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46,446
Short-Term Interest Rates
"... HE “liquidity effect ” plays a central role in Keynesian theory of the transmission of monetary policy. It is based on the notion that the demand for money is negatively related to the nominal interest rate. 1 Other things the same, an exogenous increase in the money stock depresses nominal and real ..."
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HE “liquidity effect ” plays a central role in Keynesian theory of the transmission of monetary policy. It is based on the notion that the demand for money is negatively related to the nominal interest rate. 1 Other things the same, an exogenous increase in the money stock depresses nominal
of short-term interest rates’
"... Corrigendum to ‘A Gaussian approach for continuous time models ..."
SHORT-TERM INTEREST RATE FUTURES
"... Not long ago futures trading was limited to con-tracts for agricultural and other commodities. Trad-ing in futures contracts for financial instruments began in the early 1970s, after almost a decade of accelerating inflation exposed market participants to unprecedented levels of exchange rate and in ..."
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and interest rate risk. Foreign currency futures, introduced in 1972 by the Chicago Mercantile Exchange, were the first financial futures contracts to be traded. The first interest rate futures contract, a contract for the future delivery of mortgage certificates issued by the Government National Mortgage
The dynamics of short-term interest rate volatility reconsidered
- European Finance Review
, 1997
"... Abstract. In this paper we present and estimate a model of short-term interest rate volatility that encompasses both the level effect of Chan, Karolyi, Longstaff and Sanders (1992) and the conditional heteroskedasticity effect of the GARCH class of models. This flexible specification allows differen ..."
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Cited by 35 (1 self)
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Abstract. In this paper we present and estimate a model of short-term interest rate volatility that encompasses both the level effect of Chan, Karolyi, Longstaff and Sanders (1992) and the conditional heteroskedasticity effect of the GARCH class of models. This flexible specification allows
The Dynamics of the Australian Short-Term Interest Rate
, 1998
"... This paper examines various models of the short-term interest rate in Australia. The analysis centres on three classes of models. First, the generalised diffusion model of Chan et al. (1992) is examined which allows the variance to be a function of interest rate levels. This model nests a number of ..."
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Cited by 3 (0 self)
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This paper examines various models of the short-term interest rate in Australia. The analysis centres on three classes of models. First, the generalised diffusion model of Chan et al. (1992) is examined which allows the variance to be a function of interest rate levels. This model nests a number
Multifractal modeling of short-term interest rates
, 2011
"... We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models, the level-MSM model captures the power-law scaling of the s ..."
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Cited by 1 (0 self)
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We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models, the level-MSM model captures the power-law scaling
Gaussian Estimation of . . . The Short Term Interest Rate
, 2001
"... This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample ..."
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This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample
Pascal Spreading of Short-Term Interest Rate Contracts
, 2000
"... This paper examines the spreading and pricing of short-term interest rate futures contracts and shows how traditional types of calendar spread positions can emerge as explicit arbitrage solutions. A specific set of intuitive spreading structures – “Pascal’s Spreading Triangle ” – arises when the un ..."
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This paper examines the spreading and pricing of short-term interest rate futures contracts and shows how traditional types of calendar spread positions can emerge as explicit arbitrage solutions. A specific set of intuitive spreading structures – “Pascal’s Spreading Triangle ” – arises when
An empirical comparison of alternative models of the short-term interest rate
- JOURNAL OF FINANCE
, 1992
"... ..."
The Stochastic Dynamics of the Short Term Interest Rate in India
"... The stochastic dynamics of interest rates is a crucial element in modern term structure theories and in the pricing of the various interest rate options which are embedded in bond issues today. International studies show that no model of these dynamics is valid world-wide. This paper studies the dyn ..."
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the dynamics of the short term interest rate in India (the call market rate) and shows that it follows a mean reverting dynamics with a volatility which is independent of the level of interest rates (conforming to the model proposed by Brennan and Schwartz, 1979). This finding has important implications
Results 1 - 10
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46,446
