Download or read book The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates written by and published by . This book was released on 2005 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Term Structure of Interest Rates with Regime Shifts written by Ravi Bansal and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Model of the Term Structure of Interest Rates in an Open Economy with Regime Shifts written by Hans Dillén and published by . This book was released on 1994 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regime Shifts in a Dynamic Term Structure Model of U S Treasury Bond Yields written by Qiang Dai and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article develops and empirically implements an arbitrage-free, dynamic term structure model with priced factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime-shift and factor risks. Using monthly data on U.S. Treasury zero-coupon bond yields, we show a critical role of priced, state-dependent regime-shift risks in capturing the time variations in expected excess returns, and document notable differences in the behaviors of the factor risk component of the expected returns across high and low volatility regimes. Additionally, the state dependence of the regime-switching probabilities is shown to capture an interesting asymmetry in the cyclical behavior of interest rates. The shapes of the term structure of volatility of bond yield changes are also very different across regimes, with the well-known hump being largely a low-volatility regime phenomenon.
Download or read book Regime Shifts Risk and the Term Structure written by Martin D.D. Evans and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state variables and Peso problems through regime-switching. When the model is estimated using real and nominal yields from the U.K., I find that Peso problems emanating from instability in inflation have a significant impact on the nominal term structure. Peso problems affect (i) the sample predictability of excess returns, (ii) nominal term premia, and (iii) the inflation risk premia linking real and nominal yields with expected inflation.
Download or read book Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift written by Markku Lanne and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983:1-1996:6. Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential - but unrealized - regime shifts provide support for the expectations hypothesis. The peso problem is modelled by means of a threshold autoregression. The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample period, when interest rates were at their highest.
Download or read book A Model of the Term Structure of Interest Rates in an Open Economywith Regime Shifts written by and published by . This book was released on 2000 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Superexogeneity Regime Shifts and the Term Structure of Interest Rates written by Carlo A. Favero and published by . This book was released on 1992 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Econometrics Bayesian Analysis Quantum Uncertainty and Related Topics written by Nguyen Ngoc Thach and published by Springer Nature. This book was released on 2022-05-28 with total page 865 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book overviews latest ideas and developments in financial econometrics, with an emphasis on how to best use prior knowledge (e.g., Bayesian way) and how to best use successful data processing techniques from other application areas (e.g., from quantum physics). The book also covers applications to economy-related phenomena ranging from traditionally analyzed phenomena such as manufacturing, food industry, and taxes, to newer-to-analyze phenomena such as cryptocurrencies, influencer marketing, COVID-19 pandemic, financial fraud detection, corruption, and shadow economy. This book will inspire practitioners to learn how to apply state-of-the-art Bayesian, quantum, and related techniques to economic and financial problems and inspire researchers to further improve the existing techniques and come up with new techniques for studying economic and financial phenomena. The book will also be of interest to students interested in latest ideas and results.
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Download or read book Risk Measures with Applications in Finance and Economics written by Michael McAleer and published by MDPI. This book was released on 2019-07-23 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Download or read book New Methods in Fixed Income Modeling written by Mehdi Mili and published by Springer. This book was released on 2018-08-18 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Business Periodicals Index written by and published by . This book was released on 2006 with total page 2844 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asian Profile written by and published by . This book was released on 2011 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymmetric Monetary Transmission in Europe written by Volker Clausen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: The euro and the ESCB have started in January 1999 and there is naturally a wide-ranging interest in academia and among policymakers in OECD coun tries, how successful European Monetary Union will and can be. EMU has started with 11 countries and experienced a rapid depreciation of the cur rency. With so many EU countries joining for a historical monetary union in a period of economic globalization, international financial market changes and ongoing EU enlargement the problem of monetary policy efficiency becomes crucial; especially as so many countries in the EU still have high unemploy ment rates and the euro has just started at the beginning of a cyclical upswing in the euro zone. Monetary policy is also quite crucial, because the Maastricht convergence criteria severely restrict the scope of national fiscal policy. With a very limited stock of valuable European monetary experience which could be usefully exploited by the ECB and the ESCB respectively, one naturally will appreciate advanced economic modeling of the main issues. This book takes an analytical look at the problem of asymmetric monetary transmission in Euroland. Facing the ECB's monetary policy, individual mem ber countries are likely to experience different policy effects. Countries differ in their financial structure -a well-known argument in the literature -but also in the characteristics of goods and labor markets. The latter fields have been somewhat neglected in the literature but receive broad analytical attention here.
Download or read book Nonlinear Time Series Analysis of Business Cycles written by C. Milas and published by Emerald Group Publishing. This book was released on 2006-02-08 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
