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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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Natural Interest Rate and Money Interest Rates
The Economists’ Voice, 2020Abstract The long lasting period of declining interest rates raises the question, whether the latter result from a savings glut, from a money glut, or from both. Moreover, it renewed the old question how the natural interest rate should be sensibly defined, and if it could ever fall below the growth rate, thereby causing dynamic ...
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Interest Rates 3: Composition of Interest Rates
SSRN Electronic Journal, 2014This is the third in a series of seven papers on interest rates and it covers the yield curve, the literature on the composition of interest rates, an alternative analysis of composition of interest rates, the literature on the risk-free rate, an alternative view of the risk-free rate, and an analysis of the relationship of interest rates.
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Are Interest Rate Options Important for the Assessment of Interest Rate Risk? [PDF]
SSRN Electronic Journal, 2008 Abstract Fixed income options contain substantial information on the price of interest rate volatility risk. In this paper, we ask if those options will also provide information related to other moments of the objective distribution of interest rates. Based on dynamic term structure models within the class of affine models, we find that interest rate
Jose Vicente, Jose Vicente, Caio Almeida
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The Journal of Finance, 1995
ABSTRACTSince people can hold currency at a zero nominal interest rate, the nominal short rate cannot be negative. The real interest rate can be and has been negative, since low risk real investment opportunities like filling in the Mississippi delta do not guarantee positive returns.
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ABSTRACTSince people can hold currency at a zero nominal interest rate, the nominal short rate cannot be negative. The real interest rate can be and has been negative, since low risk real investment opportunities like filling in the Mississippi delta do not guarantee positive returns.
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Interest Rates 1: What are Interest Rates?
SSRN Electronic Journal, 2014This is the first in a series of seven papers on interest rates and it covers the basic terms and information required for a fuller understanding of the significance of interest rates: the instruments that interest rates apply to, the bank interest margin which plays an important transmission role in monetary policy, time value of money, types ...
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