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Predictability of Interest Rates and Interest-Rate Portfolios [PDF]
Journal of Business & Economic Statistics, 2006 Due to the near unit-root behavior of interest rates, the movements of individual interest-rate series are inherently difficult to forecast. In this paper, we propose an innovative way of applying dynamic term structure models to forecast interest-rate movements.
Bali, Turan +2 more
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Models for the Interest Rate and Interest Rate Derivatives [PDF]
, 2010 Pricing interest rate derivatives fundamentally depends on the underlying term structure. The often made assumptions of constant risk free interest rate and its independence of equity prices will not be reasonable when considering interest rate derivatives.
Brenda López Cabrera +2 more
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Interest Rates 6: Role of Interest Rates [PDF]
SSRN Electronic Journal, 2014 This is the sixth in a series of seven papers on interest rates and it covers the various roles of interest rates: primary tool of monetary policy, bridge between present and future consumption, advancing consumption / investment with debt, interest rates’ inverse relationship with asset prices and the wealth effect, the role of interest rates in ...
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Interest Rates and Interest Rate Derivatives
2010The interest rate derivatives market is the largest derivatives market in the world. Mostly traded OTC, the interest rate securities are extremely popular especially among large institutional investors. Thus, the valuation of these instruments has been a major challenge of both practitioners and academics.
Christian M. Hafner +3 more
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Econometrica, 1951
FOR what purpose do the banks use their powers to influence the interest rates? In reality policy is imposed upon them by monetary authorities, but we are conducting the argument on the assumption that they are operating according to certain rules without specifying the manner in which they are compelled to do so ...
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FOR what purpose do the banks use their powers to influence the interest rates? In reality policy is imposed upon them by monetary authorities, but we are conducting the argument on the assumption that they are operating according to certain rules without specifying the manner in which they are compelled to do so ...
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models for interest rates and interest rate derivatives [PDF]
, 2009 This thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term structure. The principals of risk neutral pricing are introduced and the Black model is derived.
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Exchange Rates, Interest Rates, and Interest Parity
2013In this chapter, the relationship between interest rates and exchange rates are examined, and consideration is given to how exchange rates adjust to achieve equilibrium in financial markets. An example is worked through showing how covered interest arbitrage works, with a discussion of how well interest rate parity holds in the real world, with several
Stefan C. Norrbin, Michael Melvin
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