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JEL Code: E43

730,272 Total downloads

Viewing: 151 - 200 of 3,733 papers

151.

Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market

Georgetown McDonough School of Business Research Paper No. 3078752
Number of pages: 61 Posted: 04 Dec 2017 Last Revised: 02 Mar 2020
Working Paper Series
George Washington University - School of Business, Department of Finance, McDonough School of Business, Georgetown University, University of Chicago - Booth School of Business and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 853
152.

Definition of Price Stability, Range and Point Inflation Targets: The Anchoring of Long-Term Inflation Expectations

Number of pages: 52 Posted: 22 Jan 2004
Working Paper Series
University of Melbourne - Department of Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 853
153.

Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level

Number of pages: 43 Posted: 20 Jan 2003
Working Paper Series
European Central Bank (ECB)
Downloads 853
154.

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Accepted Paper Series
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 847
155.

Quantitative Easing and Proposals for Reform of Monetary Policy Operations

Bard College Levy Economics Institute Working Paper No. 645
Number of pages: 35 Posted: 24 Dec 2010
Working Paper Series
Wartburg College and University of Missouri at Kansas City
Downloads 847
156.

Multiple-Curve Valuation with One-Factor Hull-White Model

Number of pages: 7 Posted: 01 May 2012 Last Revised: 15 Mar 2014
Working Paper Series
FINCAD
Downloads 844
157.

The Term Structure of Interest-Rate Futures Prices

EFA 2001 Barcelona Meetings
Number of pages: 68 Posted: 13 Dec 1999
Working Paper Series
University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 841
158.

Modeling of Interest Rate Term Structures Under Collateralization and its Implications

Number of pages: 19 Posted: 25 Sep 2010
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 837
159.

The Central Tendency: A Second Factor in Bond Yields

Number of pages: 26 Posted: 26 Oct 1995
Working Paper Series
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and Santa Clara University - Leavey School of Business

Multiple version iconThere are 6 versions of this paper

Downloads 836
160.

CMS Spread Options and Similar Options in Multi-Factor HJM Framework

Number of pages: 16 Posted: 14 May 2010
Working Paper Series
BNP Paribas Fortis and muRisQ Advisory
Downloads 828
161.

Forecasting Spot Interest Rate Volatility

Number of pages: 54 Posted: 27 Mar 2000
Working Paper Series
Nova School of Business and Economics
Downloads 817
162.
Downloads 816
163.

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

Number of pages: 71 Posted: 17 May 2016 Last Revised: 29 Apr 2020
Working Paper Series
University of Virginia
Downloads 814
164.

International Capital Flows and U.S. Interest Rates

FRB International Finance Discussion Paper No. 840, IIIS Discussion Paper No. 103
Number of pages: 45 Posted: 05 Oct 2005
Working Paper Series
University of Virginia - Darden Business School and Darden Business School

Multiple version iconThere are 2 versions of this paper

Downloads 807
165.

Correlating Market Models

Number of pages: 10 Posted: 24 May 2003
Working Paper Series
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 803
166.

Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models

Number of pages: 39 Posted: 21 Aug 1996
Working Paper Series
Danske Bank - Danske Markets
Downloads 802
167.

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Number of pages: 66 Posted: 06 Mar 2007 Last Revised: 11 Feb 2016
Accepted Paper Series
Copenhagen Business School - Department of Finance and Simon Fraser University (SFU)

Multiple version iconThere are 2 versions of this paper

Downloads 800
168.

Generalizing the Affine Framework to HJM and Random Field Models

Number of pages: 51 Posted: 23 Jun 2003
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 800
169.

Bond Portfolio Optimization Using Dynamic Factor Models

Number of pages: 49 Posted: 07 Jun 2012 Last Revised: 23 Nov 2015
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 797
170.

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Number of pages: 44 Posted: 22 Nov 1999
Working Paper Series
BlackRock, Inc and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 794
171.

A Multicurrency Extension of the Lognormal Interest Rate Market Models

Number of pages: 13 Posted: 01 Aug 1999
Working Paper Series
University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 783
172.

CMS Swaps and Caps in One-Factor Gaussian Models

Number of pages: 9 Posted: 14 May 2007 Last Revised: 12 Feb 2008
Working Paper Series
muRisQ Advisory
Downloads 777
173.

Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields

Number of pages: 24 Posted: 21 Aug 2000
Working Paper Series
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 763
174.

Credit Spreads and Real Activity

EFA 2008 Athens Meetings Paper
Number of pages: 72 Posted: 24 Mar 2008 Last Revised: 15 Mar 2011
Working Paper Series
Warwick Business School Finance Group
Downloads 761
175.

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Number of pages: 16 Posted: 08 Feb 2010 Last Revised: 26 Feb 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 757
176.

A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure

FEDS Discussion Paper No. 2005-59, Management Science, Forthcoming
Number of pages: 33 Posted: 21 Mar 2005 Last Revised: 15 Jun 2008
Accepted Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and Morgan Stanley
Downloads 756
177.

Corporate Governance in Banks – A View Through the LIBOR Lens

Journal of Banking Regulation (2013)
Number of pages: 14 Posted: 27 May 2013 Last Revised: 11 Aug 2013
Accepted Paper Series
University of Ottawa - Common Law Section and University of Ottawa - Faculty of Law
Downloads 750
178.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000
Working Paper Series
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 746
179.

The Solow Model in an Open Economy

Journal of Management and Financial Sciences, Vol. 1, No. 1, October 2008
Number of pages: 23 Posted: 15 Oct 2009 Last Revised: 09 Jun 2013
Accepted Paper Series
Warsaw School of Economics (SGH)
Downloads 746
180.

The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s

Number of pages: 48 Posted: 12 Jul 2000
Working Paper Series
Board of Governors of the Federal Reserve System and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 744
181.

The Time Value of a Digital Currency: Bitcoin Interest Rates Dynamics

Number of pages: 5 Posted: 07 May 2014
Working Paper Series
Mazars Actuariat
Downloads 740
182.

Real Interest Rate and Growth Rate: Theory and Empirical Evidence

Frontiers in Finance and Economics, Vol. 8, No. 2, pp.136-152, 2011
Number of pages: 17 Posted: 29 Feb 2012
Accepted Paper Series
Université Paris II - Panthéon-Assas
Downloads 738
183.

Risk Premia and Volatilities in a Nonlinear Term Structure Model

Review of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 02 Sep 2020
Accepted Paper Series
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 734
184.

Monetary Policy Surprises and the Yield Curve

Bank of England Working Paper No. 106
Number of pages: 41 Posted: 16 Nov 2000
Working Paper Series
Bank of England and Bank of England
Downloads 731
185.

An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Number of pages: 38 Posted: 26 Mar 2012 Last Revised: 05 May 2013
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 723
186.

An Introduction to Microcredit: Why Money is Flowing from the Rich to the Poor

Cahiers du CEREN Working Paper No. 21
Number of pages: 13 Posted: 04 Feb 2008 Last Revised: 02 Nov 2013
Working Paper Series
CEREN EA 7477 Burgundy School of Business - Université Bourgogne Franche-Comté
Downloads 719
187.

Macroeconomic Consequences of Accounting: The Effect of Accounting Conservatism on Macroeconomic Indicators and the Money Supply

Accounting Review, Forthcoming, Kelley School of Business Research Paper No. 2015-02
Number of pages: 45 Posted: 11 May 2011 Last Revised: 20 Jan 2019
Accepted Paper Series
University of Arkansas
Downloads 714
188.

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Number of pages: 35 Posted: 09 Dec 2016 Last Revised: 27 Feb 2017
Working Paper Series
Danske Bank - Danske Markets, Numerix, Numerix, Numerix and Numerix
Downloads 709
189.

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61 Posted: 15 Mar 2006 Last Revised: 25 Jun 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department

Multiple version iconThere are 2 versions of this paper

Downloads 707
190.

Learning From Disagreement in the U.S. Treasury Bond Market

Stanford University Graduate School of Business Research Paper No. 15-45, Journal of Finance, Forthcoming
Number of pages: 48 Posted: 26 Jul 2015 Last Revised: 12 May 2020
Accepted Paper Series
Marshall School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 703
191.

Financial Market Failure as a Crisis in the Rule of Law: From Market Fundamentalism to a New Keynesian Regulatory Model

Harvard Law & Policy Review, Vol. 3, 2009 , Chapman University Law Research Paper No. 09-39
Number of pages: 29 Posted: 17 Oct 2009 Last Revised: 13 Mar 2011
Accepted Paper Series
Nova Southeastern University Shepard Broad Law Center
Downloads 702
192.

Household Interest Rate Risk Management

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 55 Posted: 15 Mar 2006 Last Revised: 23 Feb 2009
Working Paper Series
Man AHL

Multiple version iconThere are 2 versions of this paper

Downloads 698
193.

Interest Rate Liberalization: Some Lessons from Africa

IMF Working Paper No. 91/121
Number of pages: 46 Posted: 15 Feb 2006
Working Paper Series
Deutsche Bank, London
Downloads 698
194.

The Missing Risk Premium in Exchange Rates

Swedish House of Finance Research Paper No. 17-18
Number of pages: 71 Posted: 14 Dec 2016 Last Revised: 14 Apr 2021
Working Paper Series
Stockholm School of Economics and University of Luxembourg
Downloads 698
195.

Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

The Review of Finance, Volume 19, Number 1, March 2015
Number of pages: 21 Posted: 18 Apr 2013 Last Revised: 18 Dec 2016
Accepted Paper Series
Piri Reis University, Fordham University Business School and Istanbul Bilgi University
Downloads 695
196.

The Expectations Theory of the Term Structure of Interest Rates and Monetary Policy

Number of pages: 28 Posted: 16 Jul 2000
Working Paper Series
University of Murcia and University of Castilla-La Mancha
Downloads 694
197.

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

PIER Working Paper No. 06-017
Number of pages: 44 Posted: 21 Jun 2006
Working Paper Series
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 692
198.

Measuring the Natural Rate of Interest

Number of pages: 27 Posted: 17 Dec 2001
Working Paper Series
Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York
Downloads 689
199.

Affine Diffusion Processes: Theory and Applications

Number of pages: 30 Posted: 22 Feb 2009 Last Revised: 22 Feb 2009
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and University of Limerick - Department of Mathematics and Statistics
Downloads 686
200.

Cointegration and Threshold Adjustment

Number of pages: 24 Posted: 24 Feb 1998
Working Paper Series
Wilfrid Laurier University - School of Business & Economics and University of Alabama - Department of Economics, Finance and Legal Studies

Multiple version iconThere are 2 versions of this paper

Downloads 682