Can Day Of The Week Effect Be Explained By Interbank Rates

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Can Day Of The Week Effect Be Explained By Interbank Rates

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Author : Ekrem Tufan
language : en
Publisher:
Release Date : 2005

Can Day Of The Week Effect Be Explained By Interbank Rates written by Ekrem Tufan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper reports the results of various tests of the day of the week effects using daily observations on the National 30 Index for Turkish stock exchange and interbank rates for the period January 3, 1997 and July 23, 2001. It is also searched whether day of the week effects be explained by interbank rates or not. While significant evidence of day of the week effects is reported and tried to explain it's reasons in literature, there is no significant explanation about it. The paper reports a significant day of the week effects for both market and investors can beat the markets and earn excess returns by using an active trading strategy than a simple buy and hold strategy. It's also could be said day of the week effect can be explained by interbank rates for an emerging market, namely Turkey.

The Scarcity Effect Of Quantitative Easing On Repo Rates Evidence From The Euro Area

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Author : William Arrata
language : en
Publisher: International Monetary Fund
Release Date : 2018-12-07

The Scarcity Effect Of Quantitative Easing On Repo Rates Evidence From The Euro Area written by William Arrata and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-07 with Business & Economics categories.

Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks’ excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific (“special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher.

The Federal Reserve System Purposes And Functions

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Author : Board of Governors of the Federal Reserve System
language : en
Publisher:
Release Date : 2002

The Federal Reserve System Purposes And Functions written by Board of Governors of the Federal Reserve System and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Banks and Banking categories.

Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.

The Foreign Exchange Market

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Author : Richard T. Baillie
language : en
Publisher: Cambridge University Press
Release Date : 1989

The Foreign Exchange Market written by Richard T. Baillie and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.

The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.

Relationship Lending In The Interbank Market And The Price Of Liquidity

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Author : Falk Bräuning
language : en
Publisher:
Release Date : 2016

Relationship Lending In The Interbank Market And The Price Of Liquidity written by Falk Bräuning and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

What Drives China S Interbank Market

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Author : Nathan Porter
language : en
Publisher:
Release Date : 2009

What Drives China S Interbank Market written by Nathan Porter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Bond market categories.

Interest rates in China comprise a mix of both market determined interest rates (interbank rates and bond yields), and regulated interest rates (lending and deposit rates), reflecting China's gradual process of interest rate liberalization. We argue, using a theoretical model and empirical analysis, that the regulation of key retail interest rates diminishes the ability of the market determined rates to act as independent price signals, or as benchmarks for use in asset pricing and monetary policy. Further interest rate liberalization should, therefore, strengthen the information conveyed by movements in interest rates, allowing for the better pricing of risk and capital.

Central Banking Without Central Bank Money

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Author : Mr.Alain Ize
language : en
Publisher: International Monetary Fund
Release Date : 1999-07-01

Central Banking Without Central Bank Money written by Mr.Alain Ize and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-07-01 with Business & Economics categories.

Given the rapidly declining demand for central bank reserves and their gradual replacement in wholesale payments by alternative forms of money—clearinghouse moneyand treasury money—this paper discusses whether the complete extinction of base money could undermine monetary control. It argues that such concerns are misplaced since central banks can target interest rates and inflation even in the absence of base money. The paper explores implications for current and future central banking, including monetary and foreign exchange operations, lender of last resort, coordination between public debt and monetary management, and design of operating rules in currency boards.

Managing The Sovereign Bank Nexus

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Author : Mr.Giovanni Dell'Ariccia
language : en
Publisher: International Monetary Fund
Release Date : 2018-09-07

Managing The Sovereign Bank Nexus written by Mr.Giovanni Dell'Ariccia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-07 with Business & Economics categories.

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

The Liquidity And Liquidity Distribution Effects In Emerging Markets

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Author : Jérôme Vandenbussche
language : en
Publisher: International Monetary Fund
Release Date : 2009-10-01

The Liquidity And Liquidity Distribution Effects In Emerging Markets written by Jérôme Vandenbussche and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-01 with Business & Economics categories.

This paper analyzes the determinants of daily changes in Jordan's interbank market overnight rate. It not only quantifies the classic liquidity effect, but also uncovers a liquidity distribution effect on both sides of the market, and shows that their magnitude is a decreasing and convex function of the level of excess reserves. It finds that the volatility of rate changes depends much more on the reserve surplus accumulated within a maintenance period than on the level of excess reserves. As Carpenter and Demiralp (2006), it uses the series of the central bank's daily forecast errors to identify the liquidity effect.

Multivariate Statistical Analysis

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Author : Aleksandra Baszczyńska
language : en
Publisher:
Release Date : 2005

Multivariate Statistical Analysis written by Aleksandra Baszczyńska and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Multivariate analysis categories.