scholarly journals How Does Internet Finance Influence the Interest Rate? Evidence from Chinese Financial Markets

2018 ◽  
Vol 2 (1) ◽  
Author(s):  
Changqing Luo ◽  
Mengzhen Li ◽  
Pin Peng ◽  
Siyuan Fan
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Internet Finance ◽  
The Interest Rate

scholarly journals Каматна стопа као случајна промјенљива – могући одговор на промјенљивост финансијских тржишта // The interest rate as a stochastic variable – possible answer to financial markets volatility

2012 ◽  
Vol 10 (16) ◽  
pp. 319
Author(s):  
Бојан Башкот
Keyword(s):  
Interest Rate ◽  
Continuous Function ◽  
Financial Markets ◽  
Capital Cost ◽  
Stochastic Variable ◽  
Adequate Evaluation ◽  
The Interest Rate

Резиме: У овом раду презентована је каматнa стопа у условима конзистентног тржишта, односно функција камате је одређена како непрекидна функција, што омогућава да се каматна стопа посматра као случајна промјенљива. У том контексту презентована је Студлијева формула (Stoodley) као могућност адекватног вредновања цијене капитала у условима конзистентног тржишта.Summary: This paper presents the interest rate in terms of consistent market, i.e. function of interest is defined as a continuous function which further allows to view the interest rate as a stochastic variable. In this context Stoodley`s formula is presented as a possibility of adequate evaluation of capital cost in terms of consistent market.

The Determination of Interest Rates and the Effectiveness of Monetary Policy in Deregulated Financial Markets

1993 ◽  
Vol 4 (1) ◽  
pp. 120-139
Author(s):  
Penelope N. Neal
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Financial Markets ◽  
Interest Rates ◽  
Economic Activity ◽  
Empirical Studies ◽  
Correlation Coefficients ◽  
Monetary Authorities ◽  
The Interest Rate

This paper examines two issues pertinent to the effective implementation of monetary policy: firstly, the ability of the monetary authorities to control interest rates and secondly, whether interest rates have exhibited a leading, relationship with economic activity since deregulation of the financial markets. If expenditures are unresponsive to changes in interest rates it is shown that the monetary authorities have the ability to determine the interest rate but if the authorities attempt to push interest rates into regions in which expenditures become interest rate elastic, a role for liquidity preference in determination of the interest rate is restored. This limits the effects of discretionary monetary policy to the short-term. Previous empirical studies, graphs and correlation coefficients indicate only limited evidence for a negative association between interest rates and changes in economic activity whereas Granger causality tests indicate that predictable relationships between interest rates and economic activity have existed in Australia for the period in which financial markets have been deregulated.

scholarly journals Jump Telegraph Processes and Financial Markets with Memory

2007 ◽  
Vol 2007 ◽  
pp. 1-19 ◽  
Author(s):  
Nikita Ratanov
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Financial Market ◽  
Stock Prices ◽  
Call Option ◽  
Market Models ◽  
New Class ◽  
Risk Neutral ◽  
The Interest Rate ◽  
With Memory

The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.

scholarly journals Liquidity preference in a world of endogenous money: A short-note.

2020 ◽  
Vol 39 (81) ◽  
pp. 595-612
Author(s):  
Marco Missaglia ◽  
Patricia Sanchez
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Short Note ◽  
The Real ◽  
Keynesian Theory ◽  
Endogenous Money ◽  
The Interest Rate

We argue that even in the case that banks are able to maintain the interest rate at a level that they want (the most “radical” version of the theory of endogenous money), liquidity preference continues to constitute a key element when determining the real equilibrium of the economy. In a framework of endogenous money, the Keynesian theory of liquidity preference still constitutes a theory that determines level of income. Financial markets matter, and the Kaldorian idea that liquidity preference “ceases to be of any importance” can only be defended under a set of very restrictive assumptions.

scholarly journals The Use of the VEC Model to Study the Impact of the Third Party Payment on the Interest Market in China

2017 ◽  
Vol 9 (2) ◽  
pp. 100
Author(s):  
Yaqian Pan ◽  
Shubing Li ◽  
Xinxin Chen ◽  
Shiqi Yu ◽  
Lijuan Yu
Keyword(s):  
Interest Rate ◽  
Third Party ◽  
Financial Deepening ◽  
Interest Rate Liberalization ◽  
The Third ◽  
Financial Products ◽  
Vec Model ◽  
Internet Finance ◽  
The Interest Rate ◽  
The Impact

This paper aims to study the effects of cross section of Internet finance and mobile payment on the Internet financial deepening and the interest rate liberalization. Because more than 50% of online payment is completed by way of mobile payments and financial products in Internet finance also have such two ways as online transactions and mobile client transactions, the interest rate index on behalf of the Internet finance can be largely replaced by the return of financial products in it. The study of the relationship between return of common monetary fund in transactional Internet finance and quasi benchmark fund—SHIBOR helps to determine the effect of Internet mobile payment on Internet financial deepening and the interest rate liberalization. First, ensure the stability of time series data on SHIBOR, Yu’E Bao returns, payment of the third party with ADF test and Johansen co-integration test and then build the VEC model and perform T test and AR stationary test, then make response analysis on impulse function to describe the impact of endogenous variables. Finally, make analysis and risk prevention suggestions according to empirical results based on the market situation.

scholarly journals The Laws of Motion of the Broker Call Rate in the United States

2019 ◽  
Vol 7 (4) ◽  
pp. 56
Author(s):  
Alex Garivaltis
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
The United States ◽  
Loan Pricing ◽  
No Arbitrage ◽  
Laws Of Motion ◽  
The Interest Rate ◽  
Basic Features ◽  
Corporate Liability ◽  
The U.S

In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-reverting behavior of this series and juxtapose the empirically-derived laws of motion with the author’s prior theories of margin loan pricing (Garivaltis 2019a, 2019b). This allows us to derive stochastic differential equations that govern the evolution of the margin loan interest rate and the leverage ratios of sophisticated brokerage clients (namely, continuous-time Kelly gamblers). Finally, we apply Merton’s (1974) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the total volume of call loans must constitute north of 70 % of the value of all leveraged portfolios.

Consequences of interest rates benchmarks reform

2020 ◽  
pp. 93-110
Author(s):  
S. R. Moiseev
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Interest Rates ◽  
Large Scale ◽  
Developing Economies ◽  
Central Banks ◽  
Money Markets ◽  
Developed Economies ◽  
Starting Point ◽  
The Interest Rate

The reform of benchmarks is carried out in developed economies from 2014 to 2021. The starting point of a large-scale reform was the scandal with the interest rate LIBOR. Instead of it, national so-called “risk-free” interest rates will appear. Although a problem of manipulating LIBOR will be resolved, new benchmarks bring new problems. They have statistical biases and will not be comparable either to LIBOR or to each other due to methodological differences. The new benchmark rates are overnight rates, and their calculation does not imply the formation of term rates. Instead of the homogeneous LIBOR family, financial markets have received a heterogeneous group of new rates. In some developing economies money markets are absent, and their central banks are faced with a problem of how to calculate the local benchmark rate under the new rules. As an alternative they are searching to use interest rates in neighboring markets.

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