Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics [PDF]
We investigate the existence of affine realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the real-world probability measure, and
Stefan Tappe, Eckhard Platen
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The theory and practice of interest rate smoothing [PDF]
The interest rate policy of the Magyar Nemzeti Bank typically consists of taking several smaller steps in one direction. Other central banks follow similar practices. Their interest rate policy actions are characterised by gradual changes: in other words,
András Rezessy, Ágnes Csermely
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The Exchange Rate and Interest Rate Differential Relationship: Evidence from Two Financial Crises [PDF]
This paper examines the contemporaneous and inter-temporal interaction between real exchange rate and real interest rate differential in the two financial crises of 1997 and 2008 by using data from thirteen countries from different world regions.
Wong, Douglas K T, Li, Kui-Wai
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Banks’ option to lend, interest rate sensitivity, and credit availability [PDF]
Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset-liability maturity mismatch. This paper proposes a new way to derive a bank’s interest rate sensitivity, by examining separately the effects of ...
Sarkar, Sudipto, Hasan , Iftekhar
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Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models [PDF]
For many interest rate exotic options, for example options on the slope of the yield curve or American featured options, a one factor assumption for term structure evolution is inappropriate.
Les Clewlow, Chris Strickland
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Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules [PDF]
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings.
Yin-Wong Cheung, Mahir Binici
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The Interest Rate-Exchange Rate Link in the Mexican Float [PDF]
This paper examines empirically the interest rate-exchange rate link in the context of the Mexican experience with a floating exchange regime. The impulse response function derived from an ECM estimated by GMM reveals a lasting positive effect of a ...
Carlos A. Ibarra
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Duration Analysis of Interest Rate Spells : Cross-National Study of Interest Rate Policy [PDF]
A duration analysis is adopted in this study to investigate the determinants of the "interest rate spells" across ten countries (or area) . Both parametric and nonparametric methods are employed for the analysis.
Guo, Yingwen, Zhou Z.F., Sherry
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The Long-run Relationship between Real Exchange Rate and Real Interest Rate in Asian Countries: An Application of Panel Cointegration [PDF]
The role of exchange rate policy in economic development has been the subject of much debate and controversy in the development literature. Interest rates and exchange rates are usually viewed as important in the transmission of monetary impulses to the ...
Shaista Alam +2 more
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Interest Rate Pass-Through in Colombia: a Micro-Banking Perspective [PDF]
Banks and other credit institutions are key players in the transmission of monetary policy, especially when the responses of deposit and loan interest rates to shifts in policy rates are among the most important channels.
Norberto Rodríguez. +2 more
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