The Term Stucture Of Interest Rate Differentials In A Target Zone PDF Download
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Author | : Lars E. O. Svensson |
Publisher | : |
Total Pages | : 64 |
Release | : 1990 |
Genre | : Brownian motion processes |
ISBN | : |
Download The Term Structure of Interest Rate Differentials in a Target Zone Book in PDF, ePub and Kindle
The term structure of interest rate differentials is derived in a model of a small open economy with a target zone exchange rate regime. The target zone is modeled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Some implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-1989.
Author | : Alberto Giovannini |
Publisher | : |
Total Pages | : 0 |
Release | : 1990 |
Genre | : Banks and banking |
ISBN | : |
Download The Term Structure of Interest Rate Differentials in a Target Zone Book in PDF, ePub and Kindle
Author | : Lars E.O. SVENSSON |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : |
ISBN | : |
Download THE TERM STRUCTURE OF INTEREST RATE DIFFERENTIALS IN A TARGET ZONE: THOERY AND SWEDISH DATA Book in PDF, ePub and Kindle
Author | : Lars E.O. Svensson |
Publisher | : |
Total Pages | : 41 |
Release | : 1991 |
Genre | : |
ISBN | : |
Download The Terms Structure of Interest Rate Differentials in a Target Zone Book in PDF, ePub and Kindle
Author | : Paolo A. Pesenti |
Publisher | : |
Total Pages | : 48 |
Release | : 1990 |
Genre | : Foreign exchange administration |
ISBN | : |
Download Perforate and Imperforate Currency Bands Book in PDF, ePub and Kindle
Author | : Klaas Henderikus Willem Knot |
Publisher | : |
Total Pages | : 15 |
Release | : 1994* |
Genre | : |
ISBN | : |
Download The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk Book in PDF, ePub and Kindle
Author | : Lars E. O. Svensson |
Publisher | : |
Total Pages | : 44 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download The Term Structure of Interest Rate Differentials in a Zone Book in PDF, ePub and Kindle
Author | : Lars E. O. Svensson |
Publisher | : |
Total Pages | : 44 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download The Term Structure of Interest Rate Differentials in a Taget Zone Book in PDF, ePub and Kindle
Author | : Mr.Leonardo Bartolini |
Publisher | : International Monetary Fund |
Total Pages | : 54 |
Release | : 1992-03-01 |
Genre | : Business & Economics |
ISBN | : 1451921195 |
Download Target Zones and Forward Rates in a Model with Repeated Realignments Book in PDF, ePub and Kindle
This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band. The credibility of the commitment to the target zone implicit in forward market data can be extracted by estimating the model. Application to French/German data indicates that the model is capable of matching observed patterns of interest rate differentials during the EMS, while yielding estimates of the credibility parameters that accord with the experience of the FF/DM exchange rate during the 1980s.
Author | : Lars Svensson |
Publisher | : |
Total Pages | : 44 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download The term stucture of interest rate differentials in a target zone Book in PDF, ePub and Kindle