Money and interest rates: the effects of temporal aggregation and data revisions

Article Abstract:

The expected decrease in real interest rates as a result of an increase in money supply is known as the liquidity effect. The liquidity effect was studied for the period around Oct 1979. The Federal Reserve announced on Oct 6, 1979, that it would not comply with interest rate projections and would focus on the quarterly increase of the money supply by using nonborrowed money instead of borrowed reserves. It was concluded that liquidity effects for the period studied were inconclusive because changes in the money supply did not produce anticipated changes in interest rates.

Monetary policy, Liquidity (Finance), Money supply

---

Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: evidence from the futures market

Article Abstract:

The connection between interest rate changes in the US dollar and the Eurodollar markets is important in the determining the integration of international financial markets. This process of volatility spillovers, was examined by using a bivariate EGARCH model incorporating data of closing index prices of 3-month US Treasury bill and Eurodollar futures from March 1, 1982 to Feb. 22, 1994. It was concluded that the interest rate differential between markets, or the TED spread was the major factor in the volatility of the interest rate changes.

Financial markets, Eurocurrency market, Treasury securities, Interest rate futures

---

Explaining the term structure of interest rates: a panel data approach

Article Abstract:

The variation through time of interest rates for risk in a given term structure is studied using the capital asset pricing model. In a panel data set of returns on Eurocurrency deposits and using cross-section/time-series analyses, risk premium is related to factors common across denominations. This explains the failure of the expectations theory of the term structure of interest rates. The model developed can be used for time-varying risk premiums.

Models, Usage, Capital assets pricing model, Capital asset pricing model

Similar abstracts:

• Abstracts: Forecasting threshold cointegrated systems. Aggregation effect and forecasting temporal aggregates of long memory processes
• Abstracts: Productivity differences across employers: the roles of employer size, age, and human capital. Technology, employment, and the business cycle: do technology shocks explain aggregate fluctuations?
• Abstracts: What's in a name? Reputation as a tradeable asset. The dynamic effects of aggregate demand and supply disturbances: comment
• Abstracts: Economic geography and the political economy of regionalization: the example of Western Europe
• Abstracts: Bond portfolio immunization: Canadian tests. Optimal portfolio selection without short sales under the full-information covariance structure: a pedagogic consideration

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.