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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...
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”.
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...
Do firms share the same functional form of their growth rate distribution? A new statistical test
growth rate distribution of single rm heterogeneous rms EDF tests
2011/3/14
We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate ...
We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also ana...
Interest-Rate Modeling with Multiple Yield Curves
Yield Curve Bootstrap Yield Curve Interpolation Discounting Curve
2010/6/30
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve ...
Unexpected Recovery Risk and LGD Discount Rate Determination
Credit risk Recovery rate Loss given default Discount rate Regulatory capital
2009/3/1
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...
A Heat Kernel Approach to Interest Rate Models
Interest rate models Markov-functional state price density heat
2009/1/1
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...
Quantitative law describing market dynamics before and after interest-rate change
Quantitative law interest-rate change
2009/1/1
We study the behavior of U.S. markets both before and after U.S. Federal OpenMarket Committee
(FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes
a financial...
Abstract: This paper examines the relationship between the black-market premium and the rate of inflation under a dual exchange rate regime consisting of an official market and a black market. By expl...
Calculated Risk-free Rate for Income Valuation
Business Valuation Risk-free Rate Discount Rate Yield Curve
2006/9/1
Discount rate calculation is one of the most important but insufficiently solved problems of income approach to business valuation. Literature pays the most attention to problems of risk premiums but ...
An Analysis of the Dynamics of Medium-Term Yields on the Czech Capital Market to the Changes in Czech National Bank’s Repo Rate
Monetary Policy Interest Rates Swap Rates Forward Rates Inflation
2006/3/1
The paper deals with theoretical and empirical aspects of the interactions between monetary policy and swap rates in the Czech Republic in 1999 through to 2005. In the theoretical part main sources of...