scholarly journals CONHECIMENTO NECESSÁRIO PARA FUGIR DO JUROS NEGATIVOS

2020 ◽  
Vol 4 (2) ◽  
pp. 48-56
Author(s):  
Alexandre Godinho Bertoncello ◽  
Felipe Natan dos Anjos
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Capital Accumulation ◽  
Direct Relationship ◽  
Comparative Method ◽  
Fixed Income ◽  
Educational Levels ◽  
Macroeconomic Conditions ◽  
Small Investors ◽  
National Reality

Interest rates in Brazil have historically been high and for this reason the form of investment in the country has always been unsophisticated, large investors made fixed income, as the CDI and small investors applied in savings. In the present national scenario 2019/2020, it is possible to observe that Brazil will have macroeconomic conditions very different from those experienced in recent years, with a decrease in the aggregate government supply, a reduction in the increase in public and household debt, and a great reduction in interest rates. interest. In the coming years it will be important to diversify investments, after all the phenomenon of negative interest in other markets will be a national reality. To obtain answers, quantitative and exploratoryapproaches were used, and later the comparative method, to corroborate the correlation between capital accumulation and the macroeconomic scenario. As a result, it was possible to ascertain that there is no correlation between the base interest rate and indebtedness, but that there is a relationship between the return on traditional investments and interest, at the same time, educational levels have a direct relationship with indebtedness and thus we conclude that there is a new monetary reality, but we still do not have a new reality for investors and borrowers in Brazil

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

Derivatives Markets

2019 ◽  
pp. 151-166
Author(s):  
Halil Kiymaz ◽  
Koray D. Simsek
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Credit Derivatives ◽  
Forward Rate ◽  
Fixed Income ◽  
Over The Counter ◽  
Interest Rate Options ◽  
Interest Rate Derivatives ◽  
Fixed Income Derivatives ◽  
Derivatives Markets

Interest rate derivatives markets have enjoyed substantial growth since the late 1990s. This chapter discusses the development of these markets since 2000 and introduces the most popular interest rate derivative instruments. Although forward rate agreements and interest rate swaps are important examples of over-the-counter (OTC) products, futures on interest rates and bonds are innovations of organized exchanges. Both OTC interest rate options and exchange-traded options on interest rate futures are discussed to illustrate an overlapping area of both types of derivatives markets. Participants in debt markets are also exposed to both interest rate and credit risk. To mitigate the latter risk, the OTC fixed income derivatives markets provide credit default swaps (CDSs). As credit derivatives are also a subset of fixed income derivatives, CDSs are discussed further.

scholarly journals Analysis of the Money Supply and Interest Rate of Inflation in Indonesia

The Winners ◽  
2016 ◽  
Vol 17 (1) ◽  
pp. 9
Author(s):  
Darman Darman
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Direct Relationship ◽  
Secondary Data ◽  
T Test ◽  
Quantitative Approach ◽  
F Test ◽  
Simultaneous Test ◽  
The Interest Rate

Articleaimed to assess and analyze the effect of money supply and the interest rate on Inflation in Indonesia. This research applied descriptive quantitative approach with the nature of the explanatory method verification. The data used was secondary data in the money supply, interest rate and Inflation in Indonesia in 2000-2014. The results of this article are the partial test (t-test) indicates the money supply (X1), the rate of interest (X2) and there is no effect on Inflation (Y). While the results of the simultaneous test (F test) shows a strong and direct relationship between money supply and the interest rate on inflation. This means that the money supply and interest rates affect the rise and fall of inflation in Indonesia.

scholarly journals Analisis Perubahan Nilai Tukar Rupiah Akibat Peningkatan Inflasi, Tingkat Suku Bunga SBI dan Pertumbuhan Ekonomi (Studi Pada Bank Indonesia Periode 2008 – 2017)

2021 ◽  
Vol 23 (1) ◽  
pp. 20
Author(s):  
Mirna Herawati
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Interest Rate ◽  
Regression Model ◽  
Interest Rates ◽  
Direct Relationship ◽  
Inflation Rate ◽  
Rate Coefficient ◽  
Independent Variables ◽  
The Interest Rate

The purpose of this study was to determine the simultaneous effect of the inflation rate, interest rates and economic growth on the rupia exchange rate. This study also examines the partial effect of the inflation rate on the rupia exchange rate, finds the effect of interest rates on the rupia exchange rate, and economic growth on the rupia exchange rate. The research method used in this study is a quantitative method. The data source used is secondary data in the form of a Time Series. Time-series data is data that is collected over a specified period / period of time. The data collection technique used in this research is the documentary method taken from the Central Bureau of Statistic's data. From the calculation of the F value it is known that 0.00467 < 0.050, so there is a simultaneous influence of the inflation rate, interest rate and economic growth variables on the Rupiah exchange rate. The regression equation is Y = . The inflation rate coefficient for variable X1 is 0.009 and positive. This shows that the inflation rate has a direct relationship with the Rupiah exchange rate. This means that every time one unit of inflation increases, the beta variable (Y) of the rupia exchange rate will also increase by 0.009 with the assumption that other independent variables from the regression model have been corrected. The value of the interest rate coefficient for variable X2 is -0.02 and is negative. This indicates that the interest rate has a direct relationship with the Rupiah exchange rate. This means that each time the interest rate increases by one unit, the beta (Y) variable of the rupia exchange rate will decrease by 0.02 assuming that the other independent variables of the regression model have been corrected. If the value of economic growth (X3) increases one point, then the Y value will decrease by 0.06, assuming that the other independent variables of the regression model are fixed.Keywords: Inflation rate, interest rate, economic growth, rupia exchange rate

scholarly journals Steadiness of expectation theory measured by swaption curve

2021 ◽  
Vol 3 (2.1) ◽  
pp. 6-26
Author(s):  
Antonio Ruben Santillan Pashma
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Interest Rates ◽  
Banking Sector ◽  
Fixed Income ◽  
Short Term ◽  
High Volatility ◽  
Expectation Theory ◽  
One Year ◽  
Premium Risk

The financial crisis that broke out in mid-2007 has spread in the existing financial system with great instability favoring the devaluation of currencies with the fall in market interest rates. This has caused potential investors to become more risk-averse and therefore, look for financial products, although lower profitability, also poses less risk. Following this line, it is the Fixed Income assets that have acquired greater prominence in these times of crisis.  This article highlights the strength of the expectation theory in different tranches, using EURIBOR rate to determine implicit forwards, and estimate the price of a one-year swap contract with 3 months of maturity,  and comparing in every moment with the real prices of swap as a benchmark. SWAP is the bigger derivative inside of the group of Fixed Income Assets.  After the quantitative analyst, it has been observed how the theory prevails of sceneries of low volatility but falls on sceneries when the volatility starts to increase. Introduction.  One of the basic assumptions about financial theory is talking about the expectations theory. Since the middle of the eighties, this theory has been used as the unbiased estimator to calculate the swap interest rate in the base of the spot bank interest rate. Aim. Quantitativa analyst of the steadiness of expectations theory in differents economical cycles, using the European Central bank as the source to get hold of the EURIBOR spot rates for 3 months, 6 months, 9 months, and 12months from 2004 to 2016. Results. During the periods before the crisis 2007, the prices of the IRSWAP are almost adjusted between the market and what the financial theory says. The situation starts to change after the financial crisis when the volatility of the market starts to increase due to the instability of the banking sector and traders started with speculations strategies forgetting the aim of hedging, operating, new positions the majority in the short term. Conclusion. Whether for speculative reason or interventions actions of the monetary authority, the theory e “EXPECTATIONS THEORY”, it is not an efficient predictor with out using a premium risk, during the periods of high volatility.

Foreign Direct Investment and Investor Sentiment: A Causal Relationship

2016 ◽  
Vol 16 (4) ◽  
pp. 697-719
Author(s):  
M. Kabir Hassan ◽  
Mamunur Rashid ◽  
Esther Castro
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Investor Sentiment ◽  
Economic Stability ◽  
Vector Error Correction ◽  
Macroeconomic Conditions ◽  
Foreign Companies ◽  
Vector Error ◽  
Short Run ◽  
The Impact

Past studies investigated a number of fundamental variables influencing FDI in various countries. This study offers extensive evidence on the impact of investor sentiment on net FDI flows in Malaysia. Using a vector error correction framework, this study analyzed the net FDI flows in Malaysia for 56 quarterly observations between 1998 and 2011, and reported a strong positive connection between investor sentiment index and FDI flows in the presence of other macroeconomic variables in the long- and short-run. Other important factors deciding FDI in Malaysia are real GDP, interest rate and currency value. FDI exhibited a bi-directional Granger causality with investor sentiment and gross domestic product. FDI is also Granger caused by interest rate. Decomposing the sentiment index to two sub-indexes, we find that the attitude dimension of the index hold greater influence on FDI than the market trading dimensions although both are significant. The study concludes that expectation around financial market, expected economic condition of the country and the region (i. e. ASEAN), and interest rates are important determinants of FDI in Malaysia. It is one of the findings of this study that FDI cannot be attracted simply based on economic stability of the country; rather a conducive regional atmosphere is indeed necessary. Consequently, our findings suggest that rather than implementing policies to improve macroeconomic conditions, governments should attempt to improve the perception and outlook of Malaysia to foreign investors in order to increase FDI flows into the country. Investing in bilateral (and/or multilateral) relationships can be one of the steps to create a positive impression for the region to attract more foreign companies.

Rental index rate as an alternative to interest rate in Musharakah Mutanaqisah home financing

2016 ◽  
Vol 9 (3) ◽  
pp. 397-416 ◽  
Author(s):  
Rosylin Bt Mohd Yusof ◽  
Akhmad Affandi Mahfudz ◽  
Ahmad Suki Che Mohamed Arif ◽  
Nor Hayati Ahmad
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
House Price ◽  
Profit Rate ◽  
Content Type ◽  
Macroeconomic Conditions ◽  
True Value ◽  
Rental Rate ◽  
Practical Implications ◽  
Sustainable Financing

Purpose This paper aims to propose a new pricing alternative called Rental Rate Index (RR-I) that captures the true value of property to be used by Islamic banks in Musharakah Mutanaqisah (MM) contract for home financing. Design/methodology/approach By formulating a profit rate based on Rental Index (RI) and House Price Index (HPI), the proposed rate eliminates conventional profit rate benchmarking, and, at the same time, suggests a fair, equitable and sustainable financing. This new RR-I (measured by RPI/HPI) enables computerization of the MM system in home financing to be easily implemented. A financial simulation is developed to demonstrate the feasibility of this newly proposed rate. Findings This newly proposed RR-I is found to be more stable, having less fluctuations, resilient to macroeconomic conditions and yet comparable to the conventional interest rates, without depending on them. It can also be regarded as a rate that is fair and sustainable to both the customer and the bank, as it measures the actual rate of return to both parties in MM contract. Research limitations/implications The paper confines one contract, namely, MM, as it is claimed to be more Shariah-compliant than others. Practical implications The finding also sheds some light on the recommendation by Bank Negara Malaysia, which is to consider RR that is more indicative of the actual rental price while taking into account the competitiveness of the product. (BNM, 2007). Social implications This paper wreaks customer patronage in selecting the contract of home financing. Originality/value This paper attempts to resolve the issue of benchmarking RR to the conventional interest rate in the MM contract. Studies conducted on this issue via simulation approach are meager.

Inflation-Linked Bonds

2019 ◽  
pp. 345-362
Author(s):  
John Lettieri ◽  
Gerald O’donnell ◽  
Seow Eng Ong ◽  
Desmond Tsang
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Real Interest Rate ◽  
Inflation Rate ◽  
Critical Factor ◽  
Inflation Expectations ◽  
Investment Strategies ◽  
Fixed Income ◽  
Inflation Risk ◽  
Expected Inflation

Inflation is a critical factor that can influence investment strategies and returns. The relation between realized inflation and expected inflation are driving factors for both interest rates and the performance of fixed income products. Adding inflation-linked bonds to existing portfolios can help to minimize the risk associated with future inflation. Although nominal bonds offer protection from current inflation expectations, which is sometimes measured by the break-even inflation rate, inflation-linked bonds offer a guaranteed real return with inherent protection from unexpected inflation. The relative performance of inflation-linked bonds versus nominal bonds is primarily dependent on changes in both inflation and the real interest rate. This chapter focuses on the fundamentals of inflation-linked bonds including issuers, pricing, and measuring inflation expectations. It examines how such bonds reduce inflation risk and discusses the type of market environments that favor investments in inflation-linked bonds relative to nominal bonds.

scholarly journals Faktor-Faktor Yang Mempengaruhi Nilai Aktiva Bersih Reksadana Manulife Syariah Sektor Amanah

2017 ◽  
Vol 4 (2) ◽  
pp. 117
Author(s):  
Yesika Novita Lintang Gumilang ◽  
Leo Herlambang
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Mutual Funds ◽  
Capital Markets ◽  
Strong Influence ◽  
Quantitative Approach ◽  
Study Results ◽  
Asset Value ◽  
Net Asset Value ◽  
Small Investors

Mutual funds can be bridging For Small investors but Want to invest hearts Capital Markets Namely mutual funds, but so far there is hardly any who see mutual funds as part of an attractive investment exceeds savings, deposits, or even stocks.There is factors that affect Net Asset Value namely interest rates and market unsystematic risk. Based on this study proved this study uses a quantitative approach to the study results The results of this study is the Effect of interest rate and market unsystematic risk to Net Asset Value simultaneously significantly.The influence of interest rates on the second partial Net Asset Value significantly, interest rates affect the Net Asset Value of 99.4%, which means have a strong influence on the NAB. The effect of market unsystematic risk on a third partially NAB insignificant. market unsystematic risk affect the NAB amounted to only 66.2%.

Liquidity Traps and Jobless Recoveries

2017 ◽  
Vol 9 (1) ◽  
pp. 165-204 ◽  
Author(s):  
Stephanie Schmitt-Grohé ◽  
Martín Uribe
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Capital Accumulation ◽  
Extended Period ◽  
Nominal Wage ◽  
Jobless Recoveries ◽  
Jobless Growth ◽  
Nominal Interest Rates ◽  
Nominal Wage Rigidity ◽  
Feedback Rule

This paper proposes a model that explains the joint occurrence of liquidity traps and jobless growth recoveries. Its key elements are downward nominal wage rigidity, a Taylor-type interest rate feedback rule, the zero lower bound on nominal interest rates, and a confidence shock. Absent a change in policy, the model predicts that low inflation and high unemployment become chronic. With capital accumulation, the model predicts, in addition, an investment slump. The paper identifies a New Fisherian effect, whereby raising the nominal interest rate to its intended target for an extended period of time can boost inflationary expectations and thereby foster employment. (JEL E24, E31, E32, E43, E52, F44, G01)

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