Interest Rate Convergence in Bangladesh

Investigating the Relationship between the Facility Interest Rate and the Bank Deposit Interest Rate in Iran

The facility interest rate is one of the most important macroeconomic variables. The bank facility interest rate is associated with other macro-economic variables, one of which is the bank deposit interest rate. Using the time series data of the 1973-2017 period and the simultaneous equation system, the researchers estimated four equations using the three-stage least squares method.The result o...

Long-term returns in stochastic interest rate models: Convergence in law

Using an extension of the Cox-Ingersoll-Ross [1] stochastic model of the short interest rate r, we study the convergence in law of the longterm return in order to make some approximations. We use the theory of Bessel processes and observe the convergence in law of the sequence (√ −2β3 δn ∫ nt 0 (Xu + δu 2β )du ) t≥0 with the X a generalized Besselsquare process with drift with stochastic revers...

Study of the Relationship between Inflation Rate and Bank Interest Rate in the Iranian Economy

Experts believe that by lowering the interest rate on bank accounts, total cost of goods and services decreases, and secondly, investment production increases,  both of which lead to lower inflation and provide stable employment field, on the other hand, are concerned about the negative effects of lowering the interest rate without lowering inflation and know the underlying requirement of nomin...

Long-term Returns in Stochastic Interest Rate Models: Different Convergence Results

In this paper, we focus on different convergence results of the long-term return 1 t rudu 0 t ∫ , where the short interest rate r follows an extension of the Cox, Ingersoll and Ross1 model. Using the theory of Bessel processes, we proved the convergence almost everywhere of 1 t Xudu 0 t ∫ , where Xu ( )u≥0 denotes a generalisation of a Besselsquare process with drift. We also studied the conver...

Interest Rate Risk