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Impact Study of Central Bank Communication to Money Market Benchmark Interest Rate  [PDF]
Liping Zhou, Haishan Wu
Open Journal of Social Sciences (JSS) , 2016, DOI: 10.4236/jss.2016.42011
Abstract: In the past two decades, central bank communication as a new type of monetary policy tool has continually received attention from central banks. With the gradual advance of the market-led interest rate process, most central banks establish policy operation framework which can effectively guide and regulate the market interest rate. This article is based on the implementation of China’s monetary policy tools framework, using EGARCH model to empirically study the impact of central bank communication as a new monetary policy tool to benchmark money market rates. The result indicates: the influence of central bank communication to SHIBOR is significant, the direction of impact is in accordance with the direction of monetary policy intentions; verbal communication is more remarkable than written communication in affecting the SHIBOR; increasing the central bank of communication can dampen short-term interest rate fluctuations and can play a positive role in the financial markets.
Reducing the Lower Bound on Market Interest Rates
Ulrich van Suntum,Metin Kaptan,Cordelius Ilgmann
Economic Analysis and Policy , 2011,
Abstract: This paper critically discusses three proposals to overcome the zero interest bound, which have recently been proposed by prominent economists. We trace back the historical origins of these proposals, reaching back to the late 19th century, and comment on their theoretical and practical deficiencies. We propose a much simpler method to spur real investment in times of a deep recession, based on long term central bank loans with low but non-negative base rates. With the prospect of decreasing default risks after the recession, this measure has a similar effect like negative base rates in time of crisis. We therefore hope to convey the message that the effects of the zero interest bound can at least be mitigated without substantially changing the existing monetary regime.
Central bank forecasts of liquidity factors and the control of short term interest rates  [cached]
Ulrich Bindseil
PSL Quarterly Review , 2002,
Abstract: A simple model of the interaction between central bank liquidity management and the inter-bank overnight rate is suggested, which allows analysing the publication offorecasts of liquidity factors by the European Central Bank adopted in June 2000. The paper argues that the main practical advantage of the publication of theseforecasts is that it makes the signal extraction problem with regard to the centralbank's intentions trivial and hence allows establishing a superior behavioural equilibrium between the central bank and the money market participants. In this equilibrium, the central bank can achieve a better steering of overnight rates than under private autonomous factor forecasts, depending of course also on the quality of liquidity forecasts. It is furthermore shown that the publication of an average of autonomous factors, such as adopted by the ECB, is, at least within the model presented, superior to the separate publication of autonomous factors for each single day.
Comparison of Field Theory Models of Interest Rates with Market Data  [PDF]
Belal E. Baaquie,Marakani Srikant
Quantitative Finance , 2002, DOI: 10.1103/PhysRevE.69.036129
Abstract: We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model independent determination of the volatility function of the forward rates from market data.
Do the Bank of Japan’s Unconventional Monetary Policies Decrease Real Interest Rates under a Zero Lower Bound?  [PDF]
Yoshito Funashima
Open Journal of Social Sciences (JSS) , 2018, DOI: 10.4236/jss.2018.67010
Abstract: To test Paul Krugman’s pioneering proposal for escaping from liquidity traps, this study examines whether unconventional monetary policies under a zero lower bound decrease real interest rates in Japan. We find a sizable decline in real interest rates under zero interest rate policy and Abenomics monetary policy. In addition, we find no significant decline in real interest rates under other unconventional monetary policies, such as the first quantitative easing and comprehensive monetary easing.
A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates  [PDF]
Belal E. Baaquie
Physics , 2005,
Abstract: The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally for such models. To elaborate how the martingale for the Libor belongs to the general class of numeraire for the forward interest rates, two other numeraire's are considered, namely the money market measure that makes the evolution of the zero coupon bonds a martingale, and the forward measure for which the forward bond price is a martingale. The price of an interest rate cap is computed for all three numeraires, and is shown to be numeraire invariant. Put-call parity is discussed in some detail and shown to emerge due to some non-trivial properties of the numeraires. Some properties of swaps, and their relation to caps and floors, are briefly discussed.
货币市场利率和资本市场利率的多元时变因果关系研究
Research on Time-Varying Multi-Causal Relationships betweenMoney Market Interest Rates and Capital Market Interest Rates
 [PDF]

陈守东,章秀,刘洋
- , 2015, DOI: 10.15896/j.xjtuskxb.201504003
Abstract: 应用Dirichlet-VAR模型分析了货币市场基准利率、货币市场利率和资本市场收益率之间的多元时变因果关系,以揭示货币市场利率和资本市场利率之间的动态演变特征与核心影响结构。实证结果表明:央票发行利率能够有效地反应货币政策的变化,并引导市场流动性,更适合作为货币市场基准利率,并扮演利率定价锚的作用;央票发行利率与货币市场利率之间、货币市场利率与债券市场利率之间均存在一个封闭的反馈调节环路,前者更多地表现为行政化手段调节,而后者更多地表现为市场化手段调节。
In this paper, we use the time-varying multi-causal Dirichlet-VAR model to analyze the time-varying multi-causal relationship between the money market benchmark interest rate, money market rates and capital market yields. And the relationships between the rates reveal the dynamic characters and core structure of the money market interest rates and capital markets yields. The empirical results show that the commercial release rate as a more market monetary policy tool can effectively reflect the changes of monetary policy, and guide the market liquidity. Therefore, the commercial release rate ismore suitable to be the money market benchmark interest rate, and play the anchor role in the money market. Between the commercial release rate and money market interest rates, money market rates and bond market interest rates, there exists a closed loop feedback. The first loop is a more administrative regulation means, and the second loop is a more market-oriented means
Central Bank Transparency and Financial Market: Evidence for the Brazilian Case  [cached]
Helder Ferreira de Mendon?a,José Sim?o Filho
Revista Brasileira de Finan?as , 2011,
Abstract: The main objective of this paper is an empirical analysis concerning the effects caused by Central Bank of Brazil transparency on the Brazilian financial market. Furthermore, a brief review of the literature regarding central bank transparency is presented. The effects of the different dimensions of the monetary authority’s transparency on yield interest are examined. Moreover, the consequences regarding changes in the country risk are considered in this study. The findings denote that the Central Bank of Brazil transparency works as a guide for the future interest rate market and that the different dimensions of transparency contribute to a better market efficiency.
Relational Analysis of Talents’ Turnover and Management Factors in Bank’s Credit Card Center: An Empirical Analysis Based on Six Banks in Guangzhou  [PDF]
Lian Duan, Ling Yan
Journal of Financial Risk Management (JFRM) , 2018, DOI: 10.4236/jfrm.2018.73019
Abstract: The development of bank’s credit card business faces serious challenges, and the bank employees’ turnover is becoming increasingly serious. In view of this, this thesis takes the employees of the credit card department of the six banking institutions in Guangzhou as the research object, and explores the key factors that influence the talent turnover of Chinese banking industry in the current environment. An official questionnaire is designed for research. Combining with the actual situation of corporate and domestic and foreign research results, in addition to the relational analysis on salary and benefits, career promotion and management communication which are traditional issues, this thesis has constructed a relational model of internal and external factors in the context of performance-based high-pressure brought by market saturation and the impact of the emerging business of mobile payment and virtual credit cards business. This thesis is more scientifically and comprehensively used for analysis and discussion. The talent turnover of bank’s credit card business is mainly due to the ambiguity in the development prospects of credit card business, the impact of mobile payment and emerging business of virtual credit card on employees’ psychological expectations, the high pressure of employees’ performance due to saturation of the credit card market, and the development of new consumer finance companies. Also, external work opportunities and other intricate internal and external factors lead to this result.
Analysis of effects of foreign bank entry on credit interest rate behavior in Serbia  [PDF]
?uki? ?or?e
Panoeconomicus , 2007, DOI: 10.2298/pan0704429d
Abstract: Following foreign bank entry, credit interest rates have been extremely high in Serbia compared with a reference group of countries: Croatia, Bulgaria and Romania. This is connected with monetary authorities' poor predictions regarding the behavior of those banks in setting interest rates, creating an illusion that competition, per se, would rapidly result in decreasing interest rates; as well as undertaking monetary policy measures-such as an extreme increase in the reserve requirements rate-that contributed to unchanged or increased credit interest rates. The final outcome of poor predictions and measures undertaken by the National Bank of Serbia is limited to periodical appeals by its highest officials to citizens to consider the conditions under which they borrow from banks. However, under conditions of fully inelastic demand for bank credit and a cartel presence in the banking sector, such appeals are ineffective, merely reflecting an attempt to avoid responsibility for a possible wave of bankruptcies in the household sector. Only increasing competition among banks can lead to a significant decrease in credit interest rates in Serbia in the medium term. Empirical analysis shows that competition should be most intensive on the mortgage loan market.
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