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Index-linked bonds and their relation with other asset pricesTessaromatis, N. January 1986 (has links)
No description available.
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Interest rate swap : quanto LIBOR and CMS rate /Chau, Suk Ling. January 2007 (has links)
Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2007. / Includes bibliographical references (leaves 62). Also available in electronic version.
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Negative Interest Rate & the Level of Household Debt : A Vector Autoregressive approach in a European perspective.Netzén Örn, Marcel January 2017 (has links)
Ever since the big recession of the world economy 2007, the central banks in Europe have struggled to regain financial stability. Their goals have been hard to reach and 2014 The European Central bank (ECB) introduced negative interest rates for the first time in the world history. However, today, year 2016, many countries still have not been able to reach their inflation target. During this time with expansive monetary policies, many European Union (EU) members have faced rising level of household debts to GDP. This study focus on EU-members and uses a Vector Autoregressive method, Granger causality test and an impulse-response test to give a greater understanding about the association between the level of household debt and interest rate. Further, it aims to investigate if the negative interest rate has an impact on that association. However, our empirical results show that there is a significant negative association between the level of household debt and the interest rate in Austria, Belgium, Bulgaria, Finland, Germany, Italy, Poland, Romania, Slovakia, Spain and Sweden. Further, they show that there is a granger causality from the interest rate to the level of household debt for Belgium, Finland, Germany, Poland, Slovakia and Sweden. For all these countries, our findings show that a shock in the interest rate have a short-term effect on the level of household debt. Lastly, we found no statistical significant evidence for that the negative association between the interest rate and the level of household debt does increase when the interest rate is negative.
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Interest rate futures and options as tools for hedging.January 1988 (has links)
by Chong Chiu Ming, Logan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 52-53.
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Essays on the Causal Relationship Between Short-Term and Long-Term Interest RatesRahimi, Azadeh 30 May 2014 (has links)
This thesis is about the causal relationship between interest rates. In chapter 1, with the help of time-series econometrics and by applying linear Granger causality tests based on the Toda-Yamamoto approach, the linear causality directions between the federal funds rate and five different interest rates during the last seven business cycles in the U.S. are investigated. We also examine the linear Granger causality directions between the overnight rate and five other interest rates during the last three business cycles in Canada.
In chapter 2, the Diks and Panchenko Granger causality test is applied to explore the nonlinear causality effects between the short-term and long-term interest rates. By combining nonlinear causality effects with the linear ones which are found in the first chapter, it is seen that during the related periods in the U.S. and Canada, the most common Granger causality direction between short-term and long-term interest rates is a bidirectional one. Moreover, our findings show that during recent periods, the federal funds rate and overnight rate Granger cause other interest rates significantly.
In chapter 3, the rolling window strategy is employed to detect the linear and nonlinear Granger causality relationship between the federal funds rate and the 10-year government bond rate, during different time horizons, investigating whether these causalities change with the passing of time. Our findings show that during different time horizons, there is a significant two-way Granger causality relationship between these interest rates.
Although we have a different interpretation of the existence of bidirectional causation between short-term and long-term interest rates, this conclusion provides some support to some post-Keynesian structuralists viewpoints like Pollin (2008). However, Pollin's claim indicating that with the passing of time the significant causality effects of the federal funds rate to the market rates becomes insignificant is not supported by the current thesis findings because our results demonstrate that these causality effects have not been diminishing over the most recent business cycles.
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Essays on the Causal Relationship Between Short-Term and Long-Term Interest RatesRahimi, Azadeh January 2014 (has links)
This thesis is about the causal relationship between interest rates. In chapter 1, with the help of time-series econometrics and by applying linear Granger causality tests based on the Toda-Yamamoto approach, the linear causality directions between the federal funds rate and five different interest rates during the last seven business cycles in the U.S. are investigated. We also examine the linear Granger causality directions between the overnight rate and five other interest rates during the last three business cycles in Canada.
In chapter 2, the Diks and Panchenko Granger causality test is applied to explore the nonlinear causality effects between the short-term and long-term interest rates. By combining nonlinear causality effects with the linear ones which are found in the first chapter, it is seen that during the related periods in the U.S. and Canada, the most common Granger causality direction between short-term and long-term interest rates is a bidirectional one. Moreover, our findings show that during recent periods, the federal funds rate and overnight rate Granger cause other interest rates significantly.
In chapter 3, the rolling window strategy is employed to detect the linear and nonlinear Granger causality relationship between the federal funds rate and the 10-year government bond rate, during different time horizons, investigating whether these causalities change with the passing of time. Our findings show that during different time horizons, there is a significant two-way Granger causality relationship between these interest rates.
Although we have a different interpretation of the existence of bidirectional causation between short-term and long-term interest rates, this conclusion provides some support to some post-Keynesian structuralists viewpoints like Pollin (2008). However, Pollin's claim indicating that with the passing of time the significant causality effects of the federal funds rate to the market rates becomes insignificant is not supported by the current thesis findings because our results demonstrate that these causality effects have not been diminishing over the most recent business cycles.
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Specifications of delivery options in interest rate futuresChoi, Ka-fai., 蔡家輝. January 2001 (has links)
published_or_final_version / Economics and Finance / Master / Master of Economics
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Risk and asset/liability management of fixed income portfoliosHambouri, Zaphiro January 2000 (has links)
No description available.
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Optimal portfolios with constrained sensitivities in the interest rate marketKirriakopoulos, Konstantinos January 1996 (has links)
No description available.
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The Causes to Deviation from Interest Rate Parity in Taiwan.Yang, Shih-Ching 30 July 2001 (has links)
none
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