The Term Structure Of Interest Rate Differentials In A Target Zone
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The Term Structure Of Interest Rate Differentials In A Target Zone
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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rate Differentials In A Target Zone written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Brownian motion processes categories.
The term structure of interest rate differentials is derived in a model of a small open economy with a target zone exchange rate regime. The target zone is modeled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Some implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-1989.
The Term Structure Of Interest Rate Differentials In A Target Zone Thoery And Swedish Data
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Author : Lars E.O. SVENSSON
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rate Differentials In A Target Zone Thoery And Swedish Data written by Lars E.O. SVENSSON and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
The Term Structure Of Interest Rate Differentials In A Target Zone
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Author : Alberto Giovannini
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rate Differentials In A Target Zone written by Alberto Giovannini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Banks and banking categories.
The Terms Structure Of Interest Rate Differentials In A Target Zone
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Author : Lars E.O. Svensson
language : en
Publisher:
Release Date : 1991
The Terms Structure Of Interest Rate Differentials In A Target Zone written by Lars E.O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Perforate And Imperforate Currency Bands
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Author : Paolo A. Pesenti
language : en
Publisher:
Release Date : 1990
Perforate And Imperforate Currency Bands written by Paolo A. Pesenti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Foreign exchange administration categories.
The Term Structure Of Interest Differentials In A Target Zone With Time Varying Devaluation Risk
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Author : Klaas Henderikus Willem Knot
language : en
Publisher:
Release Date : 1994*
The Term Structure Of Interest Differentials In A Target Zone With Time Varying Devaluation Risk written by Klaas Henderikus Willem Knot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994* with categories.
Target Zones And Forward Rates In A Model With Repeated Realignments
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Author : Mr.Leonardo Bartolini
language : en
Publisher: International Monetary Fund
Release Date : 1992-03-01
Target Zones And Forward Rates In A Model With Repeated Realignments written by Mr.Leonardo Bartolini 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 1992-03-01 with Business & Economics categories.
This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band. The credibility of the commitment to the target zone implicit in forward market data can be extracted by estimating the model. Application to French/German data indicates that the model is capable of matching observed patterns of interest rate differentials during the EMS, while yielding estimates of the credibility parameters that accord with the experience of the FF/DM exchange rate during the 1980s.
The Term Structure Of Interest Rate Differentials In A Zone
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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rate Differentials In A Zone written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
The Term Structure Of Interest Rate Differentials In A Taget Zone
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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1990
The Term Structure Of Interest Rate Differentials In A Taget Zone written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Term Structure Of Interest Rates
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Author : Burton Gordon Malkiel
language : en
Publisher: Princeton University Press
Release Date : 2015-12-08
Term Structure Of Interest Rates written by Burton Gordon Malkiel and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-08 with Business & Economics categories.
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.