This paper introduces monopolistically competitive banks into the New Keynesian DSGE setting. I find that this contributes to explaining three empirical facts: (i) The short-run transmission of changes in monetary policy to bank retail rates is far from complete and heterogeneous. Stiffer competition among commercial banks implies that (ii) retail interest rates correlate more tightly with mark...

This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. feature is achieved considering Ornstein–Uhlenbeck process in which the exponential decaying kernel replaced Mittag–Leffler function. Based on representation term infinite dimensional Markov processes, we present main characteristics bonds and short-term rates ...

The presence of Fintech has contributed to the changes in many industries Indonesia. Among others, banking industry been one most resilient alterations and skeptical disruption by Fintech. Using data covering national banks, regional private banks foreign from 2009 2019, this study aims examine impact interest rate pre-Fintech period compared post-Fintech period. This sets 2016 as time threshol...

This paper presents a simple model of the long-term interest rate. The represents Keynes’s conjecture that central bank’s actions influence rate primarily through short-term rate, while allowing for other important factors. It relies on geometric Brownian motion to formally conjecture. Geometric has been widely used in modeling dynamics quantitative finance. However, it not represent Empirical ...

This paper presents multifactor Keynesian models of the long-term interest rate. In recent years, there have been a proliferation empirical studies based on approach to rate modelling. These evince connection between and short-term However, standard in quantitative finance not yet incorporated Keynes’s insights about dynamics. are introduced two different illustrate how relates rate, after cont...