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JEL Code: E43

729,950 Total downloads

Viewing: 51 - 100 of 3,733 papers

51.

Log-Normal Interest Rate Models: Stability and Methodology

Number of pages: 11 Posted: 06 Mar 1997
Working Paper Series
University of Bonn - The Bonn Graduate School of Economics and University of Bonn - Institute of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 1,904
52.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Working Paper Series
University of Southern California - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,891
53.

The Impact of High and Growing Government Debt on Economic Growth: An Empirical Investigation for the Euro Area

ECB Working Paper No. 1237
Number of pages: 42 Posted: 25 Aug 2010
Working Paper Series
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,858
54.

What Moves the Bond Market?

Economic Policy Review, Vol. 3, No. 4, December 1997
Number of pages: 20 Posted: 24 Sep 2007
Accepted Paper Series
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,831
55.

Financial Contagion and the European Debt Crisis

CESifo Working Paper Series No. 3554
Number of pages: 34 Posted: 01 Sep 2011
Working Paper Series
Ludwig Maximilian University of Munich (LMU) and Ludwig Maximilian University of Munich (LMU)
Downloads 1,803
56.

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Working Paper Series
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,780
57.

On the Term Structure of Interest Rates with Basis Spreads, Collateral and Multiple Currencies

Number of pages: 75 Posted: 21 Feb 2010 Last Revised: 23 Mar 2010
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,754
58.

The Yield Curve as a Leading Indicator: Some Practical Issues

Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Number of pages: 8 Posted: 20 Sep 2006
Accepted Paper Series
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 1,737
59.

Tasas De Interés Efectivas Y Nominales: El Calvario De Los Estudiantes De Finanzas (Effective and Nominal Interest Rates Per Period: The Calvary for Students in Finance) (in Spanish)

Number of pages: 21 Posted: 27 Feb 2004 Last Revised: 19 Dec 2013
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,712
60.

Interest Rates and Fiscal Sustainability

Number of pages: 45 Posted: 10 Dec 2010
Working Paper Series
Wartburg College
Downloads 1,711
61.

Arbitrage Relaxation of Instruments with Temporal Constraints

Number of pages: 21 Posted: 01 Jun 1998
Working Paper Series
NAFT, NAFT and Quant Isle Ltd.
Downloads 1,704
62.

Banking on Deposits: Maturity Transformation Without Interest Rate Risk

Number of pages: 92 Posted: 22 Mar 2017 Last Revised: 29 Jul 2020
Working Paper Series
Wharton School, Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,646
63.

Default Implied Volatility for Credit Spread

Number of pages: 22 Posted: 24 May 1999
Working Paper Series
Morgan Stanley
Downloads 1,629
64.

Large-Scale Asset Purchases by the Federal Reserve: Did They Work?

FRB of New York Staff Report No. 441
Number of pages: 43 Posted: 24 Mar 2010
Working Paper Series
Peterson Institute, affiliation not provided to SSRN, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 1,597
65.

Factor Models and the Shape of the Term Structure

Number of pages: 26 Posted: 01 Feb 1997
Working Paper Series
University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Bonn

Multiple version iconThere are 2 versions of this paper

Downloads 1,591
66.

Bond Variance Risk Premiums

Number of pages: 58 Posted: 02 Jan 2012 Last Revised: 23 Nov 2016
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Warwick Business School Finance Group and Boston University - Department of Finance & Economics
Downloads 1,576
67.

Information in the Term Structure of Yield Curve Volatility

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 20 Aug 2009 Last Revised: 17 Jul 2015
Accepted Paper Series
Duke University - Fuqua School of Business and Norges Bank Investment Management
Downloads 1,576
68.

Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy

IMF Working Paper No. 94/39
Number of pages: 66 Posted: 15 Feb 2006
Working Paper Series
International Monetary Fund (IMF) and University of Louisville - College of Business - Department of Economics
Downloads 1,574
69.

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

Number of pages: 44 Posted: 08 Oct 2002
Working Paper Series
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,572
70.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
Number of pages: 98 Posted: 08 Sep 2011 Last Revised: 11 Feb 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
Downloads 1,551
71.

'Maximal' Convenience Yield Model Implied by Commodity Futures

Number of pages: 36 Posted: 27 Feb 2002
Working Paper Series
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,541
72.

Impact of US Quantitative Easing Policy on Emerging Asia

ADBI Working Paper No. 321
Number of pages: 20 Posted: 18 Nov 2011
Working Paper Series
ADBI
Downloads 1,538
73.

Does Central Bank Tone Move Asset Prices?

Number of pages: 87 Posted: 14 Jul 2015 Last Revised: 24 Oct 2019
Working Paper Series
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,537
74.

Is Default Event Risk Priced in Corporate Bonds?

Number of pages: 40 Posted: 20 Mar 2002
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,509
75.

Seasonal Variation in Treasury Returns

Rotman School of Management Working Paper No. 1076644
Number of pages: 51 Posted: 20 Dec 2007 Last Revised: 29 Jan 2014
Working Paper Series
York University - Schulich School of Business, University of Toronto - Rotman School of Management and University of British Columbia (UBC) - Sauder School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,493
76.

Expectations, Bond Yields and Monetary Policy

Review of Financial Studies, October 1, 2010 , AFA 2006 Boston Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Number of pages: 44 Posted: 19 Mar 2005 Last Revised: 29 Nov 2010
Working Paper Series
University of Queensland - Business School
Downloads 1,492
77.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 1,472
78.

The Term Structure of Real Rates and Expected Inflation

Number of pages: 64 Posted: 16 Jul 2003
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 3 versions of this paper

Downloads 1,469
79.

Usury Law, Payday Loans, and Statutory Sleight of Hand: Salience Distortion of American Credit Pricing Limits

Minnesota Law Review, Vol. 92, No. 4, April 2008, 2nd Annual Conference on Empirical Legal Studies Paper
Number of pages: 30 Posted: 12 Jul 2007 Last Revised: 05 Feb 2013
Accepted Paper Series
University of Utah - S.J. Quinney College of Law
Downloads 1,439
80.

Bermudan Swaptions in Gaussian HJM One-Factor Model: Analytical and Numerical Approaches

Number of pages: 13 Posted: 22 Oct 2008 Last Revised: 10 May 2010
Working Paper Series
muRisQ Advisory
Downloads 1,424
81.

Macro Factors and the Term Structure of Interest Rates

Number of pages: 24 Posted: 24 Mar 2003
Working Paper Series
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 1,422
82.

An Evaluation of the Reliability of Accounting Based Measures of Expected Returns: A Measurement Error Perspective

University of Notre Dame and INSEAD Working Paper
Number of pages: 62 Posted: 15 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy and University of Utah
Downloads 1,417
83.

Risk Free Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 22 Sep 2018 Last Revised: 04 Jan 2021
Working Paper Series
University of Pennsylvania - The Wharton School, University of Pennsylvania - Finance Department and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,398
84.

Linear-Rational Term Structure Models

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-15
Number of pages: 120 Posted: 28 Feb 2014 Last Revised: 20 Nov 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Copenhagen Business School - Department of Finance
Downloads 1,393
85.

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 11 Mar 2000
Working Paper Series
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Maastricht University
Downloads 1,387
86.

Specification Analysis of Affine Term Structure Models

Number of pages: 53 Posted: 26 Nov 1998
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,379
87.

The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach

Bank of Japan Working Paper No. 05-E-6
Number of pages: 36 Posted: 27 Apr 2005
Working Paper Series
Kyorin University and University of Tokyo - Faculty of Economics
Downloads 1,368
88.

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Number of pages: 26 Posted: 14 Mar 2011 Last Revised: 03 Apr 2012
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,366
89.

The Concept of Riba in Islamic Banking Law: An Introduction

Journal of International Banking Law & Regulation, Vol. 26, Issue 10, pp. 405-411, 2011
Number of pages: 9 Posted: 06 Oct 2011 Last Revised: 20 Dec 2012
Accepted Paper Series
Smartblock Law Professional Corporation
Downloads 1,358
90.

Coronavirus: Case for Digital Money?

World Economics 21(1) (2020) 177-190, Johns Hopkins Carey Business School Research Paper No. 20-08
Number of pages: 12 Posted: 07 Aug 2020 Last Revised: 20 Aug 2020
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,348
91.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

A version of this paper was published in Risk, Nov. 2015
Number of pages: 28 Posted: 10 Jul 2013 Last Revised: 10 Sep 2018
Accepted Paper Series
Danske Bank - Danske Markets, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,339
92.

Developments in Repo Markets During the Financial Turmoil

BIS Quarterly, December 2008
Number of pages: 17 Posted: 21 Jul 2012
Accepted Paper Series
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and Gustavson School Of Business
Downloads 1,337
93.

Libor-in-Arrears Swaps

Journal of Derivatives, Spring 1996
Number of pages: 10 Posted: 22 Oct 2000
Accepted Paper Series
KL Capital and Cantor Fitzgerald
Downloads 1,321
94.

Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations

Number of pages: 32 Posted: 10 Feb 1998
Working Paper Series
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, University of Oxford, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 1,316
95.

Decomposing Swap Spreads

EFA 2006 Zurich Meetings
Number of pages: 58 Posted: 22 Mar 2005
Working Paper Series
Copenhagen Business School and Copenhagen Business School
Downloads 1,305
96.

A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Economics Bulletin, Forthcoming
Number of pages: 15 Posted: 07 Feb 2011
Accepted Paper Series
IDRAC Business School and University of Tunis - Institut Supérieur de Gestion (ISG), Tunis
Downloads 1,267
97.

Bond Liquidity Premia

Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper
Number of pages: 60 Posted: 01 Mar 2007 Last Revised: 22 Nov 2012
Accepted Paper Series
Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 1,259
98.

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Number of pages: 52 Posted: 06 Nov 2000
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,247
99.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,243
100.

A Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Number of pages: 21 Posted: 03 Apr 2010 Last Revised: 02 Jan 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 1,235