Adaptive Interest Rate Modelling
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DOI: 10.1002/for.2431
Abstract: A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters.… read more here.
Keywords: adaptive interest; interest rate; time; rate ... See more keywords
Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1165-6
Abstract: Theoretical models suggest monetary policy is transmitted to commodity prices. We quantify this channel using several empirical methods under daily data. In early 2009, the US real interest rate became negative, with sample mean varying… read more here.
Keywords: real interest; dependence; dollar; interest rate ... See more keywords
On the link between the exchange rates and interest rate differentials in China: evidence from an asymmetric wavelet analysis
Sign Up to like & getrecommendations! Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-019-01803-4
Abstract: This paper adopts wavelet analysis to explore the time–frequency comovement and causality between the exchange rates and the interest rate differentials in China (compared to the USA) over the period from February 1999 to March… read more here.
Keywords: interest rate; wavelet analysis; exchange rates; rate ... See more keywords
Testing for the rationality of central bank interest rate forecasts
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DOI: 10.1007/s00181-021-02046-y
Abstract: In this paper, we study the bias in interest rate projections of five central banks, namely the central banks of the Czech Republic, New Zealand, Norway, Sweden, and the USA. We examine whether central bank… read more here.
Keywords: central banks; central bank; interest; rate forecasts ... See more keywords
Alpha-CIR model with branching processes in sovereign interest rate modeling
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DOI: 10.1007/s00780-017-0333-7
Abstract: We introduce a class of interest rate models, called the α$\alpha$-CIR model, which is a natural extension of the standard CIR model by adding a jump part driven by α$\alpha$-stable Lévy processes with index α∈(1,2]$\alpha\in(1,2]$.… read more here.
Keywords: interest rate; model; alpha cir; cir model ... See more keywords
Corruption, interest rates and business cycles: comparison of emerging economies
Sign Up to like & getrecommendations! Published in 2018 at "Economic Change and Restructuring"
DOI: 10.1007/s10644-017-9206-5
Abstract: We examine the hypothesis that corruption in a country negatively influences the macroeconomy through an increase in the country-specific interest rate (interest rate shock). An empirical study estimated the contribution of the interest rate shocks… read more here.
Keywords: interest rate; rate shocks; corruption; interest ... See more keywords
Profitability patterns in the interest rate derivatives market
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DOI: 10.1007/s11147-017-9129-3
Abstract: This study identifies profitability patterns and their determinants in the global interest rate derivatives market. Although this market is the world’s largest financial market in terms of nominal value, there has been basically no academic… read more here.
Keywords: interest rate; profitability; rate derivatives; market ... See more keywords
Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economics and Finance"
DOI: 10.1007/s12197-020-09533-5
Abstract: Global markets have become more integrated, making co-movements of international interest rates possible. In this paper, we investigate the causal linkage between US and Eurodollar (London) interest rate using the Granger causality test in quantiles.… read more here.
Keywords: interest rate; causality; interest rates; interest ... See more keywords
The effects of capacity reduction policy under the interest rate peg in China
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DOI: 10.1016/j.asieco.2021.101311
Abstract: Abstract Capacity reduction has been a recurrent theme in China's economic policy. The central government takes various administrative measures to remove excess capacity, accumulated mainly due to underpriced production factors and distorted incentives. I evaluate… read more here.
Keywords: rate peg; policy; interest rate; capacity ... See more keywords
Do the central bank actions reduce interest rate volatility
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DOI: 10.1016/j.econmod.2017.05.016
Abstract: This paper investigates how Central Bank of Brazil (CBB) actions influence market uncertainty. We consider two kinds of actions: the monetary policy decision about the interest rate target and the pure communication event of this… read more here.
Keywords: central bank; reduce interest; volatility; interest rate ... See more keywords
Zero per cent accountability? How low interest rates save governments from electoral defeats
Sign Up to like & getrecommendations! Published in 2020 at "European Journal of Political Economy"
DOI: 10.1016/j.ejpoleco.2020.101986
Abstract: Abstract: The fact that scholars describe the response to the great recession as muted and moderate should motivate political scientists to study the economic vote from new angles. Hence, this study aims to investigate the… read more here.
Keywords: cent accountability; interest rate; per cent; interest ... See more keywords