Results 11 to 20 of about 328,919 (312)
Interest Rate Determination in the Interbank Market [PDF]
SSRN Electronic Journal, 2004 The purpose of this paper is to study the determinants of equilibrium in the market for daily funds. We use the EONIA panel database which includes daily information on the lending rates applied by contributing commercial banks. The data clearly shows an increase in both the time series volatility and the cross section dispersion of rates towards the ...
Gaspar, Vítor +2 more
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The Market Model of Interest Rate Dynamics [PDF]
Mathematical Finance, 1997 A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting. Pricing of caps and floors is consistent with the Black formulas used in the market. Swaptions are priced with closed formulas that reduce (with an extra
Brace, Alan +2 more
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Monetary Policy and Market Interest Rates [PDF]
American Economic Review, 2001 This thesis contains four chapters, each of which examines different aspects of the uncertainty facing monetary policymakers.''Monetary policy and market interest rates'' investigates how interest rates set on financial markets respond to policy actions taken by the monetary authorities.
Tore Ellingsen, Ulf Soderstrom
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Economic Fundamentals Over Long and Short Horizons [PDF]
Revista de Management Comparat International, 2018 In this paper, the idea that economic fundamentals should hold over all horizons is put to the test by focusing on the dynamics of the foreign exchange market.
Ali TFAILY
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A study on the effect of interest rate on performance of stock exchange: A case study of Tehran Stock Exchange [PDF]
Management Science Letters, 2013 Interest rate plays an important role on financial market in any different sectors from real state to auto industry. An increase on interest rates will increase cost of borrowing money from banks, which reduces profitability.
Akram Javanbakht +4 more
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Inflation and Interest Rates With Endogenous Market Segmentation [PDF]
SSRN Electronic Journal, 2007 The authors examine a monetary economy where households incur fixed transactions costs when exchanging bonds and money and, as a result, carry money balances in excess of current spending to limit the frequency of such trades. As only a fraction of households choose to actively trade bonds and money at any given time, the market is endogenously ...
Julia Thomas, Aubhik Khan
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The dynamics of bond market development, stock market development and economic growth: Evidence from the G-20 countries [PDF]
Journal of Economics Finance and Administrative Science, 2020 Purpose - The paper investigates whether Granger causal relationships exist between bond market development, stock market development, economic growth and two other macroeconomic variables, namely, inflation rate and real interest rate. The study aims to
Rudra P. Pradhan +3 more
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Interest Rate Swap Market Complexity and Its Risk Management Implications
Complexity, 2018 The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks.
Steve Y. Yang, Esen Onur
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INTEREST RATE REGIME AND THE PERFORMANCE OF THE NIGERIAN CAPITAL MARKET
Studies and Scientific Researches: Economics Edition, 2015 This study x-ray’s the interest rates regime in Nigeria as it affects the performance of the Nigerian Capital Market. In order to achieve this objective, relevant data for a period of 33 years spanning from 1981 – 2013 were obtained from the Factbook of ...
Edirin Jeroh, C. M. Ekwueme
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