... based upon their views on the
direction ofinterest rates.
What are interestrate options?
Interest Rate Options are options on the spot
yield of U.S. Treasury securities. Available to
meet the investor’s ... estimate of the
yield ofthe underlying instruments at
expiration ofthe options; or, in other words,
the market’s best estimate ofthe exercise-
settlement value at expiration, that is, off the
forward ... for the option position to
become profitable.
In the following examples, we present a variety
of possible option strategies for different interest
rate forecasts. These are only a few of the
strategies...
... of the
present value is, again, the long-term interest rate. The lower the level of long-term interest rates,
the higher the impact of a change in the long-term rate on the underlying value of ... 2000
21
The price of stocks is also highly sensitive to interest rates. The share price is usually defined as the
present value ofthe future stream of dividends. The discount rate used in the computation ... than the same sector in the other countries.
3.2 Recent evidence on the reference maturity and the effective interest rate
This section briefly outlines thedeterminantsofthe effective interest...
... all the bank and market interestrate series used. The IPS test on the null
hypothesis of a unit root cannot be rejected at the 5% significance level for either the bank rates or the
market rates, ... bank interest rates are lower and that the
pass-through of market rates is stronger, the heavier competition is. We find evidence ofthe latter in
our error correction model of bank interest rates. ... prices, such as wage rates, deposit rates (as price of funding) and the price of
other expenses (proxied as the ratio of other expenses to fixed assets). The third group consists of (K-
K
1
-K
2
)...
... behavior of
market participants in the various segments ofthe foreign exchange
market. In this paper, we have isolated the impact of knee-jerk
trading on the volatility of returns around the time of ... and Taylor (2004) in their high-frequency study of the
exchange rate effects of ECB interestrate announcements, suggest-
ing that they are robust.
18
An interesting extension of our results would ... Surprise Measures
The table contains interestrate decisions ofthe MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to
the interestrate change predicted by the median expectation...
... ofthe mortgages. The proceeds ofthe sales ofthe notes
can be used to pay ofthe CDs and reduce the duration gap. Alternatively the thrift can buy a swap
and take the fixed payment side of ... changes in interest rates requires the ability to forecast interest rates better
than the rest ofthe market (Schaffer, 1991). The challenge for banks is thus not only to forecast
interest rate risk, ... floating rate, positive cash flows are generated by the particular in-
terest rate derivative when theinterest rates rise. If the hedge is perfect, then the losses in the cash
market will be offset...
... 90-day rate n + 1 quarters in the future), with the relative weights
on the two proxies determined to maximize the fraction ofthe variance ofthe changes in the futures
rate that is explained by the ... under the control ofthe central bank, regardless of
the level of overnight interest rates — should stimulate increased aggregate nominal
expenditure, regardless of whether overnight interest rates ... after the supply of bank reserves is already great enough to drive short-term
interest rates down to the level oftherateofinterest paid on reserves (or to zero, if
there is no interest on reserves),...
... by
means of a reasonable significance level. Despite variations ofthe responses across the con-
ditional distribution of both the MPC interestrate decisions and the memb er interest rate
average, these ... might
affect theinterestrate decisions, they should be incorporated into the estimation model. This
study therefore focuses on the impact of forecast uncertainty on the strength ofthe relationship
between ... relationship
between the MPC’s own forecasts and theinterestrate decisions ofthe MPC on the official
Bank Rate. The data used are the historical forecasts for British CPI inflation and for the
annual growth rates...
... downward bias in the variability ofthe real rate depending on
the level ofthe nominal equilibrium rateof interest. The downward bias in the variability of
the real rate accounts for the reduced ... above, the distortion of output and inflation distributions is driven by a
distortion ofthe real interest rate. The left-hand panels of Figure 5 report the upward bias
in the mean real rate and the ... premium.
Thus, as soon as the exchange rate peg has become credible the nominal interestrate will
jump to the level ofthe foreign rate and the period of zero interest rates will end.
Here we allow for...
...
meanings, which can influence the establishment and maintenance ofthe interpersonal
relationship between the speaker and the listener and affect the fulfillment ofthe goal ofthe
verbal interaction.
6 ...
of the processes, i.e. the ideational grammatical metaphor is a more metaphorical way of
expressing the meaning at the level of experience. The interpersonal grammatical metaphor, on
the other ... (1997: 7-8)
5. 3 The nominal group
The metafunctional organization ofthe grammar that we illustrated above for the clause applies to the
other ranks as well. For example, the nominal group...
...
reflect the higher interestrate sensitivity of longer-dated swap transactions.
One measure oftheinterestrate sensitivity of a swap is the “dollar value of a basis point” or DV01. The
DV01 ...
8
The fixed and floating rates are usually set at the inception ofthe trade such that the net present value ofthe swap is zero.
Page11 of 21
to the level ofthe global parent.
22
... alternative means of acquiring long-term interestrate exposure. At the short end ofthe curve, trading is much
more active on-exchange, with the exception ofthe euro OIS market. The absence of a liquid...
... tế vĩ mô
Đề tài:
THE ECONOMICS OFTHE EXCHANGE RATE
MARK P. TAYLOR
Sinh viên thực hiện: MAI THU THỦY
Lớp: Đêm 6_ Khóa 20
TP. HỒ CHÍ MINH 09/2011
The Economics of Exchange Rate – Mark P. Taylor ... đến đỉnh cao nhất hoặc đáy
Trang
4
The Economics of Exchange Rate – Mark P. Taylor
trên chỉ ra mối liên hệ giữa tỷ giá cân bằng (equibilibrium exchange rate ) với một số biến vĩ
mô quan trọng ... tệ nào đó. Hai là những sai lầm trong kỳ vọng hợp lý của người tham gia
Trang
1
The Economics of Exchange Rate – Mark P. Taylor
thị trường khi họ kỳ vọng quá mức vào một cơ hội kinh doanh....
... necessarily represent the official stance ofthe BOJ.
II. Conduct of Zero InterestRate Policy
In the following, we review the characteristics ofthe zero interestrate policy pursued
by the BOJ from ... in the case of an experiment to discover whether long-term
interest rates are controllable, significant factors on the effectiveness ofthe operation
include not only the question of whether the ... a decline in the risk-taking capacity of banks
resulting from the erosion of their capital due to nonperforming assets; (2) the lack of
profitable projects; and (3) the inability of many firms...