scholarly journals Fiscal Imbalances and Interest Rate Change in Pakistan: A Co-Integration Analysis

2015 ◽  
Vol 05 (05) ◽  
pp. 616-623 ◽  
Author(s):  
Zaeema Islam ◽  
Asghar Ali ◽  
Irfan Ahmad Baig ◽  
Sajjad Ahmad Baig ◽  
Muhammad Hashim ◽  
...  
Keyword(s):  
Interest Rate ◽  
Rate Change ◽  
Interest Rate Change ◽  
Integration Analysis

scholarly journals Quantitative law describing market dynamics before and after interest-rate change

2010 ◽  
Vol 81 (6) ◽  
Author(s):  
Alexander M. Petersen ◽  
Fengzhong Wang ◽  
Shlomo Havlin ◽  
H. Eugene Stanley
Keyword(s):  
Interest Rate ◽  
Rate Change ◽  
Market Dynamics ◽  
Before And After ◽  
Interest Rate Change

scholarly journals Risk Management for Bonds with Embedded Options

Mathematics ◽  
2020 ◽  
Vol 8 (5) ◽  
pp. 790
Author(s):  
Antonio Díaz ◽  
Marta Tolentino
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Interest Rate Models ◽  
Management Measures ◽  
Interest Rate Risk Management ◽  
Embedded Options ◽  
The Interest Rate ◽  
Interest Rate Change

This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds requires modelling future interest rates. We use the Ho and Lee (HL) and Black, Derman, and Toy (BDT) consistent interest rate models. In addition, specific interest rate measures that consider the contingent cash-flow structure of these coupon-bearing bonds must be computed. In our empirical analysis, we obtained evidence that effective duration and effective convexity depend primarily on the level of the forward interest rate and volatility. In addition, the higher the interest rate change and the lower the volatility, the greater the differences in pricing of these bonds when using the HL or BDT models.

The Interest Rate Pass-Through in German Banking Groups

2006 ◽  
Vol 226 (4) ◽  
Author(s):  
Hiltrud Nehls
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Common Knowledge ◽  
Banking System ◽  
Savings Banks ◽  
Time Deposits ◽  
Credit Cooperatives ◽  
Pass Through ◽  
The Interest Rate ◽  
Interest Rate Change

SummaryThe pass-through of market rates to retail interest rates is generally found to be particularly slow in Germany compared to other countries. One popular explanation is the organisation of the banking system in three strictly segregated “pillars”: savings banks, credit cooperatives and private banks, and the low competitiveness of the first two of them. In this paper we analyse the differences of the interest rate pass-through between these banking groups. We employ a dataset covering (roughly) 30 banks’ retail interest rates of four standard banking products (mortgages, consumer credit, savings accounts and time deposits). In a panel ECM we first estimate reference models of the interest pass-through for the four products. In a second step they are augmented by dummies representing the respective banking group. We find remarkable differences in the interest rate pass-through: in general it is the big banks and savings banks reacting significantly quicker to changes in the market than regional banks and credit cooperatives. Hence, in contrast to the “common knowledge” of sluggish reactions of state banks, the savings banks take full part in competition. The credit cooperatives however, smoothing their retail rates, shield their customers from interest rate change risks.

Sign in / Sign up

Export Citation Format

Share Document