




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 freefloat and a managedfloat regime. The volatility processes of arbitrary term differentials under the respective preswitch arrangements are compared. The paper elaborates the singularity of extremely shortterm (i.e. instantaneous) interest rates under extensive leaningagainstthewind intervention... 
Tipo: Working or Discussion Paper 
Palavraschave: 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 
 


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 timecontingent 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 closedform solution of the term structure allows us to analyze the volatility of interest rate differentials thus providing a useful tool for interestratesensitive 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 
Palavraschave: Exchange rate regime switches; Interest rates; Term structure; Stochastic processes; Uncertainty; Financial Economics; E43; F31; F33. 
Ano: 2001 
URL: http://purl.umn.edu/26165 
 


Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J.. 
Options with different maturities can be used to generate volatility estimates for nonoverlapping 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 19872001 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 
Palavraschave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing. 
Ano: 2003 
URL: http://purl.umn.edu/18983 
 

 


