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	Provedor de dados AgEcon (1) Autor Wilfling, Bernd (1) Palavra-chave E43 (1) Exchange rate regime switches (1) F31 (1) F33 (1) Financial Economics (1) Interest rates (1) Stochastic processes (1) Term structure (1) Uncertainty (1) Mais... Tipo do documento Working or Discussion Paper (1) Ano 2001 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última The Convergence of International Interest Rates Prior to Monetary Union AgEcon Wilfling, Bernd. The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special attention is paid to a situation in which financial markets deem a delay in the regime switch beyond the publicly announced fixing date possible. The closed-form solution of the term structure allows us to analyze the volatility of interest rate differentials thus providing a useful tool for interest-rate-sensitive security valuation and other risk management applications. Furthermore, the model demonstrates that the economy under consideration has to pay for the... Tipo: Working or Discussion Paper Palavras-chave: Exchange rate regime switches; Interest rates; Term structure; Stochastic processes; Uncertainty; Financial Economics; E43; F31; F33. Ano: 2001 URL: http://purl.umn.edu/26165 Registros recuperados: 1 Primeira ... 1 ... Última

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