Author: Hyoung-Seok Lim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 40
Book Description
A Theory of Exchange Rates and the Term Structure of Interest Rates
Author: Hyoung-Seok Lim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 40
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 40
Book Description
A Theory of Exchange Rates and the Term Structure of Interest Rates
Author: Ogaki, Masao
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 265
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 265
Book Description
The Term Structure of Interest Rate Differentials in a Target Zone
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 64
Book Description
The term structure of interest rate differentials is derived in a model of a small open economy with a target zone exchange rate regime. The target zone is modeled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Some implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-1989.
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 64
Book Description
The term structure of interest rate differentials is derived in a model of a small open economy with a target zone exchange rate regime. The target zone is modeled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Some implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-1989.
Exchange Rates and the Term Structure of Interest Rates
Author: James M. Boughton
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
This paper argues that our understanding of the determination of major-currency exchange rates can be enhanced by reference to information about the term structure of interest rates. Although the standard monetary models have not helped to explain movements in these exchange rates, some portfolio-balance models have shown more promise. The paper extends one such model by incorporating term-structure information, in order to determine whether exchange rate movements have been linked more closely to short- or long-term interest rates and to see whether the performance of the model can be improved by the inclusion of this more detailed information. Empirical estimates of the model suggest that both short and long differentials do matter and that the model accounts for a substantial portion of the broad swings in key exchange rates.
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
This paper argues that our understanding of the determination of major-currency exchange rates can be enhanced by reference to information about the term structure of interest rates. Although the standard monetary models have not helped to explain movements in these exchange rates, some portfolio-balance models have shown more promise. The paper extends one such model by incorporating term-structure information, in order to determine whether exchange rate movements have been linked more closely to short- or long-term interest rates and to see whether the performance of the model can be improved by the inclusion of this more detailed information. Empirical estimates of the model suggest that both short and long differentials do matter and that the model accounts for a substantial portion of the broad swings in key exchange rates.
A Survey: The Theory of International Interest and Exchange Rates Working Paper 162
Author: Gunter Dufey and Arvind K. Jain
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
The Term Structure of Interest Rates
Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
Book Description
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
Book Description
Exchange Rates and the Term Structure of Interest Rates
Author: Fonds monétaire international. Research Department
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
An Empirical Investigation of Exchange Rates and the Term Structure of Interest Rates
Author: Young Hwan Byeon
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 29
Book Description
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 29
Book Description
Essays on the Term Structure of Interest Rates and Exchange Rates
Author: Julieta Yung
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 129
Book Description
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 129
Book Description
The Term Structure of Interest Rates
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description