Is the Drift of the Interest Rate Process Linear? A New Approach and Evidence

2009 ◽  
Author(s):  
Yongmiao Hong ◽  
Yoon-Jin Lee ◽  
Zhaogang Song
Keyword(s):  
Interest Rate ◽  
Rate Process ◽  
New Approach ◽  
The Interest Rate

scholarly journals The Present Value of a Series of Cashflows: Convergence in a Random Environment

1995 ◽  
Vol 25 (2) ◽  
pp. 81-94 ◽  
Author(s):  
Andrew J. G. Cairns
Keyword(s):  
Interest Rate ◽  
Random Environment ◽  
General Class ◽  
Almost Sure Convergence ◽  
Sufficient Condition ◽  
Rate Process ◽  
Present Value ◽  
The Interest Rate

AbstractThe present paper considers the present value, Z(t), of a series of cashflows up to some time t. More specifically, the cashflows and the interest rate process will often be stochastic and not necessarily independent of one another or through time. We discuss under what circumstances Z(t) will converge almost surely to some finite value as t→∞. This problem has previously been considered by Dufresne (1990) who provided a sufficient condition for almost sure convergence of Z(t) (the Root Test) and then proceeded to consider some specific examples of such processes. Here, we develop Dufresne's work and show that the sufficient condition for convergence can be proved to hold for quite a general class of model which includes the growing number of Office Models with stochastic cashflows.

scholarly journals Bounds for the Ruin Probability of a Discrete-Time Risk Process

2009 ◽  
Vol 46 (01) ◽  
pp. 99-112 ◽  
Author(s):  
Maikol A. Diasparra ◽  
Rosario Romera
Keyword(s):  
Markov Chain ◽  
Interest Rate ◽  
Discrete Time ◽  
Ruin Probability ◽  
Risk Process ◽  
Ruin Probabilities ◽  
Proportional Reinsurance ◽  
Rate Process ◽  
Stationary Policy ◽  
The Interest Rate

We consider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin, we may reinsure a part or even all of the reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a stationary policy. To illustrate these results, a numerical example is included.

scholarly journals Negative interest rates: why and how?

2017 ◽  
Vol 67 (5) ◽  
Author(s):  
Jozef Kisel’ák ◽  
Philipp Hermann ◽  
Milan Stehlík
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Great Depression ◽  
Banking Sector ◽  
Second Order ◽  
Rate Process ◽  
Practical Realization ◽  
The Great Depression ◽  
Negative Interest Rates ◽  
The Interest Rate

AbstractInterest rates (or nominal yields) can be negative, this is an unavoidable fact which has already been visible during the Great Depression (1929–39). Nowadays we can find negative rates easily by e.g. auditing. Several theoretical and practical ideas how to model and eventually overcome empirical negative rates can be suggested, however, they are far beyond a simple practical realization. In this paper we discuss the dynamical reasons why negative interest rates can happen in the second order differential dynamics and how they can influence the variance and expectation of the interest rate process. Such issues are highly practical, involving e.g. the banking sector and pension securities.

scholarly journals Bounds for the Ruin Probability of a Discrete-Time Risk Process

2009 ◽  
Vol 46 (1) ◽  
pp. 99-112 ◽  
Author(s):  
Maikol A. Diasparra ◽  
Rosario Romera
Keyword(s):  
Markov Chain ◽  
Interest Rate ◽  
Discrete Time ◽  
Ruin Probability ◽  
Risk Process ◽  
Ruin Probabilities ◽  
Proportional Reinsurance ◽  
Rate Process ◽  
Stationary Policy ◽  
The Interest Rate

We consider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin, we may reinsure a part or even all of the reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a stationary policy. To illustrate these results, a numerical example is included.

Analysis of the Bank of Russia information policy

2017 ◽  
pp. 88-110 ◽  
Author(s):  
S. Drobyshevsky ◽  
P. Trunin ◽  
A. Bozhechkova ◽  
E. Gorunov ◽  
D. Petrova
Keyword(s):  
Interest Rate ◽  
Nonparametric Tests ◽  
Information Policy ◽  
Var Models ◽  
New Approach ◽  
Interest Rate Policy ◽  
News Reports ◽  
Internet Users ◽  
Rate Policy ◽  
Exchange Markets

The article investigates the Bank of Russia information policy using a new approach to measuring information effects on Russian data, including the analysis of the tonality of news reports, as well as internet users’ queries on Google. The efficiency of regulator’s information signals is studied using EGARCH-, VAR- models, as well as nonparametric tests. The authors conclude that the regulator communicates effectively in terms of the predictability of interest rate policy, the degree to which information signals affect the money and foreign exchange markets.

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

DETERMINAN INFLASI DI INDONESIA PERIODE 1980-2015

2016 ◽  
Vol 21 (1) ◽  
pp. 1-7
Author(s):  
Risna Risna
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Government Spending ◽  
Positive Impact ◽  
Secondary Data ◽  
Quantitative Approach ◽  
State Spending ◽  
Factors Affecting ◽  
The Interest Rate

This study aims to determine the effect of government spending, the money supply, the interest rate of Bank Indonesia against inflation.This study uses secondary data. Secondary data were obtained directly from the Central Bureau of Statistics and Bank Indonesia. It can be said that there are factors affecting inflationas government spending, money supply, and interest rates BI. The reseach uses a quantitative approach to methods of e-views in the data. The results of analysis of three variables show that state spending significantand positive impact on inflationin Indonesia, the money supply significantand negative to inflationin Indonesia, BI rate a significantand positive impact on inflation in Indonesia

Insurance Companies and the Interest Rate

1953 ◽  
Vol 9 (4) ◽  
pp. 15-17
Author(s):  
Shelby Cullom Davis
Keyword(s):  
Interest Rate ◽  
Insurance Companies ◽  
The Interest Rate

Analyzing the financial and economic momentum as a result of changes in the interest rate

2020 ◽  
Vol 16 (9) ◽  
pp. 1656-1673
Author(s):  
V.V. Smirnov
Keyword(s):  
Interest Rate ◽  
Natural Gas ◽  
Central Bank ◽  
Crude Oil ◽  
Oil Prices ◽  
Global Capitalism ◽  
Positive Effects ◽  
Russian Economy ◽  
Oil And Natural Gas ◽  
The Interest Rate

Subject. The article discusses financial and economic momenta. Objectives. I determine financial and economic momenta as the interest rate changes in Russia. Methods. The study is based on a systems approach and the method of statistical analysis. Results. The Russian economy was found to strongly depend on prices for crude oil and natural gas, thus throwing Russia to the outskirts of the global capitalism, though keeping the status of an energy superpower, which ensures a sustainable growth in the global economy by increasing the external consumption and decreasing the domestic one. The devaluation of the national currency, a drop in tax revenue, etc. result from the decreased interest rate. They all require to increase M2 and the devalued retail loan in RUB, thus rising the GDP deflator. As for positive effects, the Central Bank operates sustainably, replenishes gold reserves and keeps the trade balance (positive balance), thus strengthening its resilience during a global drop in crude oil prices and the COVID-19 pandemic. The positive effects were discovered to result from a decreased in the interest rate, rather than keeping it low all the time. Conclusions and Relevance. As the interest rate may be, the financial and economic momentum in Russia depends on the volatility of the price for crude oil and natural gas. Lowering the interest rate and devaluing the national currency, the Central Bank preserves the resource structure of the Russian economy, strengthens its positions within the global capitalism and keeps its status of an energy superpower, thus reinforcing its resilience against a global drop in oil prices.

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