Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Women and development in Senegal: Microcredit and household well being

The challenging living conditions of many Senegalese families, and the absence of a providing spouse, have led women to covet new economic opportunities, such as microcredit loans. These loans offer Senegalese women the possibility to financially support their households and become active participants in their economies by starting or sustaining their micro businesses. The study takes place in Grand-Yoff, an overpopulated peri-urban area of the Senegalese capital city Dakar, where most people face daily survival issues. This research examines the impact of microcredit activities in the household of Senegalese female loan recipients in Grand-Yoff by examining socioeconomic indicators, in particular outcomes of health, education and nutrition.^ The research total sample is constituted of 166 female participants who engage in microcredit activities. The research combines both qualitative and quantitative methods. Data for the study were gathered through interviews, surveys, participant observation, focus-groups with the study participants and some of their household members, and document analysis.^ While some women in the study make steady profits from their business activities, others struggle to make ends meet from their businesses’ meager or unreliable profits. Some study participants who are impoverished have no choice but to invest their loans directly into their households’ dire needs, hence missing their business prerogative. Many women in the study end up in a vicious cycle of debt by defaulting on their loans or making late payments because they do not have the required household and socioeconomic conditions to take advantage of these loans. Therefore, microcredit does not make a significant impact in the households of the poorest female participants. The study finds that microcredit improves the household well-being - especially nutrition, health and education - of the participants who have acquired significant social capital such as a providing spouse, formal education, training, business experience, and belonging to business or social networks.^ The study finds that microcredit’s household impact is intimately tied to the female borrowers’ household conditions and social capital. It is recommended that microcredit services and programs offer their female clients assistance and additional basic services, financial guidance, lower interest rates, and flexible repayment schedules. ^

Making Alan Greenspan Your Hotel Investment Partner

The author presents a capitalization model applied in hotel valuation which is then used to illustrate how an increase in interest rates result in a lower valuation for hotels. It is demonstrated that changes in hotel valuations of up to 20 percent can be directly attributed to changes in interest rates.

Variables affecting government debt: A comparison of certificates of participation, tax -exempt revenue bonds and tax -exempt general obligation bonds

This dissertation analyzed and compared variables affecting interest rate and yield of certificates of participation, tax-exempt revenue bonds and tax-exempt general obligation bonds. The study employed qualitative and quantitative analysis methods. ^ Qualitative research methods included surveys, interviews and focus groups. The survey solicited debt load information from 67 Florida school districts (21 responded) and addressed the question which districts used certificates of participation and why. Eight individuals with experience dealing with all three debt instruments were interviewed. A follow-up focus group of six school district financial officers gathered additional data. Results from the qualitative methods revealed school districts used certificates of participation based on millage authority amount available relative to overall tax base. Also identified was the belief of a significant difference in certificates of participation costs and the other two debt instrument types. ^ The study's quantitative methods analyzed 1998 and 1999 initial issues of Moody's AAA rated certificates of participation, tax-exempt revenue bonds and tax-exempt general obligation bonds. Through an analysis of covariance (ANCOVA), the study examined interest rates and yields while controlling for the covariates of credit enhancement, issue size, and maturity date. The analysis identified no significant difference between interest rates of certificates of participation and tax-exempt general obligation bonds (p < 0.05). There was a significant difference between interest rates of tax-exempt revenue bonds and tax-exempt general obligation bonds. This study discerned no significant difference between yield on certificates of participation and tax-exempt general obligation bonds. It identified a difference in yield between both certificates of participation and tax-exempt general obligation bonds compared with tax-exempt revenue bonds. ^ The study found COPs to have lesser overall costs than RV bonds. COPs also have a quicker entry into the market resulting in construction cost savings. The study found policy implications such as investment portfolio limitations and public choice issues about using COPs as a mechanism to grow government. ^

Empirical study of exchange rates in Brazil, Canada and the Caribbean

This dissertation examines the monetary models of exchange rate determination for Brazil, Canada, and two countries in the Caribbean, namely, the Dominican Republic and Jamaica. With the exception of Canada, the others adopted the floating regime during the past ten years.^ The empirical validity of four seminal models in exchange rate economics were determined. Three of these models were entirely classical (Bilson and Frenkel) or Keynesian (Dornbusch) in nature. The fourth model (Real Interest Differential Model) was a mixture of the two schools of economic theory.^ There is no clear empirical evidence of the validity of the monetary models. However, the signs of the coefficients of the nominal interest differential variable were as predicted by the Keynesian hypothesis in the case of Canada and as predicted by the Chicago theorists in the remaining countries. Moreover, in case of Brazil, due to hyperinflation, the exchange rate is heavily influenced by domestic money supply.^ I also tested the purchasing power parity (PPP) for this same set of countries. For both the monetary as well as the PPP hypothesis, I tested for co-integration and applied ordinary least squares estimation procedure. The error correction model was also used for the PPP model, to determine convergence to equilibrium.^ The validity of PPP is also questionable for my set of countries. Endogeinity among the regressors as well as the lack of proper price indices are the contributing factors. More importantly, Central Bank intervention negate rapid adjustment of price and exchange rates to their equilibrium value. However, its forecasting capability for the period 1993-1994 is superior compared to the monetary models in two of the four cases.^ I conclude that in spite of the questionable validity of these models, the monetary models give better results in the case of the "smaller" economies like the Dominican Republic and Jamaica where monetary influences swamp the other determinants of exchange rate. ^

The relationship between faculty perceptions and implementation of elements of transactional distance theory and online web-based course completion rates

The purpose of this study was to explore the relationship between faculty perceptions, selected demographics, implementation of elements of transactional distance theory and online web-based course completion rates. This theory posits that the high transactional distance of online courses makes it difficult for students to complete these courses successfully; too often this is associated with low completion rates. Faculty members play an indispensable role in course design, whether online or face-to-face. They also influence course delivery format from design through implementation and ultimately to how students will experience the course. This study used transactional distance theory as the conceptual framework to examine the relationship between teaching and learning strategies used by faculty members to help students complete online courses. Faculty members' sex, number of years teaching online at the college, and their online course completion rates were considered. A researcher-developed survey was used to collect data from 348 faculty members who teach online at two prominent colleges in the southeastern part of United States. An exploratory factor analysis resulted in six factors related to transactional distance theory. The factors accounted for slightly over 65% of the variance of transactional distance scores as measured by the survey instrument. Results provided support for Moore's (1993) theory of transactional distance. Female faculty members scored higher in all the factors of transactional distance theory when compared to men. Faculty number of years teaching online at the college level correlated significantly with all the elements of transactional distance theory. Regression analysis was used to determine that two of the factors, instructor interface and instructor-learner interaction, accounted for 12% of the variance in student online course completion rates. In conclusion, of the six factors found, the two with the highest percentage scores were instructor interface and instructor-learner interaction. This finding, while in alignment with the literature concerning the dialogue element of transactional distance theory, brings a special interest to the importance of instructor interface as a factor. Surprisingly, based on the reviewed literature on transactional distance theory, faculty perceptions concerning learner-learner interaction was not an important factor and there was no learner-content interaction factor.

The Relationship between Faculty Perceptions and Implementation of Elements of Transactional Distance Theory and Online Web-Based Course Completion Rates

The purpose of this study was to explore the relationship between faculty perceptions, selected demographics, implementation of elements of transactional distance theory and online web-based course completion rates. This theory posits that the high transactional distance of online courses makes it difficult for students to complete these courses successfully; too often this is associated with low completion rates. Faculty members play an indispensable role in course design, whether online or face-to-face. They also influence course delivery format from design through implementation and ultimately to how students will experience the course. This study used transactional distance theory as the conceptual framework to examine the relationship between teaching and learning strategies used by faculty members to help students complete online courses. Faculty members’ sex, number of years teaching online at the college, and their online course completion rates were considered. A researcher-developed survey was used to collect data from 348 faculty members who teach online at two prominent colleges in the southeastern part of United States. An exploratory factor analysis resulted in six factors related to transactional distance theory. The factors accounted for slightly over 65% of the variance of transactional distance scores as measured by the survey instrument. Results provided support for Moore’s (1993) theory of transactional distance. Female faculty members scored higher in all the factors of transactional distance theory when compared to men. Faculty number of years teaching online at the college level correlated significantly with all the elements of transactional distance theory. Regression analysis was used to determine that two of the factors, instructor interface and instructor-learner interaction, accounted for 12% of the variance in student online course completion rates. In conclusion, of the six factors found, the two with the highest percentage scores were instructor interface and instructor-learner interaction. This finding, while in alignment with the literature concerning the dialogue element of transactional distance theory, brings a special interest to the importance of instructor interface as a factor. Surprisingly, based on the reviewed literature on transactional distance theory, faculty perceptions concerning learner-learner interaction was not an important factor and there was no learner-content interaction factor.