Search Results
Documents are displayed in order of relevance.
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The Fed - Itô Conditional Moment Generator and the Estimation of Short Rate Processes
Rate Processes Hao Zhou Abstract: This paper exploits the Itô's formula...rate models that allow for nonlinear volatility and flexible jump specifications
URL: https://www.federalreserve.gov/econres/feds/ito-conditional-moment-generator-and-the-estimation-of-short-rate-processes.htm
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The Fed - New Evidence on the Interest Rate Effects of Budget Deficits and Debt
Rate Effects of Budget Deficits and Debt Thomas Laubach Abstract: Estimating...rates, this paper studies the relationship between long-horizon expected
URL: https://www.federalreserve.gov/econres/feds/new-evidence-on-the-interest-rate-effects-of-budget-deficits-and-debt.htm
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The Fed - Savings Rates and Output Variability in Industrial Countries
Rates and Output Variability in Industrial Countries Garry J. Schinasi...rates and output variability. This paper examines data for eight industrial
URL: https://www.federalreserve.gov/econres/ifdp/savings-rates-and-output-variability-in-industrial-countries.htm
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The Fed - The Forward Exchange Rate Bias: A New Explanation
Rate Bias: A New Explanation Ross Levine Abstract: Although the literature...rates is fully explained by the anticipated rate of change in the real
URL: https://www.federalreserve.gov/econres/ifdp/the-forward-exchange-rate-bias-a-new-explanation.htm
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The Fed - Real Exchange Rate Targeting and Macroeconomic Instability
Rate Targeting and Macroeconomic Instability Martin Uribe Abstract: This...rate when the real exchange rate is below its long-run level and reduces
URL: https://www.federalreserve.gov/econres/ifdp/real-exchange-rate-targeting-and-macroeconomic-instability.htm
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The Fed - GSEs, Mortgage Rates, and Secondary Market Activities
Rates, and Secondary Market Activities Andreas Lehnert, Wayne Passmore...rates paid by mortgage borrowers. We find that both portfolio purchases
URL: https://www.federalreserve.gov/econres/feds/gses-mortgage-rates-and-secondary-market-activities.htm
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The Fed - Options on Interbank Rates and Implied Disaster Risk
Rates and Implied Disaster Risk Hitesh Doshi, Hyung Joo Kim, Sang Byung...rate options, interbank rates, maximum likelihood estimation, time-varying
URL: https://www.federalreserve.gov/econres/feds/options-on-interbank-rates-and-implied-disaster-risk.htm
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The Fed - Historical Proxies for the Secured Overnight Financing Rate
Rates Committee (ARRC) to recommend an alternative rate to U.S. dollar...rate (survey rate). The survey rate is calculated as a volume-weighted
URL: https://www.federalreserve.gov/econres/notes/feds-notes/historical-proxies-for-the-secured-overnight-financing-rate-20190715.html
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The Fed - Drivers of Option-Implied Interest Rate Volatility
rates.3 The implied volatility of short-term interest rates is likely ...rate, and uncertainty about the fed funds rate should, in turn, reflect
URL: https://www.federalreserve.gov/econres/notes/feds-notes/drivers-of-option-implied-interest-rate-volatility-20241024.html
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The Fed - A Utility Based Comparison of Some Models of Exchange Rate Volatility
Rate Volatility Kenneth D. West, Hali J. Edison, and Dongchul Cho Abstract...rates, 1973-1989, and the corresponding pair of Eurodeposit rates. Of
URL: https://www.federalreserve.gov/econres/ifdp/a-utility-based-comparison-of-some-models-of-exchange-rate-volatility.htm
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