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Market Interest Rate (market + interest_rate)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

The Structural Relation Between Mortgage and Market Interest Rates

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2003
Achla Marathe
This paper analyzes the dynamic relationship between primary and secondary mortgage markets and the short-term and long-term market interest rates. Using a series of monthly data on fixed rate mortgage rates and GNMA rates, we explore the dependence and speed of adjustment in these primary and secondary mortgage rates to each other as well as to the long and short-term government rates. The results indicate that residential mortgage rates in general, appear to follow the long-term rate and are not very sensitive to movements in the short-term interest rate. [source]

CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL

MATHEMATICAL FINANCE, Issue 3 2005
Etienne ChevalierArticle first published online: 10 JUN 200
We consider an American put option on a dividend-paying stock whose volatility is a function of the stock value. Near the maturity of this option, an expansion of the critical stock price is given. If the stock dividend rate is greater than the market interest rate, the payoff function is smooth near the limit of the critical price. We deduce an expansion of the critical price near maturity from an expansion of the value function of an optimal stopping problem. It turns out that the behavior of the critical price is parabolic. In the other case, we are in a less regular situation and an extra logarithmic factor appears. To prove this result, we show that the American and European critical prices have the same first-order behavior near maturity. Finally, in order to get an expansion of the European critical price, we use a parity formula for exchanging the strike price and the spot price in the value functions of European puts. [source]

Growth Effects of Bubbles in an Endogenous Growth Model

THE JAPANESE ECONOMIC REVIEW, Issue 2 2000
Koichi Futagami
This paper examines the possibility of the existence of bubbles and their effects on the growth rate by using an endogenous growth model. A necessary and sufficient condition for the existence of steady-state equilibrium with bubbles is provided. If non-zero rates of the useless asset supply are allowed, a steady-state equilibrium with bubbles exists even if the growth rate of the bubbleless equilibrium is lower than the market interest rate. The growth rate in the steady state with bubbles depends positively on the supply rate of the useless asset. Dynamic properties of bubbles are also analysed. JEL Classification Numbers: E52, O41, O42. [source]

The Structural Relation Between Mortgage and Market Interest Rates

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2003
Achla Marathe
This paper analyzes the dynamic relationship between primary and secondary mortgage markets and the short-term and long-term market interest rates. Using a series of monthly data on fixed rate mortgage rates and GNMA rates, we explore the dependence and speed of adjustment in these primary and secondary mortgage rates to each other as well as to the long and short-term government rates. The results indicate that residential mortgage rates in general, appear to follow the long-term rate and are not very sensitive to movements in the short-term interest rate. [source]