Author: Lars E. O. Svensson
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 68
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.
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 : 68
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 : 68
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.
The Term Structure of Interest Rate Differentials in a Target Zone
Author: Alberto Giovannini
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 0
Book Description
The Terms Structure of Interest Rate Differentials in a Target Zone
Author: Lars E.O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
THE TERM STRUCTURE OF INTEREST RATE DIFFERENTIALS IN A TARGET ZONE: THOERY AND SWEDISH DATA
Author: Lars E.O. SVENSSON
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Term Structure of Interest Rate Differentials in a Zone
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
The Term Structure of Interest Rate Differentials in a Taget Zone
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
The term stucture of interest rate differentials in a target zone
Author: Lars Svensson
Publisher:
ISBN:
Category :
Languages : es
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : es
Pages : 44
Book Description
The Term Structur of Interest Rate Differentials in a Target Zone
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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.
The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk
Author: Klaas Henderikus Willem Knot
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description