منابع مشابه
Overnight borrowing, interest rates and extreme value theory
We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. We also provide predictions of extreme overnight borrowing rates b...
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This is a problem in financial prediction with a small number of data points and high dimensionality in which classical economic forecasting techniques do not work. Many commercial institutions including banks, department stores, and credit companies charge their customers one interest rate (termed the lending rate) while they can borrow at a lower rate, termed the borrowing rate. The spread (d...
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Real interest and inflation rates have been very low in many industrialized countries since the Great Recession. In this paper, a mechanism of low and floating real interest and inflation rates is examined based on the concept a “Nash equilibrium of a Pareto inefficient path” and the law of motion for trend inflation. I show that, because the link between the marginal product of capital and the...
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After a steady decline following World War II, the ratio of Canadian public sector debt to GDP reached a minimum of 6% in 1974. Between 1975 and 1995, this ratio increased until it reached a maximum of 81% in 1995. What were the causes of the accumulation of government debt in Canada between 1975 and 1995? How large were the respective contributions of high interest rates, low growth rates, the...
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Nominal and real interest rates in advanced economies have been decreasing since the mid-1980s and reached historical low levels in the aftermath of the global financial crisis. Understanding why interest rates have fallen is essential for both monetary policy and financial stability. This paper focuses on one of the factors that have been put forward in the literature within the secular stagna...
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ژورنال
عنوان ژورنال: Intereconomics
سال: 2019
ISSN: 0020-5346,1613-964X
DOI: 10.1007/s10272-019-0837-9