Global Factors In The Term Structure Of Interest Rates

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Global Factors In The Term Structure Of Interest Rates

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Author : Mirko Abbritti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05

Global Factors In The Term Structure Of Interest Rates written by Mirko Abbritti 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 2013-11-05 with Business & Economics categories.

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.

Global Factors In The Term Structure Of Interest Rates

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Author : Mirko Abbritti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05

Global Factors In The Term Structure Of Interest Rates written by Mirko Abbritti 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 2013-11-05 with Business & Economics categories.

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.

International Convergence Of Capital Measurement And Capital Standards

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Author :
language : en
Publisher: Lulu.com
Release Date : 2004

International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.

The Term Structure Of Interest Rates

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Author : David Meiselman
language : en
Publisher:
Release Date : 1962

The Term Structure Of Interest Rates written by David Meiselman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1962 with Business & Economics categories.

The Theory Of Interest

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Author : Friedrich Lutz
language : en
Publisher: Routledge
Release Date : 2017-09-04

The Theory Of Interest written by Friedrich Lutz and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-04 with Business & Economics categories.

This book contains a critical analysis of the main theories of interest which have been published since B÷hm-Bawerk. The last part of the book gives an account of the author's own theory.The first part, which deals with the history of doctrines, discusses the theories of B÷hm-Bawerk, Wicksell, Akerman, and Hayek, authors who proceed from the assumption of stationary state.The second group of authors consists of Walras, Irving Fisher, and F. H. Knight, who assume a progressive economy in which net saving and investment occur.The third group of authors are those who stress the monetary factor. The central figure of this part is Keynes; but other authors, among them Patinkin, are also dealt with. The theories on the term structure of interest rates are discussed in the last part of the history of doctrines. The author's own theory deals with the problem of the interest rate first in terms of partial equilibrium analysis, whereby particular attention is paid to the influence of the banking system on the structure of interest rates.In the final chapter the author proceeds to expound the interest theory in the framework of general equilibrium analysis. A mathematical appendix concludes this book.Friedrich A. Lutz (1901-1975) taught economics at Princeton University for fifteen years before becoming Professor of Economics at the University of Zurich. He was also the president of the Mont Pelerin Society from 1964-1967.

Encyclopedia Of Finance

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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-27

Encyclopedia Of Finance written by Cheng-Few Lee and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-27 with Business & Economics categories.

This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

The Impact Of The Global Financial Crisis On Emerging Financial Markets

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Author : Jonathan Batten
language : en
Publisher: Emerald Group Publishing
Release Date : 2011-03-02

The Impact Of The Global Financial Crisis On Emerging Financial Markets written by Jonathan Batten and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-02 with Business & Economics categories.

The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.

New Methods In Fixed Income Modeling

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Author : Mehdi Mili
language : en
Publisher: Springer
Release Date : 2018-08-18

New Methods In Fixed Income Modeling written by Mehdi Mili and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-18 with Business & Economics categories.

This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.

Essays In Honour Of Fabio Canova

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Author : Juan J. Dolado
language : en
Publisher: Emerald Group Publishing
Release Date : 2022-09-21

Essays In Honour Of Fabio Canova written by Juan J. Dolado and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-21 with Business & Economics categories.

Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Money Market Essentials

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Author : ANAND KAKU
language : en
Publisher: Anand Kaku
Release Date : 2024-02-14

Money Market Essentials written by ANAND KAKU and has been published by Anand Kaku this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-02-14 with Business & Economics categories.

Welcome to "Money Market: Essentials” your comprehensive guide to understanding and thriving in the dynamic world of financial markets. Whether you're a seasoned investor, a financial professional, or someone simply curious about the intricate workings of the money market, this book is designed to provide you with the knowledge and tools necessary to navigate this complex landscape. The money market, often referred to as the backbone of the financial system, plays a critical role in facilitating short-term borrowing and lending, managing liquidity, and influencing interest rates. Understanding its nuances is essential for anyone looking to make informed investment decisions or comprehend the broader functioning of the economy. In this book, we'll embark on a journey through the fundamentals of the money market, starting with its historical evolution and significance. We'll explore the key players involved, from central banks to commercial banks, and the various instruments traded, such as treasury bills, commercial paper, and repurchase agreements. Furthermore, we'll delve into the intricacies of interest rates, yield curves, and the role of central banks in monetary policy. We'll also examine the impact of regulatory frameworks, economic indicators, and technological advancements on the money market ecosystem. I encourage you to approach this book with an open mind and a willingness to engage with the material. Take the time to reflect on how the concepts discussed here apply to your own financial situation or professional aspirations. And remember, learning is a lifelong journey, so don't hesitate to delve deeper into topics that pique your interest or seek additional resources to expand your understanding. Thank you for embarking on this journey with me. I hope that "Money Market: Essentials" serves as a valuable resource and companion as you navigate the complexities of the financial world. Happy reading! Anand Vinaykumar Kaku Chartered Accountant Manager Treasury at National Credit Guarantee Trustee Company Ltd. (NCGTC)