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Rate Spreads (rate + spread)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting80%

Kinds of Rate Spreads

  • interest rate spread
    		•

    Selected Abstracts

    INSTITUTIONS, BANKING DEVELOPMENT, AND ECONOMIC GROWTH

    THE DEVELOPING ECONOMIES, Issue 4 2009
    M. Sami NABI
    O16; O17; O41 Does the institutional environment affect the causal relationship between banking development and economic growth? In the theoretical section of this paper, we develop an endogenous growth model where the institutional environment is captured through two indicators: judicial system efficiency and easiness of informal trade. We show that an improvement in the institutional environment has two effects. First, it intensifies the causality direction from banking to economic growth through a reduction in defaulting loans. Second, it reduces the interest rate spread. In the empirical section of the paper, we find bidirectional causality when analyzing 22 Middle Eastern and North African countries over the period 1984,2004. The first causality, which runs from banking development to economic growth, is more intense in countries with more developed institutional environment. The second causality runs from economic growth to banking and indicates that a more developed economy has a more developed banking system. [source]

    Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market

    ECONOMIC NOTES, Issue 3 2007
    Benjamin M. Tabak
    This paper presents evidence that yields on the Brazilian fixed income market are fractionally integrated, and compares the period before and after the implementation of the Inflation Targeting (IT) regime. The paper employs the commonly used GPH estimator and recently developed wavelets-based estimator of long memory. Empirical results suggest that interest rates are fractionally integrated and that interest rate spreads are fractionally integrated, with a higher order of integration in the period after the implementation of the IT regime. These results have important implications for the development of macroeconomic models for the Brazilian economy and for long-term forecasting. Furthermore, they imply that shocks to interest rates are long-lived. [source]

    Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany

    GERMAN ECONOMIC REVIEW, Issue 4 2001
    Gebhardt Kirschgässner
    Using quarterly data for the Federal Republic of Germany, we generate four-quarter-ahead forecasts for real GDP growth. Throughout the 1970s and 1980s, other monetary indicators like real M1 or short-run interest rates clearly outperform forecasts which are based on interest rate spreads. This holds for within as well as for ex-post predictions. The same holds for the development after 1992. Moreover, it is shown that simple forecasts based on M1 or on short-run interest rates outperform the common biannual GNP forecasts of the group of German economic research institutes. [source]

    Is the Corporate Loan Market Globally Integrated?

    THE JOURNAL OF FINANCE, Issue 6 2007
    A Pricing Puzzle
    ABSTRACT We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the United States, other things equal. Differences in borrower, loan, and lender characteristics do not appear to explain this phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display home bias. This may explain why pricing discrepancies are not competed away, though their causes remain a puzzle. Thus, important determinants of loan origination market outcomes remain to be identified, home bias appears to be material for pricing, and corporate financing costs differ across Europe and the United States. [source]

    The Chinese interbank repo market: An analysis of term premiums

    THE JOURNAL OF FUTURES MARKETS, Issue 2 2006
    Longzhen Fan
    Because of the lack of short-term government bonds, the interbank repo market in China has been providing the best information about market-driven short-term interest rates since its inception. This article examines the behavior of the repo rates of various terms and their term premiums. The work in this article supplements the study by F. Longstaff (2000), which reports supportive evidence for the pure expectations hypothesis over the short range of the term structure with the use of repo data from the United States. It is found that the pure expectations hypothesis is statistically rejected, although the term premiums are economically small. It is shown that the short-term repo rate, repo rate volatility, repo market liquidity, and repo rate spreads are all important in determining the term premiums. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:153,167, 2006 [source]