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ERN: Monetary Economics & Interest Rates (Topic)最新文献

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An Accompaniment to a Course on Interest Rate Modeling: With Discussion of Black-76, Vasicek and HJM Models and a Gentle Introduction to the Multivariate LIBOR Market Model 伴随利率建模课程:讨论Black-76、Vasicek和HJM模型，并简要介绍多元LIBOR市场模型
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2013-07-10 DOI: 10.2139/ssrn.2001007
Vasily Nekrasov
{"title":"An Accompaniment to a Course on Interest Rate Modeling: With Discussion of Black-76, Vasicek and HJM Models and a Gentle Introduction to the Multivariate LIBOR Market Model","authors":"Vasily Nekrasov","doi":"10.2139/ssrn.2001007","DOIUrl":"https://doi.org/10.2139/ssrn.2001007","url":null,"abstract":"The goal of this paper is to help the motivated students with their course on interest rate modeling and/or to help them learn the LIBOR model by themselves. It implies the reader knows what forward rates, caps, and swap[tion]s are and has some knowledge of the quantitative finance: at least Ito Calculus, Black-Scholes-[Merton] Formula, Girsanov’s Theorem (in one dimension is enough) and the risk-neutral pricing. This stuff is usually taught in the first course on continuous financial modeling and is relatively easy. The interest rate modeling is much more complicated. Still those, who carefully read the wonderful Steven Shreve’s book can learn the short-rate models, change of numeraire and Heath-Jarrow-Morton framework. But not the multivariate LIBOR Model (though there is a short section on the one factor LIBOR Model and its relation to the HJM). However, the Bond/IR market is essentially multivariate and the LIBOR Model can be introduced independently. But I could not find any tutorial, which would suit me. So I decided to write my own. It concerns theory only and not the calibration and computational aspects, which are the issues for the future papers.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125390511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market 期限结构中的偏好生境和需求因素:来自中国债券市场的证据
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2013-01-10 DOI: 10.2139/ssrn.2018540
Longzhen Fan, Canlin Li, Guofu Zhou
{"title":"Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market","authors":"Longzhen Fan, Canlin Li, Guofu Zhou","doi":"10.2139/ssrn.2018540","DOIUrl":"https://doi.org/10.2139/ssrn.2018540","url":null,"abstract":"Recent empirical studies suggest that demand and supply factors have important effects on bond yields. Both market segmentation and preferred habitat hypothesis are used to explain these demand and supply effects. In this paper, we use an affine preferred-habitat term structure model and the unique Chinese bond market data to study these two hypotheses. Chinese bond market is unique because there exists an official term structure of lending rates, set exogenously by the government, on preferred habitat investors' alternative investments of loans. We show that demands of both the preferred-habitat investors and the arbitrageurs affect bond yields and returns. Moreover, we find that the preferred-habitat investors' alternative investment opportunities have expected effect on bond yields and returns. We further show that the preferred-habitat and demand factors improve bond pricing and return predictability in a no-arbitrage term structure model. Variance decomposition analysis shows that the preferred-habitat factor explains an important part of bond yield variations.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129404802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Remedies for the Eurozone Crisis: Quack and Otherwise 欧元区危机的补救措施:庸医和其他
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2078821
M. Sawyer
{"title":"Remedies for the Eurozone Crisis: Quack and Otherwise","authors":"M. Sawyer","doi":"10.2139/ssrn.2078821","DOIUrl":"https://doi.org/10.2139/ssrn.2078821","url":null,"abstract":"The on-going crisis of the eurozone is calling its continued existence into doubt, and raising questions on whether it can function effectively. The view of the nature of the eurozone crisis as arising from ‘design faults’ of the Economic and Monetary Union and a balance of payments crisis with large current account imbalances between countries is developed. The policy remedies (in the form of the ‘fiscal compact’) which are being put into place will not work in their own terms and will make the economic performance of the eurozone countries worse. Some Keynesian remedies for the crisis in terms of alternative policy proposals for the operation of the Economic and Monetary Union are outlined.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127282472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis 全球金融危机前及期间新兴市场每日CDS定价
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2012-05-08 DOI: 10.2139/ssrn.1932234
Ingo Fender, B. Hayo, Matthias Neuenkirch
{"title":"Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis","authors":"Ingo Fender, B. Hayo, Matthias Neuenkirch","doi":"10.2139/ssrn.1932234","DOIUrl":"https://doi.org/10.2139/ssrn.1932234","url":null,"abstract":"In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia than to country-specific risk factors. This result is particularly evident during the second subsample (August 2007–December 2011), where neither macroeconomic variables nor country ratings significantly explain CDS spread changes. Second, measures of US bond, equity, and CDX High Yield returns as well as emerging market credit returns turn out to be the most dominant drivers of CDS spread changes. Finally, our analysis suggests that CDS spreads are more strongly influenced by international spillover effects during periods of market stress.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128137479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Public Information Arrival and Investor Reaction During a Period of Institutional Change: An Episode of Early Years of a Newly Independent Central Bank 制度变迁时期的公共信息到达与投资者反应:一个新独立的中央银行早年的插曲
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2012-05-01 DOI: 10.2139/ssrn.2049318
Janusz Brzeszczyński, Ali M. Kutan
{"title":"Public Information Arrival and Investor Reaction During a Period of Institutional Change: An Episode of Early Years of a Newly Independent Central Bank","authors":"Janusz Brzeszczyński, Ali M. Kutan","doi":"10.2139/ssrn.2049318","DOIUrl":"https://doi.org/10.2139/ssrn.2049318","url":null,"abstract":"Employing unique data derived directly from the Reuters electronic brokerage platform for currency trading, this paper investigates the reaction of investors to central bank announcements on the foreign exchange market in Poland in the years 2000–2003. Our sample period captures a time during which the National Bank of Poland (NBP) gained independence and it was transforming institutionally and switching to a new monetary policy regime; namely inflation targeting. Evidence indicates that central bank communication helped reduce foreign exchange market uncertainty, measured by the conditional variance of foreign exchange returns, and increased trading volume. The findings suggest that in newly emerging economies with major institutional changes, investors may react significantly to central bank communication, and central banks can hence play an important role in market development during an institutional change. Our results also have broader implications for the applicability of micro-structure models in newly emerging economies.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128172437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Interest Rate Models 利率模型
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2011-12-14 DOI: 10.2139/ssrn.1972390
Alex Paseka, T. Koulis, A. Thavaneswaran
{"title":"Interest Rate Models","authors":"Alex Paseka, T. Koulis, A. Thavaneswaran","doi":"10.2139/ssrn.1972390","DOIUrl":"https://doi.org/10.2139/ssrn.1972390","url":null,"abstract":"In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in which state variables follow multivariate affine diffusions and jump-diffusion processes with random intensity. As an illustration of the pricing methods, we provide special cases of the general formulations as examples. The examples span a wide cross-section of models from early one-factor models of Vasicek to more recent interest rate models with stochastic volatility, random intensity jump-diffusions and quadratic-Gaussian DTSMs. We also derive the European call option price on a zero-coupon bond for linear quadratic term structure models.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128884992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 32
Prospects for Monetary Cooperation in East Asia 东亚货币合作展望
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2011-10-23 DOI: 10.2139/ssrn.1948325
Y. Park, Chi-Young Song
{"title":"Prospects for Monetary Cooperation in East Asia","authors":"Y. Park, Chi-Young Song","doi":"10.2139/ssrn.1948325","DOIUrl":"https://doi.org/10.2139/ssrn.1948325","url":null,"abstract":"i»?The purpose of this paper is to reexamine the exchange rate policy of the Republic of Korea, and its role in promoting financial and monetary cooperation in East Asia in the wake of the 2008 global financial crisis. The Republic of Korea would not actively participate in any discussion of establishing a regional monetary and exchange rate arrangement as it is expected to maintain a weakly managed floating regime. The People’s Republic of China (PRC) has been fostering the yuan as an international currency, which will lay the groundwork for forming a yuan area among the PRC; the Association of Southeast Asian Nations JEL Classification : F3, F4 (ASEAN); Hong Kong, China; the PRC; and Taipei,China. Japan has shown less interest in assuming a greater role in East Asia’s economic integration due to deflation, a strong yen, slow growth, and political instability. Japan would not eschew free floating. These recent developments demand a new modality of monetary cooperation among the Republic of Korea, Japan, and the PRC. Otherwise, ASEAN+3 will lose its rationale for steering regional economic integration in East Asia.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121185631","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Term Structure and Interest Rate Stabilization Policies: New Evidence 期限结构与利率稳定政策:新证据
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2011-10-10 DOI: 10.2139/ssrn.1992537
Anna Florio
{"title":"Term Structure and Interest Rate Stabilization Policies: New Evidence","authors":"Anna Florio","doi":"10.2139/ssrn.1992537","DOIUrl":"https://doi.org/10.2139/ssrn.1992537","url":null,"abstract":"Previous studies impute the failure of the expectations theory, using 6 and 3-month Treasury bill spread, to the Fed.s commitment to stabilize interest rates.We get that from Greenspan tenure on, that spread predicts future changes in the short rate in the United States. This success is ascribed to improved interest rates predictability achieved by the Fed which, as well as enhancing the management of market expectations, has reduced uncertainty acquiring credibility form the market (now asking for lower term premia).","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116116575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Determinants of Interest Rate Spreads in Developing Countries: Evidence on Tanzania, 1991-2009 发展中国家利差的决定因素:坦桑尼亚1991-2009年的证据
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2011-07-24 DOI: 10.2139/ssrn.1894008
Jehovaness Aikaeli, Francisco M. P. Mugizi, M. Ndanshau
{"title":"The Determinants of Interest Rate Spreads in Developing Countries: Evidence on Tanzania, 1991-2009","authors":"Jehovaness Aikaeli, Francisco M. P. Mugizi, M. Ndanshau","doi":"10.2139/ssrn.1894008","DOIUrl":"https://doi.org/10.2139/ssrn.1894008","url":null,"abstract":"The now market based financial system in Tanzania is characterized by relatively high interest rate spreads. This paper sought to establish relative importance of macroeconomic and regulatory factors in explaining persistence of interest rate spread in Tanzania during the period 1991:I-2009:IV. A Cointegration and Error Correction Model (ECM) was used to fit the data for Tanzania. The results revealed the interest rate spreads in Tanzania were strongly influenced by net government borrowing from commercial banks, development of the banking sector, statutory minimum reserve requirement and the discount rate. Among others, the results suggest the importance of low discount rate and reduced or total dispense with reserve requirement as a monetary policy strategy to reduce interest rate spreads in Tanzania. Importance of price stability in financial deepening is also underscored by the results.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129824119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Modeling Money (M2) Demand in Egypt - A Vector Equilibrium Correction Model 埃及货币(M2)需求建模——一个矢量均衡修正模型
ERN: Monetary Economics & Interest Rates (Topic) Pub Date : 2011-05-20 DOI: 10.2139/ssrn.1976448
A. Rostom
{"title":"Modeling Money (M2) Demand in Egypt - A Vector Equilibrium Correction Model","authors":"A. Rostom","doi":"10.2139/ssrn.1976448","DOIUrl":"https://doi.org/10.2139/ssrn.1976448","url":null,"abstract":"This paper empirically investigates the relationship between real money demand, real income, interest rates and real consumption. The paper provide a mixed strategy for estimating the money demand function that incorporates shifting from a system of equations vector auto regression (VAR) approach that maintains the information relating to the feedback between variables, followed by vector equilibrium correction model (VECM) in order to investigate the nature of short term and long term interaction and finaly an error correction model (ECM) and autoregressive distributed lag model (ADL). The paper concludes that real money demand in Egypt is stable and can be confidently considered by monetary authorities to adjust for long run growth in the real economy.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126814194","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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