scholarly journals The effects of different inflation risk premiums on interest rate spreads

2004 ◽  
Vol 333 ◽  
pp. 317-324 ◽  
Author(s):  
Hakan Berument ◽  
Zubeyir Kilinc ◽  
Umit Ozlale
Keyword(s):  
Interest Rate ◽  
Inflation Risk ◽  
Risk Premiums ◽  
Interest Rate Spreads

scholarly journals Pricing Sovereign Debt in Resource-Rich Economies

2019 ◽  
Vol 19 (240) ◽  
Author(s):  
Thomas McGregor
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Debt ◽  
Emerging Market ◽  
Sovereign Default ◽  
Oil Price ◽  
Risk Premiums ◽  
Sovereign Spreads ◽  
Sovereign Default Risk ◽  
Interest Rate Spreads

How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a stochastic general equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous sovereign default risk. The model explains a large proportion of business cycle fluctuations in interest-rate spreads in oil-exporting emerging market economies, particularly the countercyclicallity of interest rate spreads and oil prices. Higher risk-aversion, more impatient governments, larger oil shares and a stronger correlation between domestic output and oil price shocks all lead to stronger co-movements between risk premiums and the oil price.

Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 79-80
Author(s):  
Frank T. Magiera
Keyword(s):  
Exchange Rate ◽  
Equity Returns ◽  
Inflation Risk ◽  
Risk Premiums

scholarly journals Macroeconomic determinants of interest rate spreads in Ghana

2017 ◽  
Vol 8 (1) ◽  
pp. 76-88 ◽  
Author(s):  
Samuel Kwabena Obeng ◽  
Daniel Sakyi
Keyword(s):  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Institutional Quality ◽  
Fiscal Discipline ◽  
Content Type ◽  
Distributed Lag ◽  
Short Run ◽  
Interest Rate Spreads ◽  
Macroeconomic Determinants ◽  
The Impact

Purpose The purpose of this paper is to examine macroeconomic determinants of interest rate spreads in Ghana for the period 1980-2013. Design/methodology/approach The autoregressive distributed lag bounds test approach to cointegration and the error correction model were used for the estimation. Findings The results indicate that exchange rate volatility, fiscal deficit, economic growth, and public sector borrowing from commercial banks, increase interest rate spreads in Ghana in both the long and short run. Institutional quality reduces interest rate spreads in the long run while lending interest rate volatility and monetary policy rate reduce interest rate spreads in the short run. Research limitations/implications The depreciation of the Ghana cedi must be controlled since its volatility increases spreads. There is a need for fiscal discipline since fiscal deficits increase interest rate spreads. Government must reduce its domestic borrowing because the associated crowding-out effect increases interest rate spreads. The central bank must improve its monitoring and regulation of the financial sector in order to reduce spreads. Originality/value The main novelty of the paper (compared to other studies on Ghana) lies on the one hand; analysing macroeconomic determinants of interest rate spreads and, on the other hand, controlling for the impact of institutional quality on interest rate spreads in Ghana.

Interest rate spreads implicit in options: Spain and Italy against Germany

2000 ◽  
Vol 10 (2) ◽  
pp. 155-161 ◽  
Author(s):  
Bernardino Adao ◽  
Jorge Barros Luis
Keyword(s):  
Interest Rate ◽  
Interest Rate Spreads

scholarly journals Can Interest Rate Spreads Stabilize the Euro Area?

2014 ◽  
Author(s):  
Michal Brzoza-Brzezina ◽  
Jacek Kotlowski ◽  
Kamil Wierus
Keyword(s):  
Interest Rate ◽  
Euro Area ◽  
Interest Rate Spreads

scholarly journals Safe Assets, Liquidity, and Monetary Policy

2017 ◽  
Vol 9 (2) ◽  
pp. 182-227 ◽  
Author(s):  
Pierpaolo Benigno ◽  
Salvatore Nisticò
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Risk Sharing ◽  
Balance Sheet ◽  
Multiple Assets ◽  
Interest Rate Spreads ◽  
The Interest Rate ◽  
Liquidity Shock ◽  
Deep Recession

This paper studies monetary policy in models where multiple assets have different liquidity properties: safe and “pseudo-safe” assets coexist. A shock worsening the liquidity properties of the pseudo-safe assets raises interest rate spreads and can cause a deep recession-cum-deflation. Expanding the central bank’s balance sheet fills the shortage of safe assets and counteracts the recession. Lowering the interest rate on reserves insulates market interest rates from the liquidity shock and improves risk sharing between borrowers and savers. (JEL E31, E32, E43, E44, E52)

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