Interest rate
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Estimation of risk neutral processes in single factor jump diffusion interest rate models
... price interest rate derivatives with jump-diffusion processes, we provide a novel procedure based on the estimation of the drift and jump intensity of the risk-neutral interest ...
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Trade Balance, Capital Flow, and Real Interest Rate in Mexico from 1950 to 2014
... real interest rate in Mexico from the period 1950 to ...higher interest rate than surplus ...nominal interest free of risk was obtained from Villalpando-Benitez (2000) for 1950 to 1977, ...
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Comparing Downpayment and Interest Rate Mortgage Subsidies: An Analytical Approach
... As for the second factor on the list, it is important to recall that the additional demand will not spread uniformly across all available units in the market, but it will rather concentrate on those segments that are ...
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Center for Economic Policy Analysis Exchange rate indeterminacy in portfolio balance, Mundell-Fleming, and uncovered interest rate parity models Lance Taylor (CEPA)
... uncovered interest rate parity (UIP) exchange rate theories are quickly sketched in section ...exchange rate is demonstrated in section ...and interest rates (X and X * and i and i * ...
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The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes
... two-factor interest rate model with stochastic volatility and we propose that the interest rate follows a jump-diffusion ...curves, interest rates and volatility with the functions of ...
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The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models
... Finally, we model separate risk premiums for the diffu- sion, jump size, and jump intensity in a single-factor term structure model. In the numerical experiments we obtain lower errors than when we assume that one of the ...
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TítuloNumerical methods to price interest rate derivatives based on LIBOR market model for forward rates
... an interest rate derivative product that can be de- composed in ratchet caplet contracts, for which the associated strike is recursively defined in terms of a set of forward LIBOR ...
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Effects of a Mortgage Interest Rate Subsidy: Evidence from Colombia
... mortgage interest rate ...agreed interest rate for a seven-year ...and interest rates in recent times, and econometrically evaluate the impact of the subsidy on housing ...
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Interest Rate Swaps (IRS) y Cross Currency Swaps (CCS), oportunidades de gestión de riesgos para las empresas colombianas
... los Interest Rate Swaps (IRS) y Cross Currency Swaps (CCS),es una excelente alternativa para la administración de estos riesgos, por lo cual es necesario que los directivos del sector real colombiano se ...
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FINANCIAL LIBERALIZATION, SAVINGS, AND ECONOMIC DEVELOPMENT IN PAKISTAN
... real interest rate (either by increasing the nomi- nal interest rate or by reducing the inflation rate) would lead to the accu- mulation of money balances (financial assets), which ...
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Macroeconomic fluctuations and bank behavior in Chile
... exchange rate, which had been managed inside a band at the ...substantial interest rate hike (600 basis points) following a decrease in Gdp growth and a sizable current account ...
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Financial Flows and Open Economy Macroeconomics
... administered interest rates in third world economies are deliberately kept low with the objective of stimulating capital ...term interest rates which are the ones relevant for capital formation decisions, ...
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Monetary and exchange rate policies in Argentina after the convertibility regime collapse
... exchange rate, the market intervention would cause an excessive monetary contraction and the rise in the interest rate - triggering ...exchange rate may risk a speculative attack on the ...
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How well can the New Open Economy Macroeconomics explain the exchange rate and current account
... exchange rate and current account, variables of key interest to open economy ...country interest rate premium responds to changes in net foreign debt positions, an estimate which might prove ...
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TítuloGovernance and Domestic Investment in Africa
... that interest rate negatively affects ...real interest rate and as such, the real interest rate is negatively associated with investment ...
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Speech at the International Conference of the Faculty of Economics at the University of Sarajevo
... real interest rates? Since the financial market is open at both ends, there is arbitration between local and external assets, as noted ...The interest rate in local currency can be expressed as the ...
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The Intertemporal Approach to the Current Account: Evidence for Chile
... With the inclusion of both the world real interest rate and the expected appre- ciation of the exchange rate the performance of the model improves a lot. In this figure we are considering a traded ...
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Output gap and Neutral interest measures for Colombia based on semi-structural models
... real interest rate is computed in-model, in a way consistent with the models’ inflation ...nominal interest rate series relative to the inflation target, this eliminates the trend from the ...
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External Shocks and Monetary Policy. Does it Pay to Respond to Exchange Rate Deviations?
... real interest rate, ρ t n , , but also to open economy variables such as the real exchange rate, q t , and the foreign level of output, y t ∗ ...
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The crisis of the convertibility regime in Argentina: main controversies and some evidence
... the interest rate can be associated with the status of the external accounts or, alternatively, with the evolution of public finances, or with both, as the investment fund analysts and the risk ...
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