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Unexpected Recovery Risk and LGD Discount Rate Determination
Credit risk Discount rate Loss given default Recovery rate Regulatory capital
2016/1/26
The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted accounts in the case of default. Banks firstly need to collect historical recovery data...
Imperfect Common Knowledge and Exchange Rate Determination
Common Knowledge Exchange Rate Determination
2015/9/21
We look at a simple financial model of exchange rate determination
with investors who have heterogeneous information. The exchange rate can
be expressed as a sum of averages of higher order expectat...
Should Governments Use a Declining Discount Rate in Project Analysis?
Project Analysis Discount Rate
2015/9/18
In evaluating public projects, France and the United Kingdom use discount rate schedules in
which the discount rate applied today to benefits and costs occurring in the future declines over
time (HM...
On the Relation Between the Variability of Inflation and the Average Inflation Rate
Inflation the Average Inflation Rate
2015/8/5
On the Relation Between the Variability of Inflation and the Average Inflation Rate.
Comments on ‘Staggered Contracts and Exchange Rate Policy’ by Guillermo Calvo
Staggered Contracts Exchange Rate Policy
2015/8/5
Casual observation suggests that many contracts in the real world are
not of uniform length; for example, recent wage concessions in the
United States have lead to termination of union contracts bef...
The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank
Monetary Policy Rules European Central Bank
2015/8/4
This paper examines the implications of recent research on monetary policy rules for
practical monetary policy making, with special emphasis on strategies for setting interest
rates by the European ...
For a country that chooses not to "permanently"
fix its exchange rate through a currency
board, or a common currency, or some kind of
dollarization, the only alternative monetary policy
that can w...
Expectations, Open Market Operations, and Changes in the Federal Funds Rate
Expectations Open Market Operations
2015/8/3
The process through which Federal Reserve
decisions about monetary policy are transmitted
to the federal funds market has changed
significantly in recent years. In 1994 the Federal
Open Market Com...
Measuring the Interest‑Rate Risk.
Reply to the Comments on “Measuring the Interest Rate Risk”
Reply to the Comments Measuring the Interest Rate Risk
2015/7/21
Reply to the Comments on “Measuring the Interest Rate Risk”.
THE CHOICE OF DISCOUNT RATE FOR CLIMATE CHANGE POLICY EVALUATION
Discounting discount rate climate change
2015/7/17
Nearly all discussions about the appropriate consumption discount rate for climate-change policy evaluation assume that a single discount rate concept applies. We argue that two distinct concepts and ...
Debt Redemption,Reserve Accumulation,and Exchange-Rate Regimes
Foreign Reserves Local-Currency Bonds Carry Trade Exchange-Rate Regimes International Finance
2015/4/28
Foreign participation in local-currency-bond markets in emerging countries has increased dramatically over the past decade. In light of this trend, we revisit the question of the optimal exchange-rate...
This study empirically compares, for the first time, the popular exchange-rate-targeting regime with the recently emerged inflation-targeting framework in developing countries. Applying a variety of p...
Impacts of literacy rate and human development indices on agricultural production in South Africa
agricultural productivity apartheid bounds test education
2013/2/24
Agriculture is an important sector in South Africa, and the impact that education and human development would have made in this sector via non-white small scale farming was limited through biased poli...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...