Interest Rate and Spot FX Relation: The Peruvian Sol (S/.) and the U.S. Dollar (U.S. $) in the Financial Market in Peru: Fisher Model for Determining the Peruvian Future Exchange in Electronic Mechanisms

2011 ◽  
Author(s):  
Edmundo R. Lizarzaburu
Keyword(s):  
Interest Rate ◽  
Financial Market ◽  
Fisher Model ◽  
The U.S ◽  
Future Exchange

What Influences the Market Outcome of Online P2P Lending Marketplace?

2015 ◽  
Vol 23 (3) ◽  
pp. 23-40 ◽  
Author(s):  
Yun Xu ◽  
Chuan Luo ◽  
Dongyu Chen ◽  
Haichao Zheng
Keyword(s):  
Social Capital ◽  
Interest Rate ◽  
Online Communities ◽  
Global Perspective ◽  
Archival Data ◽  
Bank Institution ◽  
Creditor Bank ◽  
Prior Literature ◽  
P2p Lending ◽  
The U.S

Online Peer-to-Peer (P2P) lending marketplaces allow individuals to lend and borrow directly among each other without the mediation of a creditor bank institution. Prior literature has examined online P2P, but has largely been limited to the Western context. This paper thus explores how social capital and other factors influences online P2P lending in the U.S. and China. Based on the archival data of Prosper and PPDai, we compare market outcome of two online P2P lending marketplaces in the U.S. and China. The empirical results show that social capital is not equally important in different online communities. Social capital seems to be more influential for likelihood of getting funded in China than in the U.S. In contrast, social capital has influence on interest rate in the U.S. only. The authors' study thus extends current understanding about how social capital influences online communities to a global perspective.

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2183
Author(s):  
Jiaqi Zhu ◽  
Shenghong Li
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Financial Market ◽  
Equilibrium Strategy ◽  
Stochastic Interest Rate ◽  
Programming Approach ◽  
Model Parameters ◽  
Stochastic Interest ◽  
The Impact ◽  
Mean Variance

This paper studies the time-consistent optimal investment and reinsurance problem for mean-variance insurers when considering both stochastic interest rate and stochastic volatility in the financial market. The insurers are allowed to transfer insurance risk by proportional reinsurance or acquiring new business, and the jump-diffusion process models the surplus process. The financial market consists of a risk-free asset, a bond, and a stock modelled by Heston’s stochastic volatility model. Interest rate in the market is modelled by the Vasicek model. By using extended dynamic programming approach, we explicitly derive equilibrium reinsurance-investment strategies and value functions. In addition, we provide and prove a verification theorem and then prove the solution we get satisfies it. Moreover, sensitive analysis is given to show the impact of several model parameters on equilibrium strategy and the efficient frontier.

scholarly journals Crash Risk in Currency Returns

2018 ◽  
Vol 53 (1) ◽  
pp. 137-170 ◽  
Author(s):  
Mikhail Chernov ◽  
Jeremy Graveline ◽  
Irina Zviadadze
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Empirical Model ◽  
Crash Risk ◽  
Currency Risk ◽  
Jump Risk ◽  
Bilateral Exchange ◽  
The U.S

We develop an empirical model of bilateral exchange rates. It includes normal shocks with stochastic variance and jumps in an exchange rate and in its variance. The probability of a jump in an exchange rate corresponding to depreciation (appreciation) of the U.S. dollar is increasing in the domestic (foreign) interest rate. The probability of a jump in variance is increasing in the variance only. Jumps in exchange rates are associated with announcements; jumps in variance are not. On average, jumps account for 25% of currency risk. The dollar carry index retains these features. Options suggest that jump risk is priced.

ENTRY COSTS, FINANCIAL FRICTIONS, AND CROSS-COUNTRY DIFFERENCES IN INCOME AND TFP

2014 ◽  
Vol 20 (4) ◽  
pp. 884-908 ◽  
Author(s):  
El-hadj Bah ◽  
Lei Fang
Keyword(s):  
Financial Market ◽  
Financial Frictions ◽  
Substantial Portion ◽  
Factor Productivity ◽  
Entry Costs ◽  
Level Statistics ◽  
Country Differences ◽  
Cross Country ◽  
Primary Focus ◽  
The U.S

This paper develops a model to assess the quantitative effects of entry costs and financial frictions on cross-country income and total factor productivity (TFP) differences, with a primary focus on the interaction between entry costs and financial frictions. The model is calibrated to match the establishment-level statistics for the U.S. economy, assuming a perfect financial market. The simulations based on the calibrated model show that entry costs and financial frictions together account for 55% and 46% of the cross-country variation in output and TFP in the data. Moreover, a substantial portion of the variation is accounted for by the interaction between entry costs and financial frictions. The main mechanism is that financial frictions amplify the effect of entry costs.

A Note on the ECB's Monetary Policy when Confronted with International Systemic Risks

2005 ◽  
Vol 5 (1) ◽  
pp. 1850029
Author(s):  
Alyson Bloomer ◽  
Thierry Warin
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Institutional Environment ◽  
September 11 ◽  
Liquidity Management ◽  
Systemic Risks ◽  
Before And After ◽  
The U.S ◽  
The Eu

This paper provides an analysis of the liquidity management of the euro. We tested the influence of five variables (the exchange rate, the price of oil, the EU deficit, the EU interest rate, and the U.S. interest rate) on the euro liquidity supply in addition to the fluctuation of the liquidity supply before and after September 11, 2001. While the literature focuses on the internal European institutional environment, this study looks at the international systemic risks and their influence on the liquidity supply. Ultimately, we come to the conclusion that the ECB’s liquidity supply is affected by international factors.

The impact of interest rate volatility on financial market inclusion: evidence from emerging markets

2017 ◽  
Vol 42 (2) ◽  
pp. 352-368 ◽  
Author(s):  
Massomeh Hajilee ◽  
Farhang Niroomand
Keyword(s):  
Interest Rate ◽  
Emerging Markets ◽  
Financial Market ◽  
Interest Rate Volatility ◽  
The Impact
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