Search results for "Interest"
showing 10 items of 624 documents
Interest rate gaps in an uncertain global context: why "too" low (high) for "so" long?
2022
We study the behaviour of real interest rate gaps-i.e. periods of real interest rates above (below) the natural interest rate-and link their length with a set of key observable determinants. Using quarterly data for 13 OECD countries over (close to) the last 60 years, we find that global risk-taking, CPI inflation, (un)conventional monetary policy, and income redistribution crucially shape the duration of both events. However, while labour-related supply-side factors appear to affect the length of positive interest rate gaps, the adoption of an inflation targeting regime and the current account balance seem to explain the duration of negative interest rate gaps. Our results suggest that the…
Ruin probabilities in the presence of heavy tails and interest rates
1997
Abstract We study the infinite time ruin probability for the classical Cramer-Lundberg model, where the company also receives interest on its reserve. We consider the large claims case, where the claim size distribution F has a regularly varying tail. Hence our results apply for instance to Pareto, loggamma, certain Benktander and stable claim size distributions. We prove that for a positive force of interest δ the ruin probability ψδ (u) ∼ κδ (1 - F(u)) as the initial risk reserve u→∞. This is quantitatively different from the non-interest model, where ψ(u) ∼ κ (1 – F(y)) dy.
A network analysis of student mobility patterns from high school to master’s
2021
Human migration involves the movement of people from one place to another. An example of undirected migration is Italian student mobility where students move from the South to the Center-North. This kind of mobility has become of general interest, and this work explores student mobility from Sicily towards universities outside the island. The data used in this paper regards six cohorts of students, from 2008/09 to 2013/14. In particular, our goal is to study the 3-step migration path: the area of origin (Sicilian provinces), the regional university for the bachelor’s degree, and the regional university for the master’s. Our analysis is conducted by building a multipartite network with four …
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
2002
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. The emphasis is devoted to the discretely sampled Asian option. It is shown how the value of this option can be approximated as the sum of Black-Scholes options. The formula is obtained under the extension of results developed by Rogers and Shi (1995) and Jamshidian (1991). In addition bounds for the pricing error are determined. Comparing with Monte Carlo simulation the pricing is found to be very precise.
Can fiscal policy stimulus boost economic recovery
2011
We assess the role played by fiscal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive fiscal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the effect of fiscal policy is temporary, housing prices gradually and persistently fall. Consequently, the attempts of fiscal policy to mitigate stock price developments (e.g. via taxes on capital gains) may severely de-stabilize housing markets. The empirical findings also point to significant fiscal multiplier effects in the context of severe housing busts, which gives rise to the importance of the im…
Open and Closed Positions and Stock Index Futures Volatility
2011
In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.
Explaining the Formation Rates of Post-Communist Interest Organizations: Density Dependence and Political Opportunity Structure
2020
This article presents an analysis of the formation of organized interest groups in the post-communist context and organizational populations over time. We test two theories that shed doubt on whether vital rates of interest groups are explained by individual incentives, namely, the political opportunity structure and population ecology theory. Based on an analysis of the energy policy and higher education policy organizations active at the national level in Hungary, Poland, and Slovenia, we find that while the period of democratic and economic transition indeed opened up the opportunity structure for organizational formations, it by no means presented a clean slate. Communist-era successor…
Closed Form Approximation of Swap Exposures
2013
This paper provides closed form lower and upper bounds for the price of European swaption on cross currency basis swap with the presence of dynamic basis spreads. Cross currency basis spreads are treated as integrals of spot spreads, approach familiar from interest rate models. The spot spread is modelled by two-factor mean reverting Gaussian model that is equivalent to two-factor Hull-White model introduced by [Hull and White(1994)]. This model allows closed form approximations and relatively well fitting and simple calibration to the spread term structure.
Cross-cultural analysis of teacher confirmation, student motivation, classroom emotion and emotional interest in China, Korea and Japan
2016
This study investigates the relationship between teacher confirmation and student motivation across three cultures: China, Korea, and Japan and studies how classroom emotion and emotional interest influence this relationship in three different countries. Students in China (n=718), Korea (n=362), and Japan (n=350) completed questionnaires assessing their perceived teacher confirmation, student motivation, classroom emotion and emotional interest. Results of these samples indicate that teacher confirmation is positively correlated with student motivation in Korea and Japan. There is also a significant difference in these three groups on teacher confirmation, emotional support and emotional wo…
La stereotomia nella cattedra di Architettura statica di Carlo Giachery
2014
La scuola di architettura di Palermo, sin dalla sua fondazione nel 1779, con la creazione della cattedra di Architettura civile affidata a Giuseppe Venanzio Marvuglia, era divenuta inevitabilmente il luogo di verifica e talvolta di esplorazione dei temi legati alla pratica professionale e, quindi, all’arte del costruire. Giachery, Professore di Architettura statica e civile dal 1837 al 1865, è il primo ad avvertire, da docente, la crisi profonda del sistema didattico della scuola di architettura di Palermo isterilita dalla ricerca di astratte idealità neoclassiche e straniatasi dal processo evolutivo della cultura architettonica europea dopo la morte dei “maestri” Marviglia e Gentile. Secon…