منابع مشابه
Discrete-Time Continuous-State Interest Rate Models
We show how to implement arbitrage-free models of the short-term interest rate in a discretetime setting that allows a continuum of rates at any particular date. Discrete time allows approximate pricing of interest rate contingent claims that cannot be valued in continuous-time models. It is usually associated with discrete states, with possible interest rates restricted to a limited number of ...
متن کاملStochastic interest rate modelling with continuous-time GARCH(1,1) model
There is a massive amount of study deals with the stochastic modelling of the interest rates. The first approach to specify the interest rate movements as continuoustime Ito process was introduced by Merton in 1973. But his approach had many shortcomings including possibility of negative interest rates. In his seminal work in 1977, Vasicek developed Merton’s model by introducing mean-reverting ...
متن کاملInterest Rate Policy in Continuous Time with Discrete Delays ∗
We study the design of monetary policy in a continuous time framework with delays. More explicitly, we consider a linear, flexible price model where inflation and nominal interest rates chage continously, but where nominal rates are set by the Central bank in response to a lagged inflation measure, and where the measure of inflation can be constructed as a flexible distributed delay. Therefore ...
متن کاملInvestigating 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...
متن کاملConsiderations on Interest Rate Exogeneity
The idea of an exogenous money supply—controlled entirely through central bank interventions—was a fundamental tenet of monetarism and New Classical economics. Post Keynesians have developed an extensive literature arguing that the money supply is in fact endogenous—that market forces combine with central banks in establishing the money supply. But Post Keynesians disagree on a related question...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Časopis pro pěstování matematiky a fysiky
سال: 1933
ISSN: 1802-114X
DOI: 10.21136/cpmf.1933.121484