scholarly journals Estimating Parameters of Short-Term Real Interest Rate Models

2013 ◽  
Author(s):  
Vadim Khramov
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Short Term ◽  
Interest Rate Models

A mean-variance approach to short-term timber selling and forest taxation under multiple sources of uncertainty

1993 ◽  
Vol 23 (4) ◽  
pp. 573-581 ◽  
Author(s):  
Markku Ollikainen
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Independent Random Variables ◽  
Multiple Sources ◽  
Short Term ◽  
Timber Supply ◽  
Sources Of Uncertainty ◽  
Comparative Static Analysis ◽  
Mean Variance ◽  
Variance Approach

The effects of forest taxation on timber supply under the double uncertainty of real interest rate and future timber price are analyzed in a mean-variance framework. If future timber price and interest rate are independent random variables, there exists an asymmetry between lenders and borrowers, as there is in the single interest rate uncertainty case. Borrowers cut more and lenders cut less as a response to double uncertainty relative to single price uncertainty. If timber price and interest rate are correlated, the sign of the covariance is crucial for the interpretation of the optimality conditions and for the comparative static analysis results. If covariance is negative, borrowers still tend to increase their cutting, but the behaviour of lenders depends on the relative magnitudes of risks associated with interest rate and timber price, which is indicated by variances and covariance. Finnish data are used to evaluate the size of various risks and the sign of covariance. The evidence suggests that a statistically insignificant negative correlation exists and that the covariance is zero.

Budget deficits and short-term real interest rate forecasting

1987 ◽  
Vol 9 (1) ◽  
pp. 109-125 ◽  
Author(s):  
Bharat R. Kolluri ◽  
Demetrios S. Giannaros
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Budget Deficits ◽  
Short Term

Bayesian testing for short term interest rate models

2017 ◽  
Vol 20 ◽  
pp. 146-152 ◽  
Author(s):  
Yonghui Zhang ◽  
Zhongtian Chen ◽  
Yong Li
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
Interest Rate Models ◽  
Bayesian Testing

scholarly journals Arbitrage with Fixed Costs and Interest Rate Models

2006 ◽  
Vol 41 (4) ◽  
pp. 889-913 ◽  
Author(s):  
Elyès Jouini ◽  
Clotilde Napp
Keyword(s):  
Interest Rate ◽  
Securities Market ◽  
Fixed Costs ◽  
Short Term ◽  
Interest Rate Models ◽  
Striking Result ◽  
Arbitrage Opportunities ◽  
Pricing Rules ◽  
Absence Of Arbitrage

AbstractWe study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models that present arbitrage opportunities in the absence of fixed costs. In particular, we prove that the quite striking result obtained by Dybvig, Ingersoll, and Ross (1996), which asserts that under the assumption of absence of arbitrage long zero-coupon rates can never fall, is no longer true in models with fixed costs, even arbitrarily small fixed costs. For instance, models in which the long-term rate follows a diffusion process are arbitrage-free in the presence of fixed costs (including arbitrarily small fixed costs). We also rationalize models with partially absorbing or reflecting barriers on the price processes. We propose a version of the Cox, Ingersoll, and Ross (1985) model which, consistent with Longstaff (1992), produces yield curves with realistic humps, but does not assume an absorbing barrier for the short-term rate. This is made possible by the presence of (even arbitrarily small) fixed costs.

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