short-term interest rate model
Drift term and vertex point in single factor interest rate model
... long term mean of short term interest rates 𝛽 , is adjusted by the difference against the mathematical constant of ...current short term interest rates 𝑟 𝑡 and ...
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An Infinite Hidden Markov Model for Short term Interest Rates
... of short-term interest rates are important as they are a key input into pricing models of the term structure of interest ...time short-rate models to include Markov ...
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Transfer Money Policy through Credit Channels in Vietnam
... as interest rate channel, exchange rate channel, asset price channel, credit channel … The purpose of this research is to consider the effectiveness of transmission of monetary policy through credit ...
7
Lie Symmetry Methods in Finance - An Example of the Bond Pricing Equation
... one-factor interest-rate bond-pricing problem consist- ing of the partial differential equation and the final con- ...the short-term interest rate fol- lows a random walk which ...
6
Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach
... a model determination procedure based on the Granger concept of ...exchange rate regime of any country is not a good predictor of policy ...exchange rate regime of the country, fixed or flexible. ...
27
Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia
... the short and long-term equilibrium relationships between (1) Kuala Lumpur Composite Index, (2) exchange rate of MYRUSD, (3) inflation (represented by Consumer Price Index – CPI), (4) government bond ...
14
Stock Market Performance and the Macroeconomic Factors: Evidence from Colombo Stock Exchange (CSE)
... exchange rate (LKR/USD) and interest rate (Average weighted prime lending rate) were selected as independent variables for the ...Correction Model (VECM), and Granger causality models ...
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Time-dependent probabilistic seismic hazard assessment and its application to Hualien City, Taiwan
... seismicity rate evolution following the occur- rence of large events according to the rate-and-state friction ...long-term rate model, we considered a decluster- ing catalog according ...
16
Modelling the short term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
... of short-term interest ...the short-term interest rates have focused on a few lead countries, the interest rate characteristics of those countries are well ...US ...
29
Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model
... long-term interest rates move in the same direction as monetary policy actions based on a relatively old data-set; Gürkaynak et ...theoretical model to prove that depending on whether the shocks are ...
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Measuring monetary conditions in Europe: Use and limitations of the monetary conditions index
... their interest rates, imports, and trade ...includes model-consis- tent expectations concerning long-term interest rates, exchange rates, and ...wages. Term-structure equations in both ...
23
An Equity Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
... equity model [Hes93] with deterministic interest rates has established itself as one of the benchmark models for pricing equity ...deterministic interest rates in the Heston model is rather ...
25
Error Correction Based Panel Estimates of the Demand for Money of Selected Asian Countries with the Extreme Bounds Analysis
... This paper uses the extreme bounds analysis (EBA) of Leamer (1983 &1985) to analyze the robust determinants of the demand for money in a panel of 17 Asian countries for the period 1970 to 2009. These robust ...
31
The Pricing of Credit Derivatives and Estimation of Default Probability
... Vasicek model. Because of this, we first introduce the Vasicek model in ...Vasicek model is proposed by Vasicek (1977), to set a price of bond in the equilibrium model which is ...the ...
6
Optimal exchange rate policy in a low interest rate environment
... nominal interest rates are unusually low, as experienced by several Asian economies and Japan since July ...exchange rate channel on the transmission mechanism, may allow the central bank to achieve lower ...
32
Stability of demand for money function in Nepal: A cointegration and error correction modeling approach
... Correction Model (ECM) can be derived from ARDL through a simple linear transformation (Banerjee ...the short-run dynamics with the long run equilibrium without losing long-run ...long-run model and ...
15
Fiscal policy, banks and the financial crisis. National Bank of Belgium Working Paper No. 234, October 2012
... The key novelty of the study is the quantitative analysis of fiscal policy, in an economy in which the health of the banking system is a key determinant of interest rates and real activity. We assume a rich fiscal ...
46
Negative Interest Rate and Mudarabah Investment Deposits Rate: A Short Essay
... system, the rate of return or interest rate tend to converge. Second, although from theoretical ground it is not acceptable but when Islamic banks set expected mudarabah deposit profit rates, they ...
9
Testing the permanent income hypothesis in the developing and developed countries: A comparison between Fiji and Australia
... Consumption expenditure is the largest component of output and the marginal propensity to consume (M P C) determines the size of the mul- tiplier and the dynamic effects of shocks to the economy. If the multi- plier is ...
15
Risk Premium, Interest Rate Differential, and Subsidized Lending in Pakistan
... survival rate of the firms, helping them to compete in international markets by maintaining their comparative ...long term sustainable economic ...Long Term Financing Facility (LTFF) for capacity ...
26