interest rate and foreign currency swaps

... and x j are interest rates composed of y and r and stated this way in (7) for simplicity, and σij is the covariance among all interest-rate changes of assets, dy, and liabilities, dr To expand ... debt) To best consider the interest-rate sensitivity of net interest margin, we consider the net interest margin as a function of interest rates on assets and liabilities and the shares of each as ... power, and funding structure, all of which likely affect net interest margin sensitivity to interest-rate and other shocks For instance, in the 1980s and early 1990s, credit card interest rates

Ngày tải lên: 15/03/2014, 14:20

... between the real short term interest rate and estimates of the natural real interest rate In addition, the natural real interest rate is linked to the potential growth rate of the economy This ... NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION Trang 2THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA by Julien Garnier2 and Bjørn-Roger ... real interest rate may be decomposed into two different components: anatural real rate and a real rate gap (Woodford, 2003; Neiss and Nelson, 2003; Cour-Thimann et al, 2004) The natural real rate

Ngày tải lên: 22/03/2014, 23:20

... bank's interest rate and currency derivative contracts and the bank's interest rateand exchange rate risks Particularly noteworthy is the influence of currency derivatives onexchange rate betas ... discussant. Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S Banks November 1996 Abstract: This paper estimates the interest rate and exchange rate risk betas of fifty-ninelarge ... inclusion of interest rate and exchange rate risk factors in stockreturn equations in the literature For interest rate risk, see, for instance, Stone (1974), Flannery and James (1984),and Sweeney and

Ngày tải lên: 29/03/2014, 13:20

... domestic currency and a downward pressure on domestic currency An expected devaluation can lead to a BOP crisis, and the resulting fall in foreign reserves and rise in the interest rate  The ... the interest rate and a portfolio shift toward foreign assets The home reserves of gold fall and the domestic supply of money shrinks This causes the domestic interest rate back up  The foreign ... interest rate and foreign interest rate  R = R* Trang 162 Foreign exchange intervention in a fixed exchange rate regimeEquilibrium in the foreign exchange market under a fixed exchange rate Given

Ngày tải lên: 15/07/2018, 21:10

... domestic currency and a downward pressure on domestic currency An expected devaluation can lead to a BOP crisis, and the resulting fall in foreign reserves and rise in the interest rate  The ... the interest rate and a portfolio shift toward foreign assets The home reserves of gold fall and the domestic supply of money shrinks This causes the domestic interest rate back up  The foreign ... interest rate and foreign interest rate  R = R* Trang 162 Foreign exchange intervention in a fixed exchange rate regimeEquilibrium in the foreign exchange market under a fixed exchange rate Given

Ngày tải lên: 02/04/2021, 14:18

... THEORETICAL BASIS AND OVERVIEW OF RELATED STUDIES 10 2.1 THEORETICAL BASIS OF INTEREST RATE, INTEREST RATE VOLATILITY, AND BANKING SECTOR DEVELOPMENT 10 2.1.1 Concept of interest rate ... positive impact from interest rates, at the same time, this connection also becomes weaker when interest rates are lower because of the convex relationship between interest rates and the development ... Concept of interest rate volatility 12 2.1.3 The relationship between interest rate and different aspects of the banking industry 13 2.1.4 The relationship between interest rate

Ngày tải lên: 24/08/2022, 09:30

... the Interest rate (–2) row, the coefficient is only statistically significant for Interest rate, showing no short-run relationship between the policy rate and the other variables The interest rate, ... fluctuation in exchange rate on interest rate is expected to be high and should be ordered right after interest rate Besides, once Basel II is implemented, CAR is also a policy variable and is more exogenous ... developed and proposed by Johansen and Juselius (1990) and Johansen (1991), is employed Both trace test and maximum eigenvalue tests are performed using lag length of which is generated from AIC and

Ngày tải lên: 14/11/2022, 00:18

... (ECM) 2.1.3 Interest rate In most previous studies, the interest rate is found to have a significant influence on housing prices and has an expected negative sign Theoretically, interest rate represents ... where variable rate contracts predominate (UK, Spain, Finland and Australia), and weaker in countries where fixed rate contracts predominate (Germany, France and Japan) Tsatsaronis and Zhu (2004) ... growth, CPI, the real short- term interest rate, the term spread between a government bond with a long maturity and the short-term interest rate, and the growth rate of inflation-adjusted bank

Ngày tải lên: 10/08/2024, 20:04

... the interest rate and investment, as well as the existence of a non- linear relationship between the interest rate and investment and the change from positive to negative according to interest rate ... between two variables of interest rate and investment, (Lugo, 2008) - the existence of an opposing relationship between interest rates and investment with low-interest rates, (Greene & Villanueva, ... 2007 demonstrated that there is a non-strong relationship between the rate of private investment and the return on investment real interest rates, however with interest rates between 5% and 6%, this

Ngày tải lên: 03/10/2024, 21:53

... exposes firms to interest rate risk Interest rate swaps eliminate both problems See Larry D Wall, *‘Interest Rate Swaps in an Agency Theoretic Model with Uncertain Interest Rates,’” Federal ... floating- rate funds and swapping for the fixed-rate payments of the more creditworthy firm.! Interest rate swaps can also be used to reduce interest rate risk For example, savings and loan institutions ... proposed regulatory changes and other possible improve- ments for limiting the risks for banks involved in interest rate swaps What are interest rate swaps? An interest rate swap is a financial

Ngày tải lên: 15/02/2014, 05:20

... conjunction withinterest rate swaps in order to pay the least cost on debt consistent with interest rateexpectations It shows that these firms use interest rate swaps, because interest rate swapsnot ... exchange rate shock, an exposed firm chooses term (long-term) debt together with fixed-for-floating (floating-for-fixed) interest rate swaps Given interest rate expectations, interest rate swaps ... users of interest rate swaps? Theeconomic rationale for the use of interest rate swaps, developed in the followingparagraphs, answers this question This paper shows that interest rate swaps are

Ngày tải lên: 15/03/2014, 14:20

... Trang 1Net foreign assets, interest rate policy, and macroeconomic stabilityLudger Linnemann∗and Andreas Schabert† April 28, 2003 Abstract: We examine the role of foreign debt for the ... sets the nominalinterest rate and home residents are net borrowers on the international capital market.Uncovered interest rate parity does not hold as the risk of defaulting on foreign debt sta-is ... positively onthe stock of foreign debt There is thus a default risk premium on domestic interest rates(similar to Turnovski, 1997) that prevents the standard uncovered interest rate paritycondition

Ngày tải lên: 22/03/2014, 17:20

... with forward rate agreement, interest future and interest rate swap.  Introducing currency swap case 2 Trang 3Interest rate risk All firms are sensitive to interest rate movements in one way to ... element of both interest rate and currency swaps.  Plain Vanilla Swap : agreement between tow parties to exchange fixed for floating rate financial obligation Trang 16Interest Rate Swap Strategies ... 100% Open interest is number of contracts outstanding Eurodollar Futures Prices Trang 13 So, locking in an interest rate of 5.24% If interest rate rise by Marche 2003?  If interest rate fall

Ngày tải lên: 02/02/2015, 11:29

... organizations and those with higher interest rate risk exposure or holding of complex instruments with significant interest-rate option characteristics may require more elaborate and formal interest rate ... adverse movements in interest rates. Interest rate risk arises when a licensee’s principal and interest cash flows from assets do not coincide with the principal, interest and benefit cash flows ... objectives and strategies and major policies governing interest rate risk management; v. approve policies that identify lines of authority and responsibility for managing interest rate risk

Ngày tải lên: 15/03/2014, 01:20

... INTEREST RATE SWAPS September 1999 2 INTEREST RATE SWAPS Definition: Transfer of interest rate streams without transferring underlying debt. 3 FIXED ... raises funds in a floating -rate market and promises to pay the Aaa corporation a fixedrate interest, while the Aaa corporation raises funds in a fixed -rate market and promises to pay the Baa ... floating -rate interest 18 OTHER SWAPS (floating/floating) MANAGING BASIS RISK Basis risk arises from unequal changes in floating rates in two separate markets, e.g., LIBOR vs CD rates Here

Ngày tải lên: 15/03/2014, 02:20

... Zealand and those in Australia and the United States. The currency risk premium was then derived from actual interest rate differentials between New Zealand and Australia and New Zealand and ... real interest rates. Figure 4 illustrates the sensitivity of our estimates of the real interest rate to the measure of inflation that is used to convert nominal interest rates into real interest rates. ... neutral real interest rate to decide whether interest rates are contractionary to demand, but we will not necessarily be able to use it to answer whether interest rates will actually cause demand to...

Ngày tải lên: 15/03/2014, 01:20

... traditional foreign exchange contracts. These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross -currency rate swaps, and foreign exchange and interest rate options. ... turnover in foreign exchange (FX) spot, forwards, and swaps as the foreign exchange part of the survey. Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange ... Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest rate collar Combination of cap and floor. Interest rate corridor...

Ngày tải lên: 06/03/2014, 02:21

... interest rates and of credit default swaps (CDS’s). Moreover, the model retains free dynamics parameters that can be used to calibrate option data, such as caps for the interest rate market and ... calibrations to the interest- rate market and to the credit market can be kept separate, thus realizing a superposition that is of practical value. We discuss the impact of interest- rate and default-intensity ... term structure of in- terest rates and of credit default swaps (CDS’s). Additional parameters can be set so as to calibrate option data from the interest rate market and option data on the credit...

Ngày tải lên: 06/03/2014, 04:21

... 817–838. Yourougou, P. (1990). Interest- rate risk and the pricing of depository financial intermedi- ary common stock. Journal of Banking and Finance 14, 803–820. 17 Banks’ exposure to interest rate risk, their ... changes in banks’ exposure to interest rate risk and whether the interest rate regulation has an impact on banks’ behavior. By contrast, practitioners are more interested in the earning opportunities ... the average one-year and ten-year interest rates were 4.52% and 5.55%, respectively. To calculate the durations, we use the corresponding continuously compounded interest rates. 15 Abstract We...

Ngày tải lên: 16/02/2014, 06:20

... place. 5 Table 6: Effect of Interest Rate Surprise on Bank Stock Returns (By Usage of Interest Rate Derivatives) Interest Rate Surprise Median Bank Level Slope With median interest rate derivatives position ... th es e data, interest rate swaps account for the vast bul k of the notional amount of interest rat e de r i vative contracts. Interest rate options, both exchange traded (ET) and those that ... Selected Interest Rates and the Associated Interest Rate Surprises 1997 1999 2001 2003 2005 2007 0 1 2 3 4 5 6 7 8 Percent Target federal funds rate 5-year Treasury yield Daily (a) S elect ed Interest...

Ngày tải lên: 17/02/2014, 03:20