Transactions Costs and the Term Structure of Interest Rates in the OTC Bond Market in Japan

1987 ◽  
Vol 19 (4) ◽  
pp. 515 ◽  
Author(s):  
Shinji Takagi
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Bond Market ◽  
Transactions Costs

Abstract: Exchange Rate Risk, Foreign-Pay Bond Issues and the Financial Behavior of Canadian Corporations

1977 ◽  
Vol 12 (4) ◽  
pp. 633-633
Author(s):  
Karl A. Stroetmann
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Bond Market ◽  
Financial Behavior ◽  
Exchange Rate Risk ◽  
Closed Economy ◽  
Abstract Exchange ◽  
Bond Issues ◽  
Basic Ideas ◽  
Financial Transactions

Some basic ideas of a model of the international term structure of interest rates are outlined. Based on Roll's (1970) theory of equilibrium interest rates in an efficient bond market of a closed economy, we show that the term structure of interest rates in countries whose residents engage in international financial transactions is a function of domestic and foreign traders' expectations of future domestic and foreign spot interest rates, or their degree of risk aversion, and of differences in time preferences.

scholarly journals Some Lessons from the Yield Curve

1995 ◽  
Vol 9 (3) ◽  
pp. 129-152 ◽  
Author(s):  
John Y Campbell
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Bond Market ◽  
Expectations Hypothesis ◽  
Expectation Hypothesis ◽  
Maturity Structure ◽  
Short And Long Term ◽  
The U.S

This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectation hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations hypothesis, but long rates tend to fall, which is contrary to the expectations hypothesis. The paper discusses the response of the U.S. bond market to shifts in monetary policy in the spring of 1994 and reviews the debate over the optimal maturity structure of the U.S. government debt.

scholarly journals Estimating Multi-factor CIR models of the Term Structure of Interest Rates in Korea Bond Market

2015 ◽  
Vol 14 (1) ◽  
pp. 35-64
Author(s):  
하태형 ◽  
임병화
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Bond Market

Estimating the Term Structure of Interest Rates and Default Risk Embedded in Korean Corporate Bonds

2005 ◽  
Vol 13 (2) ◽  
pp. 107-132
Author(s):  
Jang Koo Kang ◽  
Sung Hwan Kim ◽  
Chul Woo Han
Keyword(s):  
Kalman Filter ◽  
Interest Rates ◽  
Term Structure ◽  
Default Risk ◽  
Factor Model ◽  
Corporate Bonds ◽  
Bond Market ◽  
Credit Spreads ◽  
Square Root ◽  
Investment Grade

This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies. 12. PP. 197-226). The first part of this article fits the term structure of default-free interest rates to a translated two-factor square-root diffusion model. The parameters in the two-factor model are estimated by using a quasi-maxirnum-likelihood estimator in a state-space model in the Korean treasury bond market. A Kalman filter is used to estimate the unobservable factors. The two-factor model successfully incorporates random variations in the slope of the term structure and the level of interest rates‘ After estimating the default-free term structure of interest rates, the second part of this article extends the model to noncallable corporate bonds‘ This is done by assuming that the probability of default follows a translated square-root diffusion process with the possibility of being correlated with default-free interest rates. The parameters of the process are estimated for investment-grade corporate bonds including AM. AA, A. and BBB. Empirical results show that the default risk is negatively correlated with default-free interest rates and confirm that the default risk is greater for lower grades. In addition, the estimated model successfully produces the term structures of credit spreads for corporate bonds and show that the credit spreads for lower grade bonds are more steeply sloped than those for higher grade bonds. These results show that Duffee's model can reasonably account for the observed corporate bond prices in the Korean bond market.

Wartime finance and the term structure of interest rates

1969 ◽  
Author(s):  
Julian Howard Taylor
Keyword(s):  
Interest Rates ◽  
Term Structure
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