Actuarial values, book gimel : tables for computing depreciation adjustment factors : interest rates from 2.2 percent to 22.0 percent : for income tax purposes only.

"7-1999."

Testing the expectations hypothesis when interest rates are near integrated /

Mode of access: Internet.

Modeling long-term nominal interest rates /

"August 1995."

Subcommittee report on credit card interest rates.

Cover title.

Social Security, interest rates, and life cycle consumption /

Prepared for Manpower Administration, Washington, D.C. Office of Manpower Research and Development.

To lower interest rates on farm mortgages : hearing before a subcommittee ... Seventy-fourth Congress, second session on S. 4090, a bill to amend the farm credit act of 1935, to provide lower interest rates on federal land bank loans, and for other purposes; S. 4157 ... April 29, 1936.

Mode of access: Internet.

Inflation expectations, interest rates and arbitrary income transfers

Unexpected inflation, disinflation or deflation cause arbitrary income transfers between an economy's borrowers and lenders. This redistribution results from distorted real interest rates that are too high when price level changes are over-predicted and too low when they are under-predicted. This article shows that in Australia's case, inflation expectations were mostly biased upwards throughout the 1990s, according to the Melbourne Institute of Applied Economic and Social Research series and to a new derived series based on bond yields, implying that real interest rates were too high over this time. In turn, this caused substantial arbitrary income transfers from debtors to creditors, estimated to have averaged up to 3 per cent of gross domestic product over the period.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Kamatlábak és árszint kis, nyitott gazdaságban = Interest rates and price levels in a small open economy

A tanulmány azt vizsgálja, hogy a különböző kamatlábaknak milyen hatásai vannak az árszintre, illetve a nominális árakra egy nyitott elsősorban kis, nyitott gazdaságban szabad tőkeáramlás mellett. Míg a zárt gazdaságban csupán a nominális és reálkamatláb megkülönböztetése a lényeges, nyitott gazdaságban a kamatlábak vizsgálatakor meg kell fontolnunk a kamatlábparitás kérdését is. Tisztáznunk kell a reálkamatláb összetevőit, amelyben fontos szerepet kap mind az árfolyam-begyűrűzés (pass-through), mind pedig a kockázati prémium mértéke. A kamatlábhatások vizsgálatakor először azt a mechanizmust elemezzük, amely által a kamatláb befolyásolja a tartós jószágok költségét (explicit vagy implicit bérleti díját). Másodszor az exportszektor termelési döntése és a hazai kamatláb viszonyára vonatkozó mechanizmust vizsgáljuk. Belátjuk, hogy az exportáló szektor döntései függetlenek lehetnek a belföldi kamatlábaktól. Harmadszor bizonyos árazási viselkedéseket tanulmányozunk. Bebizonyítjuk, hogy a kamatláb olyan növelése, ami nem változtat a jelenlegi árfolyamon, árszintnövelő az importőr ország számára. Megfogalmazható az a nézet, hogy ha van is a kamatlábaknak keresleti hatása a zárt gazdaságban, a kis, nyitott gazdaságban ez vélhetőleg sokkal gyengébb. _____ The study examines what effects various interest rates have on the price level and nomi-nal prices in an open (primarily small) economy with free flows of capital. A closed economy calls for a distinction only between nominal and real rates of interest, but in an open economy, questions of interest-rate parity have to be considered as well. It is nec-essary to clarify the factors behind the real interest rate important for price-level pass-through and for the scale of risk premium. Analysis of interest-rate effects begins with the mechanism whereby the interest rate influences the cost of fixed assets (explicit or implicit rents). Secondly, the mechanism behind the relation of export-sector production decisions and domestic interest rates is examined. It emerges that decisions of the export sector are independent of domestic interest rates. Thirdly, certain types of pricing behav-iour are studied. It is shown that a rise in the interest rate that does not alter the present exchange rate is a price-raising factor for the importing country. It can be assumed that if the interest rate has a demand effect in a closed economy, this will presumably be much weaker in a small open economy.

Nagyobb kockázat, nagyobb növekedési ütem - kockázat nélkül nincs növekedés! Hozzászólás Thomas Piketty A tőke a 21. században című könyvéhez (Why are interest rates higher than growth rates? A comment on Thomas Piketty's Capital in the Twenty-First Century)

E rövid írás aktualitását az adja, hogy nemrégen jelent meg magyarul Thomas Piketty híres könyve: A tőke a 21. században. A könyv központi gondolata, hogy az elmúlt kétszáz év átlagában a gazdaság átlagos növekedési üteme, a g jelentősen elmarad az r értékétől, vagyis a tőke átlagos hozamától. A nevezetes r>g összefüggés egyik lehetséges oka, hogy az r szórása nagyobb, mint a g-é. A nagyobb szórás mögött nagyobb kockázati motívumok állhatnak. Ebből következően a Piketty által javasolt adókat jelentős mértékben a pénzügyi tőkének kellene viselnie. ____ The immediacy of this note derives from the fact that Picatty's famous Capital in the Twenty-First Century has been recently published in Hungarian. The central issue in the book is that taking the average of 200 years, the mean growth rate g is lower than the average return on capital r. One possible explanation of this famous r > g inequality may be that the standard deviation of r is greater than that of g because of the greater appetite for risk. The implication to draw from this is that financial capital should bear the majority of the taxes being suggested by Piketty.

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. ^