The causes and consequences of recent interest rate movements : hearings before the Subcommittee on Domestic Monetary Policy of the Committee on Banking, Finance, and Urban Affairs, House of Representatives, Ninety-eighth Congress, second session, June 8 and July 24, 1984.

Mode of access: Internet.

Interest rate levels of FmHA loan programs [microform] : hearing before the Subcommittee on Agricultural Credit and Rural Electrification and the Subcommittee on Rural Development of the Committee on Agriculture, Nutrition, and Forestry, United States Senate, Ninety-sixth Congress, second session, June 10, 1980.

Reuse of record except for individual research requires license from Congressional Information Service, Inc.

Short-horizon excess returns and exchange rate and interest rate effects

stocks. We examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1-40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.

Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

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. ^

Do U.S. and Colombian macro factors improve the forecasting ability of unrestricted VAR models of the local term structure of interest rate?

Este estudio empírico compara la capacidad de los modelos Vectores auto-regresivos (VAR) sin restricciones para predecir la estructura temporal de las tasas de interés en Colombia -- Se comparan modelos VAR simples con modelos VAR aumentados con factores macroeconómicos y financieros colombianos y estadounidenses -- Encontramos que la inclusión de la información de los precios del petróleo, el riesgo de crédito de Colombia y un indicador internacional de la aversión al riesgo mejora la capacidad de predicción fuera de la muestra de los modelos VAR sin restricciones para vencimientos de corto plazo con frecuencia mensual -- Para vencimientos de mediano y largo plazo los modelos sin variables macroeconómicas presentan mejores pronósticos sugiriendo que las curvas de rendimiento de mediano y largo plazo ya incluyen toda la información significativa para pronosticarlos -- Este hallazgo tiene implicaciones importantes para los administradores de portafolios, participantes del mercado y responsables de las políticas

Impactos da adoção do padrão contábil IFRS no Brasil : houve redução na percepção do risco de seleção adversa pelos credores não bancários das empresas de capital aberto brasileiras?

Dissertação (mestrado)—UnB/UFPB/UFRN, Programa MultiInstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2016.

Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Governed by the cycle : direct and inverted interest-rate sensitivity of emerging market corporate debt

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 – 2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

Three essays on the interest rate cruve multiplicity in the interbank market

Esta tesis lleva por título ”Tres ensayos sobre la multiplicidad de curvas de tipos de interés en el mercado interbancario” y está compuesta por tres artículos de investigación independientes en los que se analiza la evolución de los diferenciales del mercado interbancario del Euro en el periodo post-crisis. El objetivo es obtener información embebida en las cotizaciones de estos diferenciales emplenado distintas metodologías e identificar las variables que subyacen al fenómeno de la multiplicidad de curvas, caracterizando el papel que juegan a la hora de explicar esta evolución. El análisis se realiza según una aproximación cercana a la práctica de mercado (Capítulo 2), siguiendo técnicas de valoración de activos (Capítulo 3) y finalmente considerando métodos econométricos (Capítulo 4). El Capítulo 2, que incluye el primer ensayo, se centra en la evolución dinámica de las distintas curvas de tipos de interés surgidas a raíz de la crisis -diferenciadas por la periodicidad de pago del tipo de interés subyacente- a través del estudio de sus diferenciales respecto a la curva overnight. La metodología empleada es similar a la de Diebold and Li (2006) y se resume en tres factores principales que se interpretan como nivel, pendiente y curvatura. El análisis de componentes principales de estos factores para distintas periodicidades muestra que existen patrones comunes entre los factores de las diferentes curvas, en particular el primer componente principal explica el 90% de su variación. El estudio de los determinantes de estos factores revela importantes conclusiones sobre las fuentes de este patrón. En concreto, se observa que el nivel tiene una relación muy importante con el riesgo de crédito. Asimismo, el estudio del contenido informacional de los errores residuales del modelo -mediante el cómputo de la medida de ruido de Hu et al. (2013)- nos lleva a concluir que estos residuos tienen relación con la liquidez. El análisis de estos datos empleando téncicas VAR refuerza estos resultados...

The Impact of the 2007-2009 Financial Crisis on the Relationship between Central Bank Rates and the Corresponding Interbank Interest Rates in 2002-2014

The role of central banks throughout the global financial system has become even more important during and after the events of the financial crisis. In order to stabilize the market conditions and provide solid ground for future development, the central banks use discount rate as their primary monetary policy tool in many developed and emerging economies. The purpose of this thesis is to examine how the relationship between central bank rates and corresponding interbank rates has developed before, during and after the crisis period of 2007-2009 in five developed countries and five emerging market countries. The results indicate that during the before-crisis period the interest rate markets reacted diversely but the joint recovery attempts of global economies seem to have stabilized the reactions during and especially after the crisis. The crisis also seems to have highlighted the characteristics of each country’s survival strategy as the role of other policy instruments arose.