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1.
A new kind of mixture autoregressive model with GARCH errorsis introduced and applied to the U.S. short-term interest rate.According to the diagnostic tests developed in the article andfurther informal checks, the model is capable of capturing bothof the typical characteristics of the short-term interest rate:volatility persistence and the dependence of volatility on thelevel of the interest rate. The model also allows for regimeswitches whose presence has been a third central result emergingfrom the recent empirical literature on the U.S. short-terminterest rate. Realizations generated from the estimated modelseem stable and their properties resemble those of the observedseries closely. The drift and diffusion functions implied bythe new model are in accordance with the results in much ofthe literature on continuous-time diffusion models for the short-terminterest rate, and the term structure implications agree withhistorically observed patterns.  相似文献
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The relation between stock returns and short-term interest rates   总被引:1,自引:0,他引:1  
This study examines the relation between the expected returns on common stocks and short-term interest rates. Using a two-factor model of stock returns, we show that the expected returns on common stocks are systematically related to the market risk and the interest-rate risk, which are estimated as the sensitivity of common-stock excess returns to the excess return on the equally weighted market index and to the federal fund premium, respectively. We find that the interest-rate risk for small firms is a significant source of investors' portfolio risk, but is not properly reflected in the single-factor market risk. We also find that the interest-rate risk for large firms is “negative” in the sense that the market risk estimated from the single-factor model overstates the true risk of large firms. An application of the Fama-MacBeth methodology indicates that the interest-rate risk premium as well as the market's risk premium are significant, implying that both the market risk and the interest-rate risk are priced. We show that the interest-rate risk premium explains a significant portion of the difference in expected returns between the top quintile and the bottom quintile of the NYSE and AMEX firms. We also show that the turn-of-the-year seasonal is observed for the interest-rate risk premium; however, the risk premium for the rest of the year is still significant, although small in mangitude.  相似文献
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An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyond a constant term in the drift provides negligible benefit. While constant drift would appear to imply that the short rate is nonstationary, in fact, stationarity is volatility-induced. The simple constant elasticity of volatility model fits weekly observations of the three-month Treasury bill rate remarkably well but is easily rejected when compared with more flexible volatility specifications over daily data. The methodology of Durham and Gallant can also be used to estimate stochastic volatility models. While adding the latent volatility component provides a large improvement in the likelihood for the physical process, it does little to improve bond-pricing performance.  相似文献
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住房反向抵押贷款作为一种新型的养老模式,为一些有房无钱的老年人解决了养老难题。本文就有赎回权的住房反向抵押贷款的赎回权的定价进行讨论,将赎回权看作是一种欧式看涨期权。同时,选择TGARCH模型拟合短期利率的动态变化,并利用短期利率动态模型改进B-S期权定价理论中关于无风险利率的限定,进而结合蒙特卡洛模拟的方法对期权进行数值计算,得到赎回权的价格。  相似文献
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基于电子货币的狭义定义,本文从狭义电子货币影响货币供求的角度选择影响短期利率的解释变量并构建理论模型。在控制其他影响因素后,发现狭义电子货币对30天期Chibor利率的直接影响并不显著,而主要受传统货币电子化、移动网络等支付技术发展影响的变量,如货币供给流动性、金融电子化程度以及现金漏损率与30天期Chibor利率之间存在长期协整关系,货币供给流动性、金融电子化程度以及现金漏损率对30天期Chibor利率的影响方向均为正。  相似文献
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《中国货币市场》2014,(2):53-56
2014年1月,美元指数宽幅振荡,总体上涨;主要货币短期Libor基本持平;主要国家中长期国债收益率大幅下降;主要股指大幅下跌。  相似文献
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《中国货币市场》2014,(4):56-59
2014年1季度,美元指数小幅下跌;美元、英镑、日元短期利率下降,欧元短期利率上升;主要国家中长期国债收益率下降;主要股指出现分化。  相似文献
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《中国货币市场》2014,(5):56-59
2014年4月,美元指数小幅下跌;主要货币短期利率涨跌不一;主要国家中长期国债收益率振荡下行;主要股指走势出现分化。  相似文献
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