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Author: Luca Tiozzo Pezzoli
Publisher:
ISBN:
Category :
Languages : en
Pages : 242
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Book Description
The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solved in an innovative way. By estimating several sets of countries, we select two global (and three local) factors which are also useful to forecast macroeconomic variables in each considered economy.In addition, our method allows us to detect hidden factors in the international bond returns. They are not visible through a classical principal component analysis of expected bond returns but they are helpful to forecast inflation and industrial production. Keywords: International treasury yield curves, common and local factors, state-space models, EM algorithm, International bond risk premia, principal components.
Author: Luca Tiozzo Pezzoli
Publisher:
ISBN:
Category :
Languages : en
Pages : 242
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Book Description
The aim of this thesis is to model the dynamics of international term structure of interest rates taking into consideration several dependence channels.Thanks to a new international Treasury yield curve database, we observe that the explained variability decision criterion, suggested by the literature, is not able to select the best combination of factors characterizing the joint dynamics of yield curves. We propose a new methodology based on the maximisation of the likelihood function of a Gaussian state-space model with common and local factors. The associated identification problem is solved in an innovative way. By estimating several sets of countries, we select two global (and three local) factors which are also useful to forecast macroeconomic variables in each considered economy.In addition, our method allows us to detect hidden factors in the international bond returns. They are not visible through a classical principal component analysis of expected bond returns but they are helpful to forecast inflation and industrial production. Keywords: International treasury yield curves, common and local factors, state-space models, EM algorithm, International bond risk premia, principal components.
Author: Fulvio Pegoraro
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David Kern
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 152
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Book Description
The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Ting Ting Huang
Publisher: Cambridge Scholars Publishing
ISBN: 1443815829
Category : Business & Economics
Languages : en
Pages : 89
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Book Description
This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.
Author: Andreas Jobst
Publisher: International Monetary Fund
ISBN: 1475524471
Category : Business & Economics
Languages : en
Pages : 48
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Book Description
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
Author: Asl? Demirgüç-Kunt
Publisher: World Bank Publications
ISBN:
Category : Bancos comerciales
Languages : en
Pages : 52
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Book Description
March 1998 Differences in interest margins reflect differences in bank characteristics, macroeconomic conditions, existing financial structure and taxation, regulation, and other institutional factors. Using bank data for 80 countries for 1988-95, Demirgüç-Kunt and Huizinga show that differences in interest margins and bank profitability reflect various determinants: * Bank characteristics. * Macroeconomic conditions. * Explicit and implicit bank taxes. * Regulation of deposit insurance. * General financial structure. * Several underlying legal and institutional indicators. Controlling for differences in bank activity, leverage, and the macroeconomic environment, they find (among other things) that: * Banks in countries with a more competitive banking sector-where banking assets constitute a larger share of GDP-have smaller margins and are less profitable. The bank concentration ratio also affects bank profitability; larger banks tend to have higher margins. * Well-capitalized banks have higher net interest margins and are more profitable. This is consistent with the fact that banks with higher capital ratios have a lower cost of funding because of lower prospective bankruptcy costs. * Differences in a bank's activity mix affect spread and profitability. Banks with relatively high noninterest-earning assets are less profitable. Also, banks that rely largely on deposits for their funding are less profitable, as deposits require more branching and other expenses. Similarly, variations in overhead and other operating costs are reflected in variations in bank interest margins, as banks pass their operating costs (including the corporate tax burden) on to their depositors and lenders. * In developing countries foreign banks have greater margins and profits than domestic banks. In industrial countries, the opposite is true. * Macroeconomic factors also explain variation in interest margins. Inflation is associated with higher realized interest margins and greater profitability. Inflation brings higher costs-more transactions and generally more extensive branch networks-and also more income from bank float. Bank income increases more with inflation than bank costs do. * There is evidence that the corporate tax burden is fully passed on to bank customers in poor and rich countries alike. * Legal and institutional differences matter. Indicators of better contract enforcement, efficiency in the legal system, and lack of corruption are associated with lower realized interest margins and lower profitability. This paper-a product of the Development Research Group-is part of a larger effort in the group to study bank efficiency.
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Sidney Homer
Publisher: New Brunswick, N.J. : Rutgers University Press
ISBN: 9780813508405
Category : Business & Economics
Languages : en
Pages : 640
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Book Description
"A History of Interest Rates, Fourth Edition presents a readable account of interest rate trends and lending practices spanning over four millennia of economic history. Filled with in-depth insights and illustrative charts and tables, this unique resource provides a broad perspective on interest rate movements - from which financial professionals can evaluate contemporary interest rate and monetary developments - and applies analytical tools, such as yield-curve averaging and decennial averaging, to the data available." "A History of Interest Rates, Fourth Edition offers a highly detailed analysis of money markets and borrowing practices in major economies. It places the rates and corresponding credit forms in context by summarizing the political and economic events and financial customs of particular times and places." "To help you stay as current as possible, this revised and updated Fourth Edition contains a new chapter of contemporary material as well as added discussions of interest rate developments over the past ten years."--BOOK JACKET.
Author: Metcalf & Eddy, Inc., an AECOM Company
Publisher: McGraw Hill Professional
ISBN: 0071508775
Category : Technology & Engineering
Languages : en
Pages : 1610
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Book Description
An Integrated Approach to Managing the World's Water Resources Water Reuse: Issues, Technologies, and Applications equips water/wastewater students, engineers, scientists, and professionals with a definitive account of the latest water reclamation, recycling, and reuse theory and practice. This landmark textbook presents an integrated approach to all aspects of water reuse _ from public health protection to water quality criteria and regulations to advanced technology to implementation issues. Filled with over 500 detailed illustrations and photographs, Water Reuse: Issues, Technology, and Applications features: In-depth coverage of cutting-edge water reclamation and reuse applications Current issues and developments in public health and environmental protection criteria, regulations, and risk management Review of current advanced treatment technologies, new developments, and practices Special emphasis on process reliability and multiple barrier concepts approach Consideration of satellite and decentralized water reuse facilities Consideration of planning and public participation of water reuse Inside This Landmark Water/Wastewater Management Tool • Water Reuse: An Introduction • Health and Environmental Concerns in Water Reuse • Technologies and Systems for Water Reclamation and Reuse • Water Reuse Applications • Implementing Water Reuse
