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On the Predictive Power of Interest Rates and Interest Rate Spreads [PDF]

open access: possible, 1990
A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate.
openaire   +2 more sources

Predictability of Interest Rates and Interest-Rate Portfolios

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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Interest Rates and Interest Rate Derivatives

2010
The 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.
Jürgen Franke   +2 more
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The Rate of Interest

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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Interest Rates 6: Role of Interest Rates

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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Models for the Interest Rate and Interest Rate Derivatives

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.
Szymon Borak   +2 more
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Implied Interest Rates

The Journal of Business, 1986
One of the most important assumptions in financial economics models is the existence of a risk-free rate, available for borrowing and lending. In any economy, however, the borrowing rate does not coincide with the lending rate even for the short run. The difference between the rates is considered a compensation for intermediation that is necessary in ...
Brenner, Menachem, Galai, Dan
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The Psychological Rate of Interest

Journal of Money, Credit and Banking, 1974
In an earlier article, "Forgetfulness and Interest,"2 I showed how the hereditary and relativistic formulation of the theory of the demand for money can be applied to provide a precise and operational expression of the psychological rate of interest.
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