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JEL Code: E43
341,707 Total downloads
Showing Papers 321 - 370 of 1,868
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Long-term Interest Rates and Inflation University of Piraeus Department of Banking and Finance Working Paper
Dimitrios Malliaropulos
Date Posted: June 23, 2003275 downloads
Swap Market Model: Theory and Empirical Evidence
Bing Gan
,
Zhenke Guan
and
Ser-Huang Poon
affiliation not provided to SSRN
and
University of Manchester - Business School
Date Posted: October 20, 2008274 downloads
Bank Lending Rates and Financial Structure in Italy: A Case Study IMF Working Paper No. 95/38
Carlo Cottarelli ,
Giovanni Ferri and
Andrea Generale
Date Posted: February 15, 2006273 downloads
How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches ECB Working Paper No. 910
Martin Scheicher
Date Posted: July 01, 2008Last Revised: September 15, 2008273 downloads
Predictability and the Dynamics of Long Forward Rates
Andrew P. Carverhill
Date Posted: May 08, 2001273 downloads
Simple Robust Hedging with Nearby Contracts
Liuren Wu and
Jingyi Zhu
Date Posted: November 02, 2010272 downloads
Valutation, Liquidity and Risk in Government Bond Markets IGIER Working Paper No. 281
Carlo A. Favero ,
Marco Pagano and
Ernst-Ludwig von Thadden
Date Posted: February 07, 2005272 downloads
Setting Interest Rates in the Modern Money Era Wartburg College and the Center for Full Employment and Price Stability Working Paper No. 34
Scott T. Fullwiler
Date Posted: December 12, 2010270 downloads
Monetary Policy Effects on Long-Term Rates and Stock Prices EFA 2008 Athens Meetings Paper
Samuel Reynard
and
Angelo Ranaldo
Date Posted: March 06, 2008269 downloads
Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements FEDS Working Paper No. 2004-66
Refet S. Gurkaynak ,
Brian P. Sack and
Eric T. Swanson
Date Posted: December 19, 2004268 downloads
Uncovering Inflation Expectations and Risk Premiums from Internationally Integrated Financial Markets EFA 0209; Bank of Canada Working Paper No. 99-6
Ben Siu Cheong Fung ,
Scott Mitnick and
Eli M. Remolona
Date Posted: November 18, 1999267 downloads
Global Factors and Emerging Market Spreads CIF Working Paper No. 07/2005
Martín González-Rozada and
Eduardo Levy Levy-Yeyati
Date Posted: January 02, 2006266 downloads
Generalized M-Vector Models for Hedging Interest Rate Risk
Sanjay K. Nawalkha ,
Gloria M. Soto
and
Jun Zhang
affiliation not provided to SSRN
Date Posted: July 09, 2007265 downloads
TIPS Options in the Jarrow-Yildirim Model
Marc P. A. Henrard
Date Posted: March 24, 2006264 downloads
Convexity Adjustments for ATS Models ISEG Advance Working Paper No. 9/2008
Raquel M. Gaspar and
Agatha Murgoci
Date Posted: May 05, 2009Last Revised: December 16, 2010262 downloads
Government Debt and Long-Term Interest Rates IMF Working Paper No. 06/63
Noriaki Kinoshita
Date Posted: April 26, 2006261 downloads
Definition of Price Stability, Range and Point Inflation Targets: The Anchoring of Long-term Inflation Expectations ECB Working Paper No. 273
Efrem Castelnuovo ,
Sergio Nicoletti Altimari
and
Diego Rodriguez-Palenzuela
Date Posted: January 22, 2004260 downloads
Conditioning Information, Out-of-Sample Validation, and the Cross-Section of Stock Returns EFA 2004 Maastricht Meetings Paper No. 3184
Kevin Q. Wang
Date Posted: July 02, 2004259 downloads
Financial Markets Equilibrium with Heterogeneous Agents
Jaksa Cvitanic ,
Elyes Jouini ,
Semyon Malamud
and
Clotilde Napp
Date Posted: March 13, 2010259 downloads
Anticipations of Monetary Policy in Financial Markets FEDS Working Paper No. 2001-24
Joe Lange ,
Brian P. Sack and
William C. Whitesell
Date Posted: July 14, 2001258 downloads
Bond Portfolio Management Using the Dynamic Nelson-Siegel Model
João Caldeira
,
Guilherme V. Moura and
Andre A. P. Santos
Date Posted: June 07, 2012Last Revised: March 11, 2013258 downloads
Adaptive and High-Order Methods for Valuing American Options Journal of Computational Finance, Forthcoming
Christina Christara
and
Duy Minh Dang
Date Posted: May 02, 2010257 downloads
A Dynamic Inflation Hedging Trading Strategy Using a CPPI Journal of Finance & Risk Perspectives, Volume 1 (2) 2012, 12th ACRN International Research Conference Proceeding 2012, Steyr, European Business Research Conference Proceedings 2012, Rome
Nicolas Fulli-Lemaire
Date Posted: January 03, 2012Last Revised: January 07, 2013255 downloads
Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison ECB Working Paper No. 580
Christoffer Kok Sorensen
and
Thomas Werner
Date Posted: January 18, 2006255 downloads
Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework FRB of San Francisco Working Paper No. 2004-03
Miguel A. Ferreira and
Jose A. Lopez
Date Posted: December 08, 2003255 downloads
Gold, Fiat and Credit. An Elementary Discussion of Commodity Money, Fiat Money and Credit Cowles Foundation Discussion Paper No. 1460
Thomas Quint
and
Martin Shubik
Date Posted: May 20, 2004255 downloads
Information in the Term Structure of LIBOR Interest Rates
Robert Brooks and
Brandon N. Cline
Date Posted: September 29, 2005254 downloads
Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates
Joseph G. Haubrich ,
Peter H. Ritchken
and
George Pennacchi
Date Posted: March 17, 2009252 downloads
Higher Order Forward Rate Agreements and the Smoothness of the Term Structure
Stefan R. Jaschke
Date Posted: August 03, 1998252 downloads
The Operational Target of Monetary Policy and the Rise and Fall of Reserve Position Doctrine ECB Working Paper No. 372
Ulrich Bindseil
Date Posted: December 03, 2004252 downloads
Common Risk Factors in the US and UK Interest Rate Swap Markets: Evidence From a Non-linear Vector Autoregression Approach Brunel University Working Paper
Costas Milas and
Ilias Lekkos
Date Posted: February 27, 2002251 downloads
Fisher's Theory of Interest Rates and the Notion of 'Real': A Critique Levy Economics Institute Working Paper No. 483
Eric Tymoigne
Date Posted: December 05, 2006249 downloads
The Reaction of Exchange Rates and Interest Rates to News Releases FRB International Finance Discussion Paper No. 570
Hali J. Edison
Date Posted: November 24, 1997249 downloads
Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices BIS Working Paper No. 248
Stefania D'Amico
and
Min Wei
Date Posted: April 16, 2008249 downloads
Valuation of Convexity Related Derivatives IES Working Paper No. 4/2008
Jiri Witzany
Date Posted: May 14, 2008Last Revised: February 12, 2009249 downloads
Dynamic Risk Profile of the US Term Structure by Wavelet MRA Kent State University, Finance Working Paper
Sutthisit Jamdee
and
Cornelis A. Los
Date Posted: February 04, 2003247 downloads
Policy Duration Effect under Zero Interest Rates: An Application of Wavelet Analysis CESifo Working Paper Series No. 1138
Kunio Okina and
Shigenori Shiratsuka
Date Posted: March 24, 2004247 downloads
Modelling the Yield Curve IMF Working Paper No. 91/134
Mark P. Taylor
Date Posted: February 15, 2006246 downloads
Analysis of Multi-Factor Affine Yield Curve Models
Siddhartha Chib
and
Bakhodir Ergashev
Date Posted: October 21, 2008245 downloads
The Market Reaction to the Strategic Use of Interest Rate Swaps
Michael W. Faulkender ,
Nicole Thorne Jenkins and
Chandra Seethamraju
Date Posted: September 15, 2006245 downloads
The use of Central Banks to Spread Ownership
Shann Turnbull
Date Posted: July 29, 2001244 downloads
Yield-Factor Volatility Models
Christophe Perignon and
Daniel R. Smith
Date Posted: November 15, 2006244 downloads
A Two-Factor Model of the German Term Structure of Interest Rates ECB Working Paper No. 46
Nuno Cassola
and
Jorge Barros Luis
Date Posted: April 12, 2003243 downloads
The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices ECB Working Paper No. 1056, BIS Working Paper No. 279
Ingo Fender and
Martin Scheicher
Date Posted: May 26, 2009243 downloads
Is There a Structural Break in the Risk Free Interest Rate Dynamics?
Jun Ma
Date Posted: March 23, 2006Last Revised: February 14, 2008240 downloads
Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates FEDs Working Paper No. 2005-53
J. Benson Durham
Date Posted: January 05, 2006240 downloads
Estimating the German Term Structure Deutsche Bundesbank Discussion Paper No. 4/97
Sebastian Schich
Date Posted: December 20, 2005239 downloads
Forward-Looking Monetary Policy Rules and Option-Implied Interest Rate Expectations Journal of Futures Markets, Forthcoming
Jukka Sihvonen
and
Sami Vähämaa
Date Posted: March 25, 2010Last Revised: December 31, 2012239 downloads
The Dollar Versus Euro in the 2007- 2010 Crisis - A Top Level Perspective
Avi Messica
Date Posted: December 03, 2008239 downloads
A Reinterpretation and Remedy of Keynes's Liquidity Preference Theory
Wenge Huang
affiliation not provided to SSRN
Date Posted: May 25, 2006237 downloads
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