A moment matching method for option pricing under stochastic interest rates
Sign Up to like & getrecommendations! Published in 2021 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2624
Abstract: In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment… read more here.
Keywords: pricing; moment matching; interest; option ... 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
Predetermined interest rates in an analytical RBC model
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.08.011
Abstract: We solve a version of the analytical Real Business Cycle (RBC) model with a predetermined rate of return on household saving. The solution differs from that of the benchmark RBC model along two dimensions: (i)… read more here.
Keywords: predetermined interest; model; model predetermined; rbc model ... See more keywords
Negative interest rates policy and banks’ risk-taking: Empirical evidence
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2019.108760
Abstract: Abstract Using a panel dataset of 9421 banks from 59 countries over the period 2009–2018 and a Difference-in-Differences estimator, this paper aims to assess the effects of negative interest rates on banks’ risk-taking. We find… read more here.
Keywords: negative interest; rates policy; risk taking; banks risk ... See more keywords
The effects of negative interest rates on cash usage: Evidence for EU countries
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109674
Abstract: Abstract Changes in interest rates below the zero lower bound could have potential effects on the payments market by making cash more attractive for consumers as a medium of payment and wealth storage. This paper… read more here.
Keywords: negative interest; cash usage; cash; effects negative ... See more keywords
Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.11.009
Abstract: We analyze money market dynamics under a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms, derived from a structural model incorporating autocorrelated risk premia, interest rate smoothing and monetary policy feedback. Using… read more here.
Keywords: term structure; interest; nonlinear equilibrium; interest rates ... See more keywords
Secular stagnation, low interest rates and low inflation: Causes and implications for policy
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2021.104212
Abstract: Slow growth, low interest rates and low inflation have characterized the macroeconomic environment in the Euro Area and other advanced economies since the global financial crisis of 2008-09. In this economic landscape there are growing… read more here.
Keywords: policy; low interest; interest rates; inflation ... See more keywords
Investment, Tobin’s q, and interest rates
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2017.05.013
Abstract: We study the impact of stochastic interest rates and capital illiquidity on investment and firm value by incorporating a widely used arbitrage-free term structure model of interest rates into a standard q theoretic framework. Our… read more here.
Keywords: interest; investment tobin; interest rates; tobin interest ... See more keywords
Risk-free interest rates
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.06.012
Abstract: Abstract We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain interest rates and implied convenience… read more here.
Keywords: convenience; risk free; interest; free interest ... See more keywords
Short and medium term financial-real cycles: An empirical assessment
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2019.02.006
Abstract: Theories such as Minsky’s financial instability hypothesis or New Keynesian financial accelerator models assign a key role to financial factors in business cycle dynamics. We propose a simple VAR-based estimation framework to examine some of… read more here.
Keywords: short medium; financial real; debt; medium ... See more keywords
The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Policy Modeling"
DOI: 10.1016/j.jpolmod.2021.04.001
Abstract: Abstract The outbreak of Covid-19 has played the role of a ‘game changer’ in the way countries of the Eurozone have faced the economic consequences of the pandemic crisis. This paper investigates what has happened… read more here.
Keywords: debt; interest rates; asymmetric impact; pandemic crisis ... See more keywords