نتایج جستجو برای: interest rates
تعداد نتایج: 751700 فیلتر نتایج به سال:
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
We propose a dynamic term structure model where interest rates of all maturities are bounded from below at zero. We show that positivity and continuity, combined with no arbitrage, impose such a tight restriction on the term structure that only one functional form is possible. Even more strikingly, the term structure is governed by exactly three sources of risk, only one of which is dynamic. Th...
Many econometric studies use both a narrative approach and an interest rate series to investigate the e ects of US monetary policy. The two alternative measures provide very similar conclusions. This similarity in the results is not likely to be found when central banks use numerous instruments, including unconventional quantitative targets. This paper studies the French experience with tempora...
Uncertainty plays an important role in The General Theory, particularly in the theory of interest rates. Keynes did not provide a theory of uncertainty, but he did make some enlightening remarks about the direction he thought such a theory should take. I argue that some modern innovations in the theory of probability allow us to build a theory which captures these Keynesian insights. If this is...
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Pollmann for the data. Fabio Canova and seminar participants at the Bank of Finland/CEPR Conference on T he T ransparency of M onetary P olicy provided useful comments.
In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
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