interest rate. The SASS model predicts that the arrangement and choice of debt contracts is influenced by loan characteristics, signals transferred by entrepreneurs and the relationship between the entrepreneur and the bank. The 1998 U.S. Survey of Small Business Finances is used to empirically test the hypotheses derived from the SASS model. This research includes, for the first time, many personal characteristics of the entrepreneur in regressions seeking to explain collateralisation and interest rates. The empirical results imply that both the signalling process and the self-selection mechanism influence the outcome of entrepreneurial debt finance, which in turn depends on the scale of asymmetric information. Less risky entrepreneurs are more likely to pledge collateral, suggesting that private information strongly influences the collateralisation decision. It also seems that the signals of the entrepreneur are as important as the signals of the business, since entrepreneurs with ‘good’ signals enjoy more favourable contracts than those with ‘bad’ signals. The evidence from this thesis emphasises that there are considerable returns to the ‘good’ entrepreneur, in conditions of asymmetric information, in signalling her ability to the lender. Moreover, it also finds that relationship lending significantly reduces the interest rates charged on loans. Another contribution of this research is that, by investigating discouraged borrowers, it empirically examines the degree of problem of information asymmetries in small business financial markets, on which the above hypotheses tests are based. This research, for the first time, reports evidence that information asymmetries influence the discouragement of high-risk and low-risk small business from applying external finance in opposite directions. It also suggests that small business financial markets are informationally efficient because bad borrowers are more likely to be discouraged by symmetric information than good borrowers by asymmetric information.
30
GAMBIRASIO, RICARDO FIBE. "HIGH INTEREST RATES IN BRAZIL: A THEORETICAL APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9127@1.
Повний текст джерелаАнотація:
CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO
Esta dissertação visa propor e analisar, no contexto de modelos dinâmicos estocásticos de equilíbrio geral com rigidez de preços, possíveis explicações para o fato estilizado de que o juro no Brasil é excessivamente alto. As implicações de diferentes hipóteses aplicadas aos modelos serão analisadas através de funções de resposta a impulso (FRIs). Será analisada, quando possível, a evidência empírica disponível na literatura a favor ou contra cada hipótese, e as FRIs mostrarão o comportamento dinâmico da economia calibrada sob cada hipótese. São compatíveis com um juro real básico mais alto por um período prolongado as seguintes hipóteses: alta taxa subjetiva de desconto intertemporal, alta indexação de preços, baixa potência da política monetária, e diminuição da credibilidade do Banco Central frente o crescimento da dívida pública (um caso de dominância fiscal).
This work proposes and analyses, in the context of dynamic stochastic general equilibrium models with price rigidities, possible explanations for the stylized fact that interest rates in Brazil are exceedingly high. The implications of different hypothesis applied to the model are analyzed through impulse response functions (IRFs). Whenever possible, empirical evidence available in the literature for or against each hypothesis is analyzed, and the IRFs show the dynamical behavior of the economy calibrated accordingly. The following are consistent with a higher basic interest rate for an extended period: high subjective intertemporal discount rate, high price indexation, low monetary policy power, and decreasing Central Bank s credibility caused by public debt growth (an example of fiscal dominance).
31
MONTEIRO, ANA PAULA QUEIROGA. "WHO FORECASTS INTEREST RATES BETTER: TRADERS OR ECONOMISTS?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2011. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=17995@1.
Повний текст джерелаАнотація:
As taxas de juros representam uma das variáveis macroeconômicas mais
importantes, em especial para a condução da política monetária, ao influenciar
diretamente na determinação do custo do dinheiro e na formação de preço de
diversos produtos financeiros. Embora tenham sido desenvolvidos modelos de
previsão de taxas de juros, pouco ainda se apurou no sentido da medição da
capacidade preditiva das expectativas dos agentes de mercado quanto à taxa de
juros e sua interação com as taxas de juros futuros praticadas no mercado de
derivativos no Brasil. Nesse contexto surge o questionamento de quem prevê
melhor a taxa de juros: economistas, que estudam a economia e são responsáveis
pelas previsões das expectativas de mercado, ou operadores, que atuam na
economia e determinam o patamar das taxas no mercado futuro de taxas de juros?
Os resultados obtidos apresentam evidências de que, excetuando-se o período em
que ocorre elevação de juros, as expectativas de mercado dos economistas, em
geral, têm melhor capacidade preditiva das taxas de juros.Interest rates are one of the most important macroeconomic variables, especially for the conduction of monetary policy, directly influencing the cost of money and the pricing of several financial products. Although some predictive models of interest rates have been developed, little is found towards the measurement of the predictive capability of market agents’ expectations to interest rates and its interaction with interest rate futures negotiated in the derivatives market in Brazil. This dissertation analyzes who forecasts interest rates better: economists, who study the economy and forecasts market expectations of interest rates, or traders, who act in the economy and determine the level of rates in the interest rate futures market? The results provide evidence that, except for the period in which interest rates rise, market expectations of economists, in general, has better predictive power of future interest rates.
32
Straub, Ludwig (Ludwig Wilhelm). "Essays on inequality, interest rates and macroeconomic policies." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118064.
Повний текст джерелаАнотація:
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references.
This thesis consists of three chapters on inequality, interest rates and macroeconomic policies. The first chapter explores the macroeconomic consequences of the recent rise in permanent income inequality. First, I show that in many common macroeconomic models consumption is a linear function of permanent (labor) income. This implies that macroeconomic aggregates are neutral with respect to shifts in the distribution of permanent income. Motivated by this neutrality result, I develop novel approaches to test for linearity in U.S. household panel data. The estimates suggest an elasticity of 0.7, soundly rejecting linearity. I quantify the effects of this deviation from neutrality using a novel non-homothetic precautionary-savings model. In the model, the rise in U.S. permanent labor income inequality since the 1970s caused: (a) a decline in real interest rates of around 1%; (b) an increase in the wealth-to-GDP ratio of around 30%; (c) wealth inequality to rise almost as rapidly as it did in the data. The second chapter, joint with Sebastián Fanelli, develops a theory of foreign exchange interventions in a small open economy with limited capital mobility between home and foreign bond markets. Due to limited capital mobility, the central bank can implement nonzero bond spreads by managing its portfolio. Crucially, spreads are inherently costly as they allow foreign intermediaries to make carry-trade profits. Optimal interventions balance these costs with terms of trade benefits. We show that they lean against the wind of global capital flows to avoid excessive currency appreciation. Due to the convexity of the costs, interventions should be small and spread out, relying on credible promises (forward guidance) of future interventions. By contrast, excessive smoothing of the exchange rate path may create large spreads, inviting costly speculation. Finally, in a multi-country extension of our model, we find that the decentralized equilibrium features too much reserve accumulation and too low world interest rates, highlighting the importance of policy coordination. The third chapter, joint with Iván Werning, reconsiders the well-known Chamley-Judd result, according to which capital should not be taxed in the long run. For the main model in Judd (1985), we prove that the long run tax on capital is positive and significant, whenever the intertemporal elasticity of substitution is below one. The main model in Chamley (1986) imposes an upper bound on capital taxes. We provide conditions under which these constraints bind forever, implying positive long run taxes. When this is not the case, the long-run tax may be zero. However, if preferences are recursive and discounting is locally non-constant (e.g., not additively separable over time), a zero long-run capital tax limit must be accompanied by zero private wealth (zero tax base) or by zero labor taxes (first best). Finally, we explain why the equivalence of a positive capital tax with ever increasing consumption taxes does not provide a firm rationale against capital taxation.
by Ludwig Straub.
Ph. D.
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Meldrum, Andrew Christopher. "Essays on the term structure of interest rates." Thesis, University of Cambridge, 2012. https://www.repository.cam.ac.uk/handle/1810/283903.
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Cavaco, Francisco Ferreira. "Are negative interest rates on bank credit possible?" Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20570.
Повний текст джерелаАнотація:
Mestrado em Economia Monetária e FinanceiraNa atual estrutura monetária, os bancos centrais estão limitados no seu objetivo de assegurar estabilidade de preços e pleno emprego devido ao limite inferior zero nas taxas de juro nominais. Isto acontece porque taxas de juro nominais negativas nos depósitos bancários - condição necessária para alcançar taxas de juro nominais negativas no crédito bancário - causariam uma fuga de depósitos para dinheiro físico, pois o dinheiro físico paga uma taxa de juro nominal igual a zero. Para contrariar esta restrição, propomos uma nova arquitetura monetária que, ao tornar o banco central como a única fonte de financiamento para empréstimos bancários a taxa de juro negativa, irá permitir aos bancos conceder crédito a juros negativos de forma lucrativa - podendo estes manter as taxas de juros dos depósitos dos seus clientes a valores não negativos.
Under the current monetary framework, central banks are limited in their pursue of price stability and full employment due to the zero lower bound on nominal interest rates. This happens because negative nominal rates on bank deposits - deemed a necessary condition for negative nominal rates on bank credit - will cause a massive flight from deposits to cash, as cash pays zero nominal interest rates. To counter this constraint, we propose a new monetary architecture that by making the central bank the single source of funding for bank loans at negative nominal interest rates, enables banks to profitably extend credit at negative nominal rates - while still paying zero interest rates on their clients' deposits.
info:eu-repo/semantics/publishedVersion
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Aroskar, Nisha suhas. "Essays on the term structure of interest rates." The Ohio State University, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=osu1064238845.
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Kwon, Heon-Chul. "The time variant term premium of interest rates." The Ohio State University, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=osu1278525146.
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Croce, Roberto Maria. "Essays on Interest Rates and the Housing Market." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1305127738.
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Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.
Повний текст джерелаАнотація:
Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.
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Cao, Shuo. "Essays on the term structure of interest rates." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7324/.
Повний текст джерелаАнотація:
This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.
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Souza-Sobrinho, Nelson Ferreira. "Essays on interest rates, growth and business cycles." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1428847721&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Au, Chi Kwong. "Instant calibration to the stochastic volatility LIBOR market model /." View abstract or full-text, 2008. http://library.ust.hk/cgi/db/thesis.pl?MATH%202008%20AU.
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Chan, Kam Fong. "Modelling short-term interest rates and electricity spot prices /." [St. Lucia, Qld.], 2006. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe19289.pdf.
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Simonato, Jean-Guy. "Three essays on the term structure of interest rates." Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=28924.
Повний текст джерелаАнотація:
This dissertation is formed of three essays on the term structure of interest rates. The first essay compares Kalman filter and GMM methodologies for parameter estimation of log-linear term structure models. The second essay develops the maximum likelihood estimation of a deposit insurance pricing model with stochastic interest rates. The third essay examines the empirical performance of an equilibrium model of nominal bond prices with changing inflation regimes.
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Frank, Jean-Thomas. "The Dependence of Small European Countries' Interest Rates of the Development of European Interest Rate Switzerland and Denmark by Comparison /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00421669001/$FILE/00421669001.pdf.
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Chan, Lai Yee. "The influences of external factors on interest rates and exchange rates in industrialized countries." HKBU Institutional Repository, 2002. http://repository.hkbu.edu.hk/etd_ra/430.
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Skallsjö, Sven. "Essays on term structure and monetary policy." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-548.
Повний текст джерелаАнотація:
This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates.The pricing of interest rate swaps An interest rate swap is an agreement between two parties to exchange fix for floating interest rate payments for a certain period of time. Floating rate payments are made at a floating-rate index, e.g. the three-month interbank rate, while the fixed rate payment, the swap rate, is determined on the market. The swap rate may include a compensation for credit risk depending on the counterparty's credit quality, but in the standard agreement there is no exchange of principal, only interest is transacted, and this effectively reduces concerns about credit risk. The swap spread for a given maturity is the difference between the swap rate and the risk-free rate, measured as the yield on a government bond with similar cash flows. If the standard swap agreement entails negligible credit risk one might expect swap spreads to be low and stable, but market swap spreads vary over time. There are periods when swap spreads are low in accordance with the general theory, but there are also periods when swap spreads reach levels that seem high.The first chapter of this dissertation examines a setting where a positive swap spread arises as part of an equilibrium in a perfectly competitive capital market. The model is one of insurance under adverse selection. A firm that seeks debt financing can insure itself against interest rate risk either by borrowing long-term or by borrowing short-term and entering a pay fix - receive float interest rate swap. The latter alternative allows for a partial hedge as the firm can choose to swap only a fraction of the nominal amount. In this setting, if firms' credit quality and interest rate risk tolerance are correlated creditors can use the pricing of interest rate swaps as a screening device. A low-risk firm, being a firm with favorable private information, selects short-term borrowing and partial insurance. A high-risk firm, being a firm with less favorable prospects, is by assumption also less risk tolerant. It therefore has a higher demand for insurance and the equilibrium swap spread is set such that the high-risk firm finds it more beneficial to borrow long-term at a cost that exceeds the expected cost from short-term financing, but that provides a full insurance to interest rate risk. Monetary policy and the term structure of interest rates Taken separately monetary policy and term structure modeling are two well-established research areas each comprising a substantial amount of research. But relatively few attempts have been made to integrate the two. The last two chapters of this dissertation take the view that the conduct of monetary policy is an essential element in the determination of the term structure of interest rates, and that explicitly considering the role of amonetary authority in the analysis has a potential of enhancing our understanding of term structure dynamics, and its relation to macro-economic fundamentals in particular. This approach to the term structure is supported by the fact that the analytical framework developed in the literature on optimal monetary policy translates conveniently into a setting well suited for term structure analysis. Chapter 2 makes the point in the simplest setting. A standard model of optimal monetary policy is reformulated in continuous time. Combined with a parameterized form for the market price of risk this produces a standard term structure model with well-known characteristics. This model is estimated on US data for the period 1987 - 2002, treating state variables as latent factors of the term structure. The parameters that are estimated comprise parameters describing the monetary transmission mechanism, parameters describing the monetary authority's preferences and parameters describing the market price of risk. Our estimation technique differs from comparable estimations in the monetary policy literature as these typically take state variables to be directly observable measures of macro-economic aggregates. The results using term structure data are both similar and different to previous findings. The main difference when using term structure data is that the central bank's estimated policy is more aggressive, i.e. more responsive to changes in the underlying state variables.Chapter 3 is devoted to the zero bound on nominal interest rates. While the zero bound is well recognized in the literature on term structure modeling, not much has been said about term structure dynamics under the special circumstance that the short rate is close to zero. I find the optimal monetary policy approach to be particularly well suited for this analysis. The chapter studies a continuous time reduced form version of the monetary transmission mechanism. The monetary authority's optimization problem is formed according to two specifications, interest rate stabilization and interest rate smoothing. For the former the optimization problem is solved analytically, while numerical procedures are adopted forthe latter. The chapter then turns to study implications for the term structure under risk-neutrality. Term structure equations are solved numerically and implications for the term structure are discussed. Data for a low-interest rate country like Japan for 1996 - 2003 exhibits s-shaped yield curves and yield volatility curves. This shape is found to be consistent with a smoothing objective for the short rate.Diss. Stockholm : Handelshögskolan, 2004
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Tse, Ching-biu Alan. "The Hong Kong Government's interest rate policy : a political and economic perspective /." [Hong Kong : University of Hong Kong], 1986. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12323378.
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Hörmann, Markus [Verfasser]. "Liquidity, interest rates and optimal monetary policy / Markus Hörmann." Dortmund : Universitätsbibliothek Technische Universität Dortmund, 2011. http://d-nb.info/1011568276/34.
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Tung, Hsiang-ting, and 童湘婷. "Asymmetric Adjustment of Interest Rates." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/39za7r.
Повний текст джерелаАнотація:
碩士僑光科技大學
企業管理研究所
103
This study investigates of asymmetric adjustment of retail interest rates in short, medium and long terms take Taiwan area as example. The samples of this paper taken from the Taiwan Economic Report database, by monthly frequency data for the analysis, were used by ADF unit root test, Johansen co-integration test, Threshold co-integration test and Error-correction model, and so on for the purpose of this study. The empirical results show that all interest rates are integrated of order one non-steady state. Using the regression analysis and finding that retail interest rates respond from money market-call loan existence the presence of not complete pass-through of mark-up pricing mechanisms; and the longer the period of the deposit, the pass –through of degree greater. When adding the inflation rate as a threshold variable to consider the phenomenon of asymmetric interest rate in adjustment, we find that one month, three months, six months, nine months, 2 Yr. time save deposit and 3 Yr. time save deposit with money market-call loan are asymmetric (threshold) co-integration each other. And the short, medium rates will showed up, while very short-term (1 month time deposit) and long-term (3 Yr. time save deposit) will present downward.
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Pipatchaipoom, Onsurang Norrbin Stefan C. "The robustness of real interest rate parity tests to alternative measures of real interest rates." Diss., 2005. http://etd.lib.fsu.edu/theses/available/etd-05262005-140851.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Florida State University, 2005.Advisor: Dr. Stefan Norrbin, Florida State University, College of Social Sciences, Dept. of Economics. Title and description from dissertation home page (viewed Sept. 21, 2005). Document formatted into pages; contains xii,163 pages. Includes bibliographical references.