The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk PDF Download
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Author: Klaas Henderikus Willem Knot
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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Author: Klaas Henderikus Willem Knot
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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Book Description
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 64
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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.
Author: Axel A. Weber
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 50
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Author: Alberto Giovannini
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 0
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Author: Lars E.O. SVENSSON
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Klaas Knot
Publisher: Edward Elgar Publishing
ISBN: 9781781959657
Category : Business & Economics
Languages : en
Pages : 232
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This is an extensive study concerned with the potential effects of fiscal policy on financial markets in the EU. It takes into account the gradual liberalization of capital movements through Western Europe & the framework of the European Monetary System.
Author: Leonardo Leiderman
Publisher: Cambridge University Press
ISBN: 9780521454384
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
This edited volume examines capital mobility in both industrialised and developing countries.
Author: Francesco Caramazza
Publisher:
ISBN:
Category : Currency question
Languages : en
Pages : 34
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Author: Olli-Pekka Lehmussaari
Publisher:
ISBN:
Category :
Languages : en
Pages : 66
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Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 602
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