[PDF] Top 20 Exchange rate dynamics and the term structure of interest rates
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Exchange rate dynamics and the term structure of interest rates
... It follows that any empirical test of the relationship between the exchange rate and the term structure of interest rates necessitates the utilisation of a measure of the yield curve whi[r] ... See full document
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Term structure of interest rates with stickiness: a subdiffusion approach
... of term structure of interest rate models which is built on the subdiffusion ...spot rate is a function of a time changed diffusion process belonging to a symmetric pricing semigroup ... See full document
20
Federal Reserve Credibility and the Term Structure of Interest Rates
... three term structure factors that are commonly studied in the literature: level, slope and ...month rate, the slope as (10 year - 3 month) and the curvature as (10 year + 3 month - 2*3 ...the ... See full document
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Modelling the dynamics of the term structure of interest rates
... This paper seeks to model the dynamics of the term structure of interest rates, that is, the set of prices of pure discount zero-coupon bonds that differ only in their time to maturity..[r] ... See full document
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Term structure dynamics at low and negative interest rates—evidence from Switzerland
... foreign exchange mar- ket to counter appreciation pressure on the Swiss ...simple term structure ...long-term interest rates in the same ...the term premium (which in the ... See full document
17
Three models of the term structure of interest rates
... We can classify models of the term structure of interest rates in many different ways, for instance in terms of the number of factors, or the underlying framework the general equilibrium[r] ... See full document
217
Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model
... the interest rate related instruments, for example: Söderlind and Svensson (1997); Brooke et ...short rates for the next 6 months to 1 year is most informative about the future monetary policy, and ... See full document
35
Estimation and testing of latent factors in term structure of interest rates
... 1987 Nelson-Siegel the forecastability of model In the case of US zero coupon bond yield term structures with short maturity cluster including ten maturities of 3,4,5,6,7,8,9,10,11,12 mo[r] ... See full document
203
A macro finance approach to the term structure of interest rates
... short- rate (and high in‡ation) and is not very persistent, with an average duration of only ...that term premia on average were substantially higher during the Great In‡ation of the 1970s than they have ... See full document
183
Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates
... the term structure (mature at a definite time) and the first, discount bond interest rates, is going at finance market, the second, forward prices, at the commodity ...price/interest ... See full document
37
The information in term structure interest rate spreads: the Irish case
... "Forward Rates and Future Policy Interpreting the Term Structure of Interest Rates", Brookings Papers on Economic Activity 19831: pp.. "The Term Structure of Interest Rates", Cowles Foun[r] ... See full document
10
Measuring monetary conditions in Europe: use and limitations of the monetary conditions index. MRPA Paper No. 23534, 1999
... change rates, their interest rates, imports, and trade ...long-term interest rates, exchange rates, and wages. Term-structure equations in both models ... See full document
23
Measuring monetary conditions in Europe: Use and limitations of the monetary conditions index
... change rates, their interest rates, imports, and trade ...long-term interest rates, exchange rates, and wages. Term-structure equations in both models ... See full document
23
Cross country evidence on the relation between stock prices and the current account
... and exchange rates have a significant impact on the cur- rent ...the exchange rate of similar magnitude depresses the current ac- count by ...scheme, exchange rate shocks exert ... See full document
22
Report from the Commission (prepared in accordance with Article 122(2) of the Treaty). Convergence Report 2004 [SEC(2004) 1268]. COM (2004) 690 final, 20 October 2004
... the exchange rate criterion. The average long-term interest rate in Hungary in the year to August 2004 was ...long-term interest rates. Long-term ... See full document
10
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... in interest rates, gross regional domestic product of Lampung Province, and the exchange rate has an inelastic ...long term interest rates, Lampung Province's gross ... See full document
10
Macroeconomic Determinants of the Movement of the Yield Curve
... Long-term interest rates provide significant upward momentum on shortterm interest rates and shocks to peso-dollar exchange rate and budget deficit have the strongest impact on the volat[r] ... See full document
15
Determinants of Domestic Savings in Congo - Brazzaville
... credit interest rates and the ...the exchange have none significant impact on the level of the ...growth rate of the per capita income, the public savings, the ratio of monetization and the ... See full document
14
The Use of Econometric Analysis for Interest Rate Risk, the Impact of GDP and Inflation Factor in Deposit Interest (the Case of Albania)
... of interest rates and that most used is funds GAP, as a technique, the size of which indicates the risk that bank the bear from changing interest rates and that is reflected in the net ... See full document
8
Supply shocks and currency crises: the policy dilemma reconsidered
... Key features of recent currency crises include a sharp output contraction coming hard on the heels of devaluation and the adverse effects of liability dollarisation threatening the solvency of commercial enterprises. The ... See full document
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