Exchange Rates, Interest Rates, and the Risk Premium

Market Risk Premium and Interest Rates

Is There a Risk Premium in Canadian Interest Rates?

Newspaper articles and economic commentaries have ascribed the decline in interest rates in Canada in late 1995 and in 1996, virtually as a matter of demonstrated fact, to a diminishing risk premium on financial investments in Canada. They have argued that lower interest rates are an economic dividend that Canadians have rightly earned in return for swallowing the tough medicine of monetary and...

Gold Prices , Exchange Rates , Gold Stocks and the Gold Premium

This paper studies the exposure of the stock prices of Australian gold-mining firms to changes in gold prices and the valuation effects of gold price exposure. Goldmining firms have significant gold price exposure; the price of the average goldmining stock moves 0.76% for each 1.00% change in Australian-dollar-denominated gold prices. Evidence from the behaviour of stock price sensitivities sug...

Nonlinearity In Exchange Rates and Forecasting

The Interactions between the Lending Rates, Deposit Rates and Money Market Rates

T he present paper investigates the impact of the financial crisis on the interaction between the lending rates, deposit rates and money market rates through the process of retail bank interest rate pass-through in the countries of the Euro area. Among our findings is the heterogeneity of bank rate adjustments across sectors, loans and deposits. That was mainly marked during the pre-...