The Volatility Of Short Term Interest Rates
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The Volatility of Short-term Interest Rates
Author | : Clark Leavitt |
Publisher | : |
Total Pages | : 418 |
Release | : 1987 |
Genre | : Accounting fraud |
ISBN | : |
The Term Structure of Short-Term Interest Rate Futures Volatility
Author | : Pedro Gurrola-Perez |
Publisher | : |
Total Pages | : 28 |
Release | : 2018 |
Genre | : |
ISBN | : |
The maturity effect states that the volatility of futures prices should increase as the contract approaches expiration. Numerous studies have investigated this effect for different asset classes. However, the presence of a maturity effect in short term interest rate (STIR) futures has usually only been studied considering these within a wider set of financial futures, without further consideration of their special features. Our study looks at the presence of maturity effects in STIR futures by analyzing the term structure of the volatility of the most worldwide traded contracts, taking into consideration their specific characteristics. We provide empirical evidence on the positive relation between volatility and time to maturity and show how these results relate to models of the term structure of interest rates.
Modeling the Term Structure of Interest Rates
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Estimating Parameters of Short-Term Real Interest Rate Models
Author | : Mr.Vadim Khramov |
Publisher | : International Monetary Fund |
Total Pages | : 27 |
Release | : 2013-10-17 |
Genre | : Business & Economics |
ISBN | : 1475591225 |
This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
International Convergence of Capital Measurement and Capital Standards
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
The Response of Short-term Interest Rates to Weekly Money Announcements
Author | : V. Vance Roley |
Publisher | : |
Total Pages | : 38 |
Release | : 1982 |
Genre | : Interest |
ISBN | : |
The response of short-term interest rates to weekly money announcements since the Federal Reserve's change in operating procedures on October 6, 1979, is examined in this paper. The results indicate that the response increased significantly since October 1979, and that it varies nonlinearly according to the relation of money growth to the Federal Reserve!s long-run targets. The results also suggest that the increase in the response and the rise in the volatility of unanticipated money have contributed about equally to the large rise in interest rate volatility during this period
Long-term and Short-term Interest Rates
Author | : Frank Walter Paish |
Publisher | : |
Total Pages | : 96 |
Release | : 1967 |
Genre | : Business & Economics |
ISBN | : |
Three lectures in which the author puts forward a modification of keneysian theory of interest rates.
Persistence and Volatility in Short-Term Interest Rates
Author | : Nikolaos Panigirtzoglou |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : |
ISBN | : |
It is important for monetary policy makers to know how closely money market rates follow the policy rates they set. This paper looks at the volatility and persistence of divergences between short-term market interest rates away from policy rates. This may also offer insights into the effectiveness of various approaches that central banks employ to smooth interest rate volatility, such as requiring minimum reserves. Using data for Germany, Italy and the United Kingdom, we find that in all three countries there are significant temporary divergences, although the average divergence is close to zero.