Bonds and Interest Rates

2019 ◽  
pp. 257-271
Author(s):  
Tomas Björk
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Rate Theory ◽  
Forward Rates ◽  
Depth Study ◽  
Basic Concepts ◽  
Floating Rate

In this chapter the reader is introduced to the basic concepts of interest rate theory. Starting with a market for zero coupon bonds we define the relevant interest rates such as the short rate, the spot rates, and the forward rates. There is an in-depth study of the relations between the dynamics of these rates, and we also discuss some more applied topics as fixed coupon bonds, floating rate bonds, yields, duration, and convexity.

Theoretical Identifications of the Market Price of Risk under the Affine Interest Rate Model with Jumps

2005 ◽  
Vol 13 (2) ◽  
pp. 133-143
Author(s):  
Joon Hee Rhee
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Empirical Studies ◽  
Market Price ◽  
Rate Theory ◽  
Rate Model ◽  
Change Of Measure ◽  
Market Price Of Risk ◽  
Price Of Risk ◽  
Interest Rate Model

Any finance models must specify the market prices of risk that determines the relationship between the two probability measures. Although the general form of the change of measure is well known, few papers have investigated the change of measure for interest rate models and their implications for the way a model can fit to empirical facts about the behaviour of interest rates. This paper demonstrates that arbitrary specifications of market price of risk in empirical studies under the two factor affine interest rate model with jumps are not compatible with the theory of original interest rate model. Particularly, the empirical models of Duffee (2002) and Duarte (2003) may be wrong specifications in some parts under a rigorous theoretical interest rate theory.

Potentials and Positive Interest

2019 ◽  
pp. 317-330
Author(s):  
Tomas Björk
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Potential Theory ◽  
Discount Factor ◽  
Rate Theory ◽  
Stochastic Discount Factor ◽  
Two Alternatives

In this chapter we describe two approaches to interest rate theory which are built on probabilistic potential theory. This approach leads to positive interest rates and there is a nice connection to the stochastic discount factor. We present two alternatives: the Flesaker–Hughston approach, and the Rogers approach.

scholarly journals Interest Rate Theory in Islamic Economic Perspective

2021 ◽  
Vol 1 (1) ◽  
pp. 46-50
Author(s):  
Robist Hidayat
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Intrinsic Value ◽  
Rate Theory ◽  
Economic Perspective ◽  
Absolute Increase ◽  
Descriptive Research ◽  
The Government ◽  
Islamic Economic ◽  
The Interest Rate

Inflation is a condition in which there is a sharp (absolute) increase in prices that lasts continuously for a long period of time followed by a decline in the real (intrinsic) value of a country's currency. circulating through an increase in bank interest rates. For this reason, the government carries out monetary policy by suppressing the money supply through increasing bank interest rates. However, the interest rate has various kinds, namely classical interest rate theory, neo classical, modern keyness and hicks. Therefore, this study focuses more on interest rates and the theory of interest rates by experts. So that it produces descriptive research.  

LIBOR market model with multiplicative basis

2018 ◽  
Vol 05 (02) ◽  
pp. 1850014 ◽  
Author(s):  
Yangfan Zhong
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Slight Modification ◽  
Cash Flows ◽  
Market Model ◽  
Interest Rate Models ◽  
Forward Rates ◽  
Libor Market Model ◽  
Multiplicative Basis ◽  
Negative Interest Rates

The study on the multiple-curve interest rate models becomes increasingly active since the 2007 credit crunch, for which one curve, typically the OIS curve, is used for discounting purpose, while the LIBOR curves (associated with various market tenors) are used for projecting the future cash flows. In this work, we extend the standard LIBOR market model to accommodate such multiple-curve setting by means of a multiplicative basis. The multiplicative basis is modeled as an exponential function of multi-factor square-root processes. Under the multiplicative basis setup, the OIS forward rates are correlated with the implied (additive) LIBOR-OIS spreads. We then derive closed-form pricing formulas for caplet, swaption, and interest rate futures in the multiplicative basis framework. In particular, we show that the valuation of caplet and swaption can be easily computed by a proper integral of real-valued functions, which facilitates the calibration of our model. Finally, we discuss a slight modification of our model to allow for negative interest rates.

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

DETERMINAN INFLASI DI INDONESIA PERIODE 1980-2015

2016 ◽  
Vol 21 (1) ◽  
pp. 1-7
Author(s):  
Risna Risna
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Government Spending ◽  
Positive Impact ◽  
Secondary Data ◽  
Quantitative Approach ◽  
State Spending ◽  
Factors Affecting ◽  
The Interest Rate

This study aims to determine the effect of government spending, the money supply, the interest rate of Bank Indonesia against inflation.This study uses secondary data. Secondary data were obtained directly from the Central Bureau of Statistics and Bank Indonesia. It can be said that there are factors affecting inflationas government spending, money supply, and interest rates BI. The reseach uses a quantitative approach to methods of e-views in the data. The results of analysis of three variables show that state spending significantand positive impact on inflationin Indonesia, the money supply significantand negative to inflationin Indonesia, BI rate a significantand positive impact on inflation in Indonesia

FAKTOR DETERMINAN PENYALURAN KREDIT BANK PERSERO

2018 ◽  
Vol 23 (1) ◽  
pp. 60-71
Author(s):  
Wigiyanti Masodah
Keyword(s):  
Interest Rate ◽  
Linear Regression ◽  
Interest Rates ◽  
Regression Models ◽  
Linear Regression Models ◽  
Negative Impacts ◽  
Main Activity ◽  
The Impact ◽  
The Given ◽  
Multiple Linear Regression Models

Offering credit is the main activity of a Bank. There are some considerations when a bank offers credit, that includes Interest Rates, Inflation, and NPL. This study aims to find out the impact of Variable Interest Rates, Inflation variables and NPL variables on credit disbursed. The object in this study is state-owned banks. The method of analysis in this study uses multiple linear regression models. The results of the study have shown that Interest Rates and NPL gave some negative impacts on the given credit. Meanwhile, Inflation variable does not have a significant effect on credit given. Keywords: Interest Rate, Inflation, NPL, offered Credit.

Sign in / Sign up

Export Citation Format

Share Document