Overnight Interest Rates and Aggregate Market Expectations
نویسندگان
چکیده
This paper introduces an entropy approach to measuring market expectations with respect to overnight interest rates in an inter-bank money market. The findings for the Turkish 2000-2001 borrowing crisis suggest that a dynamic, non-extensive entropy framework provides a valuable insight into the degree of aggregate market concerns during the crisis.
منابع مشابه
Term Structure Dynamics in a Model with Stochastic Internal Habit
The expectations hypothesis is violated in the U.S. nominal term structure of interest rates. This so-called ”expectations puzzle” can be captured by some descriptive models of the term structure with time-varying risk premium. This paper provides an economic explanation for the success of these reduced-form specifications of pricing kernels. Specifically, we show that a consumption-based asset...
متن کاملThe Canadian Monetary Transmission Mechanism and Inflation Projections
The monetary policy transmission mechanism is complex and our understanding of it imperfect. The Bank of Canada’s mainstream paradigm is quite explicit and well known and consists of three major sets of linkages. The first is from the instrument, the target band for the overnight (or oneday) interest rate,2 to other financial variables: the term structure of market interest rates, rates on depo...
متن کاملThe Announcement Effect: Evidence from Open Market Desk Data
he textbook view of the monetary transmission mechanism rests on the central bank’s ability to manipulate the overnight interest rate by controlling the reserve supply, followed by a rational-expectations mechanism that ensures that movements in the overnight rate reverberate into longer maturity rates. However, while few dispute the fact that the central bank controls the overnight rate effect...
متن کاملA Comparison of Yields On Futures Contraets and Implied Forward Rates
~t1JNCE the introduction of futures trading in 3-month Treasury bills in 1976, yields on these futures contracts have been examined for clues as to market expectations of the future course of interest rates. Although there are difficulties in isolating these expectations, the yields on futures contracts do embody information about market expectations of future interest rates.’ However, similar ...
متن کاملForeign Interest Rates and the Islamic Stock Market Integration between Indonesia and Malaysia
Abstract T his study aimed to examine the Islamic stock market integration between Indonesia and Malaysia, and the effect of foreign interest rates on both stock markets. This study used the monthly time series of Jakarta Islamic Index, Hijrah Syariah Index, and foreign interest rates within a period from August 2000 to January 2016. Result of cointegration test demonstrat...
متن کامل