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Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes AgEcon
Wilfling, Bernd.
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind intervention...
Tipo: Working or Discussion Paper Palavras-chave: Interest rate volatility; Term structure; Exchange rate arrangements; Intervention policy; Stochastic processes; Financial Economics; E43; F31; F33; C52.
Ano: 2001 URL: http://purl.umn.edu/26277
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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
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THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J..
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and employing a flexible method to obtain the implied forward volatilities, two types of information are examined: 1) the market's estimate of future realized volatility for the nearby interval of the term structure and, 2) the market's expectation of the direction and magnitude of change of future realized volatility over time. In contrast to previous research, the results indicate that the implied...
Tipo: Conference Paper or Presentation Palavras-chave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing.
Ano: 2003 URL: http://purl.umn.edu/18983
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What's the Rate? Disentangling the Weitzman and the Gollier Effect AgEcon
Traeger, Christian P..
The uncertainty of future economic development affects the term structure of discount rates and, thus, the intertemporal weights that are to be used in cost benefit analysis. The U.K. and France have recently adopted a falling term structure to incorporate uncertainty and the U.S. is considering a similar step. A series of publications discusses the following concern: A seemingly analogous argument used to justify falling discount rates can also be used to justify increasing discount rates. We show that increasing and decreasing discount rates mean different things, can coexist, are created by different channels through which risk affects evaluation, and have the same qualitative effect of making long-term payoffs more attractive.
Tipo: Working Paper Palavras-chave: Benefit cost analysis; Discounting; Term structure; Uncertainty; Weitzman-Gollier puzzle; Environmental Economics and Policy; Public Economics; D61; D81; H43; Q54.
Ano: 2012 URL: http://purl.umn.edu/121932
Registros recuperados: 4
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