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The elasticity of interest rate volatility:
"... This paper presents a careful reexamination of the results of Chan, Karolyi, Longstaff, and Sanders (CKLS) in Journal of Finance, 47 (1992), 1209±1227. By rede®ning the possible regime shift period in line with evidence from known policy changes and past empirical research, the present authors ®nd e ..."
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evidence that contradicts the major results in their paper. The widely cited conclusion of their paper is that the elasticity of interest rate volatility, the coef®cient linking interest rate volatility to interest rate levels, is 1.5. CKLS also concluded that there was no structural shift in the interest
of Interest Rate Volatility
, 2007
"... This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of “thin air”, our processes are generated from the data using approximation methods fo ..."
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for multifactor continuous-time Markov processes. In applying this technique to the short- and long-end of the term structure for a general two-factor diffusion process for interest rates, a major finding is that the volatility of interest rates is increasing in the level of interest rates mostly for sharply
and Interest Rate Volatility
, 2011
"... This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. ..."
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This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments.
Interest Rate Volatility and the Demand for Money*
"... Since 1979, the US economy has witnessed a noticeable increase in the volatility of interest rates. I Several explanations for this phenomenon have been offered in the literature. For example, Paul Evans [6] has asserted that the increased interest rate volatility can be attributed in large part to ..."
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Since 1979, the US economy has witnessed a noticeable increase in the volatility of interest rates. I Several explanations for this phenomenon have been offered in the literature. For example, Paul Evans [6] has asserted that the increased interest rate volatility can be attributed in large part
Interest-Rate Volatility in Emerging Markets
- Review of Economics and Statistics
, 2003
"... Abstract—We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the res ..."
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Cited by 8 (1 self)
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Abstract—We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare
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
INTEREST RATE VOLATILITY AND EXPECTATIONS ABOUT THE BUSINESS CYCLE
"... One explanation for the usefulness of financial variables as tools for economic forecasting is that they embody the expectations of economic agents about the future state of the economy. In this paper, we test whether interest rate volatility contains information on the expectations of agents which ..."
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One explanation for the usefulness of financial variables as tools for economic forecasting is that they embody the expectations of economic agents about the future state of the economy. In this paper, we test whether interest rate volatility contains information on the expectations of agents which
Constructing the US interest rate volatility index
"... Mention the word volatility to most traders, and VIX comes to mind. Surprisingly, much less attention has been paid to the introduction of equivalent leading indicators of expected future volatility in the fixed-income market. We suggest for the first time the construction of an implied volatility i ..."
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index of forward interest rates from the U.S. cap (floor) market based on the methodology developed in equity derivatives markets. From the results we notice that by September 2006 predictions regarding future interest rate volatility suddenly become more variable. That is, approximately one year before
The Effects of The Interest Rate Volatility on Turkish Money Demand
"... This study aims to examine, especially the effects of interest rate (time deposit and treasury bills) volatilities on the demand for money in case of Turkey for 1987: 1-2007: 3 period. Quarterly data of all variables are used as the research data and Pesaran, Shin and Smith (2001) 's bound test ..."
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This study aims to examine, especially the effects of interest rate (time deposit and treasury bills) volatilities on the demand for money in case of Turkey for 1987: 1-2007: 3 period. Quarterly data of all variables are used as the research data and Pesaran, Shin and Smith (2001) 's bound
Results 1 - 10
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42,304
