Term structure linkages surrounding the Plaza and Louvre accords: evidence from Euro - rates and long - memory components

Article Abstract:

The term structure rates for Euro currency deposits in the countries of Germany, Japan, the United Kingdom and the United States of America in the periods of 1979 - 85 and 1986 - 01 show single common factors are driving the trend and one month rates generally have little or no effect on the long term rates trend. The study reveals that integration has increased in 1986 - 95 and 1988 - 97 periods and declined in 1992 - 01 period.

Europe, Japan, Commodity & service prices, Prices and rates, Bank deposits, Company pricing policy

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Pricing and hedging interest rate options: evidence from cap-floor markets

Article Abstract:

A study of the pricing and hedging performance of interest rate option pricing models based on the daily data of US dollar cap and floor prices is presented.

Hedging (Finance), Foreign exchange market

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A comprehensive analysis of the short-term interest-rate dynamics

Article Abstract:

A study is conducted to examine various drift specifications to analyse the short-term interest-rate dynamics.

Usage, Measurement, Stochastic processes

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