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Interest rate swaps and economic exposure

Goswami, Gautam; Shrikhande, Milind - 1997

The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate...

Persistent link: https://www.econbiz.de/10010397508

Hedging, financing, and investment decisions: A simultaneous equations framework

Lin, Chen-miao; Smith, Stephen D.; Lin, Chen-miao; … - 2005

The purpose of this paper is to empirically investigate the interaction between hedging, financing, and investment … two decisions are being made. We argue that the way in which hedging affects the firms’ financing and investing decisions …, but not their leverage, by hedging. However, we also find that firms with few investment opportunities use derivatives to …

Persistent link: https://www.econbiz.de/10010397691

Comments on Piazzesi and Schneider's "Bond positions, expectations, and the yield curve"

Faust, Jon - 2008

This working paper comments on Monika Piazzesi and Martin Schneider's 'Bond Positions, Expectations, and the Yield Curve', delivered at the Fiscal Policy and Monetary/Fiscal Policy Interactions conference held at the Atlanta Fed on April 19-20, 2007.

Persistent link: https://www.econbiz.de/10010292346

Bond positions, expectations, and the yield curve

Piazzesi, Monika; Schneider, Martin - 2008

bond payoffs. Risk premia measured by an econometrician vary because of changes in investors' subjective risk premia that … measured risk premia. By contrast, subjective risk premia move less and more slowly over time. …

Persistent link: https://www.econbiz.de/10010292351

Measuring Expectations

Kjellberg, David - 2006

To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the...

Persistent link: https://www.econbiz.de/10010321584

The interest rate, learning, and inventory investment

Maccini, Louis J.; Schaller, Huntley; Moore, Bartholomew - 2004

Economic theory predicts a negative relationship between inventories and the real interest rate, but previous empirical studies (mostly based on the older stock adjustment model) have found little evidence of such a relationship. We derive parametric tests for the role of the interest rate in...

Persistent link: https://www.econbiz.de/10010333073

Exit strategies for monetary policy

Berentsen, Aleksander; Kraenzlin, Sébastien; Müller, … - 2018

In response to the financial crisis of 2007/08, all major central banks decreased interest rates to historically low levels and created large excess reserves. Central bankers and academics currently discuss how to implement monetary policy, going forward. We find that paying interest on reserves...

Persistent link: https://www.econbiz.de/10011969181

Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

A companion to The origin and diffusion of shocks to regional interest rates in the United States, 1880 - 2002

Rockoff, Hugh; Landon-Lane, John S. - 2006

This paper contains all of the statistical results underlying our paper The Origin and Diffusion of Shocks to Regional Interest Rates in the United States, 1880-2002. It also contains a table of the underlying data, and a discussion of how the data was constructed.

Persistent link: https://www.econbiz.de/10010274516

Exchange-rate stability causes deterioration of the productive sphere and destabilizes developing economies

Huerta González, Arturo - 2024

For Matías Vernengo and Esteban Pérez Caldentey (2020), the MMT literature overemphasizes the choice of the exchange rate regime and the relevance of a flexible exchange rate regime, as well as the ultimate effect of that choice upon the policy space. In addition, they argue that the role of...

Persistent link: https://www.econbiz.de/10014581843

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