منابع مشابه
The Behavior of Bonds and Interest Rates
In this equation, the coefficients α and q cannot be constants and in fact must be modeled rather carefully to ensure that the bond satisfies its boundary conditions. For example, the bond must be worth $1 at maturity. Also, the volatility of the bond price should decrease as the bond approaches maturity—a given change in interest rates affects the price of a long-lived bond more than the price...
متن کاملThe Cyclical Behavior of Default and Recovery Rates
Using a regime switching framework we investigate the determinants of default clustering. We find that a common credit cycle, modeled as a two-state Markov chain, can account for a large portion of default correlations, with the residual clustering being captured by a factor structure. During credit crunches default rates increase, and so does the conditional residual correlation. Using data fo...
متن کاملThe Changing Behavior of the Term Structure of Interest Rates*
We reexamine the expectations theory of the term structure using data a t the short end of the maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short r...
متن کاملA cyclical square-root model for the term structure of interest rates
This paper presents a cyclical square-root model for the term structure of interest rates assuming that the spot rate converges to a certain time-dependent long-term level. This model incorporates the fact that the interest rate volatility depends on the interest rate level and specifies the mean reversion level and the interest rate volatility using harmonic oscillators. In this way, we incorp...
متن کاملCyclical Wage Movements in Emerging Markets Compared to Developed Economies: the Role of Interest Rates
This paper documents that, at the aggregate level, (i) real wages are positively correlated with output and, on average, lag output by about one quarter in emerging markets, while there are no systematic patterns in developed economies, (ii) real wage volatility (relative to output volatility) is about twice as high in emerging markets compared with developed economies, and (iii) real wage vola...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1997
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1997.tb01119.x