In this paper, we present an arithmetic short rate model based on generalized Langevin equations. The innovative feature of the model is that it accounts for memory effects in interest rate markets via the involved Langevin processes. In this setup, we provide a representation for the related...

With the transitions to overnight benchmarks as the main benchmarks in some currencies, futures based on overnight rates are becoming more common. The most traded futures on overnight rates settle against compounded rates. The pricing of those futures requires some convexity adjustments with an...

This research aims to study the viability of a reformed interbank rate for the Moroccan money market within the framework of the global transition of reference indices. Through the analysis of 351 days of quotation, we were able to obtain a rather encouraging result with the selected methodology...

Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the...

PCA (Principal Component Analysis) reduces the dimensionality of an input dataset while also ensuring that it preserves maximum information. In the present work, we conducted a PCA on US treasury Bonds. We took a data set of 9 treasury bonds of various maturities and computed the principal...

Interest rate caps, despite their intended objective of broadening financial inclusion, can have undesirable effects on financial inclusion under certain conditions. This paper examines the effect of microfinance-loan interest rate caps on financial inclusion in Cambodia. Based on a...

From interbank interest rate option prices, we obtain the implied market expectations for interest rates using a genetic algorithm and a multifactor term structure model. We further analyse how those expectations differ for a subset of options and futures, and whether those expectations...

John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper...

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...

This paper estimates the effects of monetary policy on real economic activity and prices in Japan, during the last three decades when the effective lower bound (ELB) on interest rates was occasionally binding. To identify monetary policy shocks, we use the monetary policy surprises from the...