Term Structure Models with Negative Interest Rates
| Author | : Yoichi Ueno |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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Modeling the Term Structure of Interest Rates
| Author | : Rajna Gibson |
| Publisher | : Now Publishers Inc |
| Total Pages | : 171 |
| Release | : 2010 |
| Genre | : Business & Economics |
| ISBN | : 1601983727 |
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Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Unspanned Stochastic Volatility Term Structure Model Applied in Negative Interest Rate Environment
| Author | : Jan Sedlak |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
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The interest rate transition from the positive environment, into the negative territory questions the consensus of interest rates and opens up a wide field of unresearched areas. To cope with the changing interest rate environment as well as satisfying regulatory criteria, a model following the Heath-Jarrow-Morton framework with Unspanned Stochastic Volatility is implemented. The model is constructed to match shocks to the level, slope and curvature of the term structure. Estimation is performed with Libor rates, Government rates and Swaption ATM normal implied volatilities from 2006-01-01 to 2015-03-12. The model is backtested both in sample and out of sample and compared to a Normal model and a Log Normal model. The model shows a good quantile fit to the medium and long end of the term structure and performs relatively better then the two challenger models.
Negative Interest Rates
| Author | : Luís Brandão Marques |
| Publisher | : International Monetary Fund |
| Total Pages | : 84 |
| Release | : 2021-03-03 |
| Genre | : Business & Economics |
| ISBN | : 1513570080 |
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This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
Building and Using Dynamic Interest Rate Models
| Author | : Ken O. Kortanek |
| Publisher | : John Wiley & Sons |
| Total Pages | : 248 |
| Release | : 2001-11-28 |
| Genre | : Business & Economics |
| ISBN | : |
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This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Negative Interest Rate Policy (NIRP)
| Author | : Andreas Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 48 |
| Release | : 2016-08-10 |
| Genre | : Business & Economics |
| ISBN | : 1475524471 |
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More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
On the Estimation of Term Structure Models and An Application to the United States
| Author | : International Monetary Fund |
| Publisher | : International Monetary Fund |
| Total Pages | : 64 |
| Release | : 2010-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1455209589 |
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This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Enabling Deep Negative Rates to Fight Recessions: A Guide
| Author | : Ruchir Agarwal |
| Publisher | : International Monetary Fund |
| Total Pages | : 89 |
| Release | : 2019-04-29 |
| Genre | : Business & Economics |
| ISBN | : 1484398777 |
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The experience of the Great Recession and its aftermath revealed that a lower bound on interest rates can be a serious obstacle for fighting recessions. However, the zero lower bound is not a law of nature; it is a policy choice. The central message of this paper is that with readily available tools a central bank can enable deep negative rates whenever needed—thus maintaining the power of monetary policy in the future to end recessions within a short time. This paper demonstrates that a subset of these tools can have a big effect in enabling deep negative rates with administratively small actions on the part of the central bank. To that end, we (i) survey approaches to enable deep negative rates discussed in the literature and present new approaches; (ii) establish how a subset of these approaches allows enabling negative rates while remaining at a minimum distance from the current paper currency policy and minimizing the political costs; (iii) discuss why standard transmission mechanisms from interest rates to aggregate demand are likely to remain unchanged in deep negative rate territory; and (iv) present communication tools that central banks can use both now and in the event to facilitate broader political acceptance of negative interest rate policy at the onset of the next serious recession.
Algorithms Behind Term Structure Models of Interest Rates
| Author | : Markus Leippold |
| Publisher | : |
| Total Pages | : 22 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
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In this article we implement the well known Ho-Lee Model of the term structure of interest rates and describe the algorithm behind this model. After a brief discussion of interest rates and bonds we construct a binomial tree and show how to replicate any fixed income type security. This allows us to value any interest rate contingent claim by means of the replicating portfolio. We also discuss the problem of negative interest rates arising in this model and show how to calibrate the model to an observed set of bond prices.
Dynamic Term Structure Modeling
| Author | : Sanjay K. Nawalkha |
| Publisher | : John Wiley & Sons |
| Total Pages | : 722 |
| Release | : 2007-05-23 |
| Genre | : Business & Economics |
| ISBN | : 0470140062 |
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Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
