interest rate and cross currency swaps

What is the neutral real interest rate, and how can we use it? doc

... Zealand and those in Australia and the United States.The currency risk premium was then derived from actual interest rate differentials between New Zealand and Australia and New Zealand and ... real interest rates.Figure 4 illustrates the sensitivity of our estimates of the real interest rate to the measure of inflation that is used to convertnominal interest rates into real interest rates. ... neutral real interest rate to decide whether interest rates arecontractionary to demand, but we will not necessarily beable to use it to answer whether interest rates will actuallycause demand to...

The Sensitivity of Bank Net Interest Margins and Profitability to Credit, Interest-Rate, and Term-Structure Shocks Across Bank Product Specializations potx

Danh mục: Ngân hàng - Tín dụng

WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc

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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt

Danh mục: Ngân hàng - Tín dụng

Tài liệu INTEREST RATE SWAPS: RISK AND REGULATION pdf

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...

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

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... interest rates and of credit default swaps (CDS’s). Moreover, themodel retains free dynamics parameters that can be used to calibrate optiondata, such as caps for the interest rate market and ... calibrations to the interest- rate market and to the creditmarket can be kept separate, thus realizing a superposition that is of practicalvalue. We discuss the impact of interest- rate and default-intensity ... term structure of in-terest rates and of credit default swaps (CDS’s). Additional parameters can be setso as to calibrate option data from the interest rate market and option data on thecredit...

Interest Rate Swaps and Economic Exposure potx

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Research " CORPORATE HEDGING: CURRENCY DERIVATIVES AND INTEREST RATE DERIVATIVES USE BEFORE AND AFTER SFAS 133 " ppt

Danh mục: Thạc sĩ - Cao học

bài giảng môn tài chính quốc tế interest rate swap and currency swap

Danh mục: Tài chính doanh nghiệp

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

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... the (past and current) term structure of interest rates. We call this variable the change in the systematicfactor of the exposure to interest rate risk. The variables μ(1), ,μ(T ) are cross section-ally ... the cross- section, the interest margin is not muchdetermined by the exposure to interest rate risk.The results apply especially to the small and medium-sized banks in the Germansavings and ... 817–838.Yourougou, P. (1990). Interest- rate risk and the pricing of depository ﬁnancial intermedi-ary common stock. Journal of Banking and Finance 14, 803–820.17 Banks’ exposure to interest rate risk, their...

Tài liệu Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Aﬀairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations doc

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... place.5 Table 6: Eﬀect of Interest Rate Surprise on Bank Stock Returns(By Usage of Interest Rate Derivatives) Interest Rate SurpriseMedian Bank Level SlopeWith median interest rate derivatives position ... th es e data, interest rate swaps accountfor the vast bul k of the notional amount of interest rat e de r i vative contracts. Interest rate options,both exchange traded (ET) and those that ... Selected Interest Rates and the Associated Interest Rate Surprises1997 1999 2001 2003 2005 2007012345678PercentTarget federal funds rate 5-year Treasury yieldDaily(a) S elect ed Interest...

Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf

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... commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, ... and OFSW are eleven possible interactions between each type of derivative instruments. Among these interaction terms, O stands for option, F stands for futures, S stands for swaps, and W stands ... ratio and C&I loan 2Examples of this literature also include Hall (1993), Berger and Udell (1994), Haubrich and Wachtel (1993), Hancock and Wilcox (1994), Brinkman and Horvitz (1995), and...

Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc

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... Toillustrate, the expected rate of inflation in February is computed as 10/12 of theexpected rate of inflation for this year and 2/12 of the expected rate of inflationfor next year. Interest Rate ... growth, and exchange rate changes but not to inflation.We develop quantitative indicators of the Governing Council’sassessment of economic conditions to understand its interest rate decisions and ... 5 8Subtotal 11 7 Total: 18set interest rates at discrete levels, typically 0.25 percent apart, and because of interest rate smoothing. Let t, yt, àt, and tdenote(some measure of) ination,...

Tài liệu Incomplete Interest Rate Pass-Through and Optimal Monetary Policy∗ docx

Danh mục: Ngân hàng - Tín dụng

... interest rate pass-through, where retail lending rates are allowed to diﬀer acrossregions. Following Christiano and Eichenbaum (1992), Christiano,Eichenbaum, and Evans (2005), and Ravenna and ... literature on the empirical study of interest rate pass-through, including deposit rate pass-through. Vol. 4 No. 3 Incomplete Interest Rate Pass-Through 103under loan rate stabilization is greater ... (2006),1See, for example, Barth and Ramey (2001), Angeloni, Kashyap, and Mojon(2003), Christiano, Eichenbaum, and Evans (2005), Chowdhury, Hoﬀmann, and Schabert (2006), and Ravenna and Walsh (2006).2Some...

Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf

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... the spread between the interest rate on time deposits and the repo rates on corresponding maturities. Then we compute an average interbank deposit rate by weighting each rate with the amount ... nominal interest rate applied to overdrafts is typically the sum of a spread and the one-month policy rate. Current account contracts establish that changes in the policy rates are incorporated ... Japan (Aoki and Patrick, 1994), Germany (Harhoff and Körting, 1998) and Italy (Angelini et al.,1998) and in more market oriented ones such as the U.S. (Petersen and Rajan, 1994; Berger and Udell,...

Anticipation and Surprises in Central Bank Interest Rate Policy ppt

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... and discount repurchase rates, rates on euro–deutsche mark deposits with matu-rities of 1 day, and of 1, 3, 6, 12, and 24 months, and Frankfurt money-marketrates for 1 day and 1-, 3-, 6-, and ... Discount, and Market Interest Rates246810PercentJanuary 1985 January 1990 January 1995Lombard rate Discount rate 3-month interest rate ANTICIPATION IN CENTRAL BANK INTEREST RATE POLICY ... offi-cial interest rates by the U.S. Federal Reserve (for instance, Lombra and Torto,1977; Thornton, 1986 and 1994; Cook and Hahn, 1988 and 1989; and Radecki and Reinhart, 1994), the Bank of England...

The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc

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... contracts. These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross- currency rate swaps, and foreign exchange and interest rate options. Turnover in these instruments ... forwards, and swaps as the foreign exchange part of the survey. Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange options, and interest rate options ... Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination of cap and floor. Interest rate corridor...

Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

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... Meetings, Interest Rate Decisions, and Surprise MeasuresThe table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers tothe interest rate ... higher than expected, and I(Δi<0) is an indicator function that takes the value of one on interest rate surprise days between 12:05 and 13:00 if the announced interest rate is lower than expected.Coefficient ... and Derivatives Market Activity in18Likewise, Clare and Courtenay (2001) find in favor of a significant impact onexchange and interest rate volatility from UK monetary policy announcementsand...

Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf

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... expectations, monetary and fiscalpolicies and the value of the U.S. dollar. Other interest rates, including bank prime lendingrates, home mortgage rates and corporate and municipal bond rates, tend to ... offorward rates, option prices may move sharplywhen current spot rates are unchanged. 14 Basic Strategieswith Interest Rate OptionsUsing options to implement interest rate strategies offers ... structure of interest rates and the very nature of the underlying instru-ment itself that investors must take into accountto fully understand the behavior of interest rate options and their differences...

Emerging Market Liberalization and the Impact on Uncovered Interest Rate Parity potx

Danh mục: Ngân hàng - Tín dụng

... that currency markets are integrated. For instance, both Dumas and Solnik (1995) and De Santis and Gerard (1998) assume that currency and equity markets are internationally integrated and impose ... summarizes and suggests further research. 2. Risk Premium and Liberalization Market liberalization can impact UIRP through two basic channels, the exchange rate and/ or nominal interest rates (and ... equities and foreign currency deposits. A fundamental relationship in international finance is interest rate parity. It states that when the domestic interest rate is less than the foreign interest...

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