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The pass-through of market interest rates to bank interest rates

Documentos Ocasionales, 2023
The pass-through of market interest rates to the financial conditions of households and firms is an essential element in the monetary policy transmission mechanism. In this paper, we analyse how this transmission is playing out in the current hiking cycle in the euro area and in Spain, as compared to previous cycles.
Sergio Mayordomo, Irene Roibás
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Interest Rates in the $Eurobond Market

The Journal of Financial and Quantitative Analysis, 1978
Since the early 1960's the European capital market has witnessed rapid growth as a source of short- and long-term dollar denominated funds to international borrowers and as an alternative investment area to potential lenders. While considerable work has analyzed the determinants of short-term dollar denominated Eurorates (Eurodollar yields), less work ...
Joseph E. Finnerty   +2 more
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The market liquidity of interest rate swaps

The Journal of Financial Market Infrastructures
This paper studies market liquidity in interest rate swaps (IRS) before and during the global tightening of monetary policy. IRS constitute the single largest derivatives segment globally. Banks and Pension Funds extensively rely on IRS to hedge interest rate risk.
Boudiaf, Ismael Alexander   +2 more
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The Loan Market, Collateral, and Rates of Interest

Journal of Money, Credit and Banking, 1976
This paper develops a theoretical model in which collateral is a mechanism for enforcing loan contracts. Collateral functions in two ways in the model. First, default on a loan triggers the loss of collateral value to the borrower, where this value is stochastic at the time when the loan is negotiated.
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Interest Rate Markets

2012
Acknowledgments. Introduction. Chapter 1: Tools of the Trade. Basic Statistics. Regression The Fundamentals. Regression How Good a Fit? Principal Components Analysis. Scaling Through Time. Backtesting Strategies. Summary. Chapter 2: Introduction to Bonds. Basics of Bonds. Risks Embedded in Fixed Income Instruments. Discounting. Bond Pricing.
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The Market for Interest Rate Swaps

Financial Management, 1988
by a floating interest rate. Although the instrument only first appeared in 1982,1 U.S. dollar interest rate swaps have grown into a market with 1987 volume estimated at $542 billion.2 With such growth has come concern about the risks in this market. Indeed, in their capital adequacy proposal, the Federal Reserve and the Bank of England suggest, "The ...
Clifford W. Smith   +2 more
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