搜索结果: 1-9 共查到“货币银行学 interest rate”相关记录9条 . 查询时间(0.062 秒)
The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank
Monetary Policy Rules European Central Bank
2015/8/4
This paper examines the implications of recent research on monetary policy rules for
practical monetary policy making, with special emphasis on strategies for setting interest
rates by the European ...
New Keynesian Dynamics in a Low Interest Rate Environment
government purchases monetary policy zero nominal interest rates
2011/8/21
Recent research has found that the dynamic properties of the New Keynesian model can be very different when the nominal interest rate is zero. Improvements in technology and reductions in the labor ta...
On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
interest rate models term structure dynamics Heath-Jarrow-Morton framework pricing kernels Wiener chaos Flesaker-Hughston models potentials
2011/7/19
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration (Ft)t0. Let X be a square-integrable F1-measur...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...
Use of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds
Bond Mutual Funds Derivatives Use
2010/10/18
We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcatego...
Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Bernstein processes Euclidean Quantum Mechanics Interest Rate Models
2010/11/3
We give an exposition, following joint works with J.-C. Zambrini, of the link between Euclidean Quantum Mechanics, Bernstein processes and isovectors for the heat equation. A new application to Mathem...
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Counterparty Risk Arbitrage-Free Credit Valuation Adjustment Interest Swaps Interest Rate Derivatives
2010/11/2
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In
doing so, we summarize the ...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...