Understanding the relationship between monetary policy and market interest rates is of utmost importance to bond traders and central bankers alike. Unanticipated changes in monetary policy strongly affect interest rates of almost all maturities, representing recurrent opportunities for traders

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of Australia for comments and discussion. The views are those of the author and are not necessarily those of the This paper explores the relationship between the cash rate and interest rates set by financial intermediaries and interest rates set in auction markets. It presents estimates of the average degree

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Abstract This paper examines the role of market, interest rate, and exchange rate risks in pricing a sample of the US Commercial Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three different econometric methodologies are used

will investigate the direct effect of an unexpected change in the main Swedish funding rate on Swedish market interest rates. Data on the funding rate, interbank rate and market interest rates are used in regressions quantifying this effect. The unexpected part of a change in the funding rate is isolated using

Abstract Significant integration and liberalization of financial markets worldwide have led to increased volatility in the world economy. As a result, a number of economists and policy makers are interested in the impact of market rate fluctuations on bank profitability. If this is known

, and idiosyncratic shocks affecting Treasury yields and swap rates, respectively. Our findings indicate that the relative importance of these factors has shifted in recent years, with significant implications for the information content of market interest rates. First, Treasury yields have become increasingly

investigations reject this hypothesis and confirm that the interest rate reactivity of the demand for reserves is far from infinite. Several explanations for these findings have been proposed, but never systematically put to test. The present paper performs such tests. In particular, we estimate the interest

This study presents an analysis of the sources of variability of interest rates in the money market in the context of inflation targeting by Czech National Bank (CNB). The factors in question are changes in the structural characteristics of economies in transition, changing perception of inflation