The Term Structure of Interest Rate Differentials in a Target Zone
Title | The Term Structure of Interest Rate Differentials in a Target Zone PDF eBook |
Author | Lars E. O. Svensson |
Publisher | |
Pages | 68 |
Release | 1990 |
Genre | Brownian motion processes |
ISBN |
The term structure of interest rate differentials is derived in a model of a small open economy with a target zone exchange rate regime. The target zone is modeled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Some implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-1989.
THE TERM STRUCTURE OF INTEREST RATE DIFFERENTIALS IN A TARGET ZONE: THOERY AND SWEDISH DATA
Title | THE TERM STRUCTURE OF INTEREST RATE DIFFERENTIALS IN A TARGET ZONE: THOERY AND SWEDISH DATA PDF eBook |
Author | Lars E.O. SVENSSON |
Publisher | |
Pages | |
Release | 1990 |
Genre | |
ISBN |
The Term Structure of Interest Rate Differentials in a Target Zone
Title | The Term Structure of Interest Rate Differentials in a Target Zone PDF eBook |
Author | Alberto Giovannini |
Publisher | |
Pages | 0 |
Release | 1990 |
Genre | Banks and banking |
ISBN |
The Terms Structure of Interest Rate Differentials in a Target Zone
Title | The Terms Structure of Interest Rate Differentials in a Target Zone PDF eBook |
Author | Lars E.O. Svensson |
Publisher | |
Pages | 41 |
Release | 1991 |
Genre | |
ISBN |
Modeling the Term Structure of Interest Rates
Title | Modeling the Term Structure of Interest Rates PDF eBook |
Author | Rajna Gibson |
Publisher | Now Publishers Inc |
Pages | 171 |
Release | 2010 |
Genre | Business & Economics |
ISBN | 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk
Title | The Term Structure of Interest Differentials in a Target Zone with Time-varying Devaluation Risk PDF eBook |
Author | Klaas Henderikus Willem Knot |
Publisher | |
Pages | 15 |
Release | 1994* |
Genre | |
ISBN |
Perforate and Imperforate Currency Bands
Title | Perforate and Imperforate Currency Bands PDF eBook |
Author | Paolo A. Pesenti |
Publisher | |
Pages | 48 |
Release | 1990 |
Genre | Foreign exchange administration |
ISBN |