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Journal articles on the topic 'Optimal interest rate'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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1

Woodford, Michael. "Optimal Interest-Rate Smoothing." Review of Economic Studies 70, no. 4 (October 2003): 861–86. http://dx.doi.org/10.1111/1467-937x.00270.

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2

EVANS, GEORGE W., and BRUCE McGOUGH. "Optimal Constrained Interest-Rate Rules." Journal of Money, Credit and Banking 39, no. 6 (September 2007): 1335–56. http://dx.doi.org/10.1111/j.1538-4616.2007.00069.x.

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3

Froyen, Richard T., and Roger N. Waud. "Optimal seigniorage versus interest rate smoothing." Journal of Macroeconomics 17, no. 1 (December 1995): 111–29. http://dx.doi.org/10.1016/0164-0704(95)80006-9.

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4

Binici, Mahir, and Yin-Wong Cheung. "Exchange rate dynamics under alternative optimal interest rate rules." Pacific-Basin Finance Journal 20, no. 1 (January 2012): 122–50. http://dx.doi.org/10.1016/j.pacfin.2011.08.004.

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5

Kallianiotis, Ioannis N. "The Optimal Interest Rates and the Current Interest Rate System." Eurasian Journal of Economics and Finance 2, no. 3 (2014): 1–25. http://dx.doi.org/10.15604/ejef.2014.02.03.001.

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6

Ajello, Andrea, Thomas Laubach, David Lopez-Salido, and Taisuke Nakata. "Financial Stability and Optimal Interest-Rate Policy." Finance and Economics Discussion Series 2016, no. 067 (August 2016): 1–70. http://dx.doi.org/10.17016/feds.2016.067.

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7

Eisenberg, Julia. "Optimal dividends under a stochastic interest rate." Insurance: Mathematics and Economics 65 (November 2015): 259–66. http://dx.doi.org/10.1016/j.insmatheco.2015.10.007.

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8

Pavasuthipaisit, Robert. "Optimal exchange-rate policy in a low interest rate environment." Journal of the Japanese and International Economies 23, no. 3 (September 2009): 264–82. http://dx.doi.org/10.1016/j.jjie.2009.02.003.

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9

Kiriakopoulos, Konstantinos, George Kaimakamis, and Charalambos Botsaris. "Optimal interest rate derivatives portfolio with controlled sensitivities." International Journal of Decision Sciences, Risk and Management 2, no. 1/2 (2010): 112. http://dx.doi.org/10.1504/ijdsrm.2010.034675.

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10

Guthrie, Graeme A. (Graeme Alexander), and Julian Wright. "The Optimal Design of Interest Rate Target Changes." Journal of Money, Credit, and Banking 36, no. 1 (2004): 115–37. http://dx.doi.org/10.1353/mcb.2004.0004.

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11

Sibley, David S., and David Levhari. "Optimal consumption, the interest rate and wage uncertainty." Economics Letters 21, no. 3 (January 1986): 235–39. http://dx.doi.org/10.1016/0165-1765(86)90180-1.

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12

Briys, Eric, and Bruno Solnik. "Optimal currency hedge ratios and interest rate risk." Journal of International Money and Finance 11, no. 5 (October 1992): 431–45. http://dx.doi.org/10.1016/0261-5606(92)90010-u.

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13

Arnold, Ivo J. M. "Optimal regional biases in ECB interest rate setting." European Journal of Political Economy 22, no. 2 (June 2006): 307–21. http://dx.doi.org/10.1016/j.ejpoleco.2005.08.001.

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14

Gasteiger, Emanuel. "Optimal constrained interest-rate rules under heterogeneous expectations." Journal of Economic Behavior & Organization 190 (October 2021): 287–325. http://dx.doi.org/10.1016/j.jebo.2021.07.020.

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15

Brunnermeier, Markus K., and Yuliy Sannikov. "On the Optimal Inflation Rate." American Economic Review 106, no. 5 (May 1, 2016): 484–89. http://dx.doi.org/10.1257/aer.p20161076.

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In our incomplete markets economy households choose portfolios consisting of risky (uninsurable) capital and money. Money is a bubble, it has positive value even though it yields no payoff. The market outcome is constrained Pareto inefficient due to a pecuniary externality. Each individual agent takes the real interest rate as given, while in the aggregate it is driven by the economic growth rate, which in turn depends on individual portfolio decisions. Higher inflation due to higher money growth lowers the real interest rate on money and tilts the portfolio choice towards physical capital investment. Modest inflation boosts growth rate and welfare.
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16

BONDARCHUK, Vitalii, Yuliya BOGOYAVLENSKA, Lyudmyla KALENCHUK, and Kateryna SHYMANSKA. "Key interest rate in optimal monetary policy in Ukraine." Espacios 41, no. 45 (November 26, 2020): 49–56. http://dx.doi.org/10.48082/espacios-a20v41n45p05.

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In the paper, the empirical examine of Taylor rule use in case of Ukraine has presented. The obtained results has shown that the most significant influence on interest rate makes inflation rate and interest rate in previous period. It had been found that 1% change of consumption prices and interest rate in previous period increases interest rate by 1,28 and 0,71% respectively. Instead 1% change in GDP gap causes only 0,04% change in interest rate. The obtained results has shown that 1% change of inflation gap provoke National Bank of Ukraine to increase interest rate by 0,8%.
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17

Brick, Ivan E., and S. Abraham Ravid. "Interest Rate Uncertainty and the Optimal Debt Maturity Structure." Journal of Financial and Quantitative Analysis 26, no. 1 (March 1991): 63. http://dx.doi.org/10.2307/2331243.

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18

Faia, Ester, and Tommaso Monacelli. "Optimal interest rate rules, asset prices, and credit frictions." Journal of Economic Dynamics and Control 31, no. 10 (October 2007): 3228–54. http://dx.doi.org/10.1016/j.jedc.2006.11.006.

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19

Brick, Ivan E., and S. Abraham Ravid. "INTEREST RATE UNCERTAINTY AND THE OPTIMAL DEBT MATURITY STRUCTURE." Financial Review 22, no. 3 (August 1987): 26. http://dx.doi.org/10.1111/j.1540-6288.1987.tb01160.x.

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20

Evans, George W., and Seppo Honkapohja. "Friedman's Money Supply Rule vs. Optimal Interest Rate Policy." Scottish Journal of Political Economy 50, no. 5 (November 2003): 550–66. http://dx.doi.org/10.1111/j.0036-9292.2003.05005004.x.

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21

Jung, Taehun, Yuki Teranishi, and Tsutomu Watanabe. "Optimal Monetary Policy at the Zero-Interest-Rate Bound." Journal of Money, Credit, and Banking 37, no. 5 (2005): 813–35. http://dx.doi.org/10.1353/mcb.2005.0053.

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22

Wu, Xiaoxia, Dejun Xie, and David A. Edwards. "An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate." Computational Economics 53, no. 4 (April 2, 2018): 1353–75. http://dx.doi.org/10.1007/s10614-018-9809-6.

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23

COOKE, DUDLEY. "Consumer Search, Incomplete Exchange Rate Pass‐Through, and Optimal Interest Rate Policy." Journal of Money, Credit and Banking 51, no. 2-3 (June 5, 2018): 455–84. http://dx.doi.org/10.1111/jmcb.12518.

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24

Huang, Ying, and Arthur F. Veinott. "Markov Branching Decision Chains with Interest-Rate-Dependent Rewards." Probability in the Engineering and Informational Sciences 9, no. 1 (January 1995): 99–121. http://dx.doi.org/10.1017/s0269964800003715.

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Finite-state-and-action Markov branching decision chains are studied with bounded endogenous expected population sizes and interest-rate-dependent one-period rewards that are analytic in the interest rate at zero. The existence of a stationary strong-maximum-present-value policy is established. Miller and Veinott's [1969] strong policy-improvement method is generalized to find in finite time a stationary n-present-value optimal policy and, when the one-period rewards are rational in the interest rate, a stationary strong-maximum-present-value policy. This extends previous studies of Blackwell [1962], Miller and Veinott [1969], Veinott [1974], and Rothblum [1974, 1975], in which the one-period rewards are independent of the interest rate, and Denardo [1971] in which semi-Markov decision chains with small interest rates are studied. The problem of finding a stationary n-present-value optimal policy is also formulated as a staircase linear program in which the objective function and right-hand sides, but not the constraint matrix, depend on the interest rate, and solutions for all small enough positive interest rates are sought. The optimal solutions of the primal and dual are polynomials in the reciprocal of the interest rate. A constructive rule is given for finding a stationary n-present-value optimal policy from an optimal solution of the asymptotic linear program. This generalizes the linear programming approaches for finding maximum-reward-rate and maximum-present-value policies for Markov decision chains studied by Manne [1960], d'Epenoux [1960, 1963], Balinski [1961], Derman [1962], Denardo and Fox [1968], Denardo [1970], Derman and Veinott [1972], Veinott [1973], and Hordijk and Kallenberg [1979, 1984].
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25

Guo, Chang, Xiaoyang Zhuo, Corina Constantinescu, and Olivier Menoukeu Pamen. "Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation." Methodology and Computing in Applied Probability 20, no. 4 (April 3, 2018): 1477–502. http://dx.doi.org/10.1007/s11009-018-9630-7.

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26

BENTH, FRED ESPEN, and FRANK PROSKE. "UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES." International Journal of Theoretical and Applied Finance 12, no. 01 (February 2009): 63–82. http://dx.doi.org/10.1142/s0219024909005117.

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We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, and we suppose that the issuer of the option have exponential risk preferences. We prove that the indifference price dynamics is a martingale with respect to an equivalent martingale measure (EMM) Q after discounting, implying that it is arbitrage-free. Moreover, we provide a representation of the residual risk remaining after using the optimal utility-based trading strategy as the hedge. Our motivation for this study comes from pricing interest-rate guarantees, which are products usually offered by companies managing pension funds. In certain market situations the life company cannot hedge perfectly the guarantee, and needs to resort to sub-optimal replication strategies. We argue that utility indifference pricing is a suitable method for analysing such cases. We provide some numerical examples giving insight into how the prices depend on the correlation between the tradeable and non-tradeable asset, and we demonstrate that negative correlation is advantageous, in the sense that the hedging costs become less than with positive correlation, and that the residual risk has lower volatility. Thus, if the insurance company can hedge in assets negatively correlated with the pension fund, they may offer cheaper prices with lower Value-at-Risk measures on the residual risk.
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27

Paustian, Matthias, and Christian Stoltenberg. "Optimal interest rate stabilization in a basic sticky-price model." Journal of Economic Dynamics and Control 32, no. 10 (October 2008): 3166–91. http://dx.doi.org/10.1016/j.jedc.2007.10.009.

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28

Ascari, Guido, and Nicola Branzoli. "Inflation Persistence, Price Indexation and Optimal Simple Interest Rate Rules." Manchester School 83 (August 25, 2015): 1–30. http://dx.doi.org/10.1111/manc.12117.

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29

Andrade, Philippe, Jordi Galí, Hervé Le Bihan, and Julien Matheron. "The Optimal Inflation Target and the Natural Rate of Interest." Brookings Papers on Economic Activity 2019, no. 2 (2019): 173–255. http://dx.doi.org/10.1353/eca.2019.0014.

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30

Yang, Xingyu, Weiguo Zhang, Weijun Xu, and Yong Zhang. "Competitive Analysis for Online Leasing Problem with Compound Interest Rate." Abstract and Applied Analysis 2011 (2011): 1–12. http://dx.doi.org/10.1155/2011/156254.

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We introduce the compound interest rate into the continuous version of the online leasing problem and discuss the generalized model by competitive analysis. On the one hand, the optimal deterministic strategy and its competitive ratio are obtained; on the other hand, a nearly optimal randomized strategy is constructed and a lower bound for the randomized competitive ratios is proved by Yao's principle. With the help of numerical examples, the theoretical results show that the interest rate puts off the purchase date and diminishes the uncertainty involved in the decision making.
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31

Li, Shuang, Shican Liu, Yanli Zhou, Yonghong Wu, and Xiangyu Ge. "Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate." Journal of Function Spaces 2020 (November 19, 2020): 1–10. http://dx.doi.org/10.1155/2020/3153297.

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In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect equilibrium strategy and propose an extended Hamilton-Jacobi-Bellman (HJB) equation to analyses the optimal control over the financial system involving stochastic interest rate and state-dependent risk aversion (SDRA) mean-variance utility. By solving the corresponding nonlinear partial differential equations (PDEs) deduced from the extended HJB equation, the analytical solutions of the optimal investment strategies under time inconsistency are derived. Finally, the numerical examples provided are used to analyze how stochastic (short-term) interest rates and risk aversion affect the optimal control strategies to illustrate the validity of our results.
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32

Chiu, Mei Choi, and Hoi Ying Wong. "Optimal Investment for Insurers with the Extended CIR Interest Rate Model." Abstract and Applied Analysis 2014 (2014): 1–12. http://dx.doi.org/10.1155/2014/129474.

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A fundamental challenge for insurance companies (insurers) is to strike the best balance between optimal investment and risk management of paying insurance liabilities, especially in a low interest rate environment. The stochastic interest rate becomes a critical factor in this asset-liability management (ALM) problem. This paper derives the closed-form solution to the optimal investment problem for an insurer subject to the insurance liability of compound Poisson process and the stochastic interest rate following the extended CIR model. Therefore, the insurer’s wealth follows a jump-diffusion model with stochastic interest rate when she invests in stocks and bonds. Our problem involves maximizing the expected constant relative risk averse (CRRA) utility function subject to stochastic interest rate and Poisson shocks. After solving the stochastic optimal control problem with the HJB framework, we offer a verification theorem by proving the uniform integrability of a tight upper bound for the objective function.
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33

PLATEN, ECKHARD. "AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL." International Journal of Theoretical and Applied Finance 08, no. 06 (September 2005): 717–35. http://dx.doi.org/10.1142/s0219024905003244.

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This paper proposes an alternative approach to the modeling of the interest rate term structure. It suggests that the total market price for risk is an important factor that has to be modeled carefully. The growth optimal portfolio, which is characterized by this factor, is used as reference unit or benchmark for obtaining a consistent price system. Benchmarked derivative prices are taken as conditional expectations of future benchmarked prices under the real world probability measure. The inverse of the squared total market price for risk is modeled as a square root process and shown to influence the medium and long term forward rates. With constant parameters and constant short rate the model already generates a hump shaped mean for the forward rate curve and other empirical features typically observed.
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34

Xu, Wensheng, and Shuping Chen. "Optimal consumption/portfolio choice with borrowing rate higher than deposit rate." Journal of the Australian Mathematical Society. Series B. Applied Mathematics 39, no. 4 (April 1998): 449–62. http://dx.doi.org/10.1017/s0334270000007748.

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AbstractIn this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account and a stock whose price is a log normal diffusion. The bank pays at an interest rate r(t) for any deposit, and vice takes at a larger rate r′(t) for any loan. Optimal strategies are obtained via Hamilton-Jacobi-Bellman (HJB) equation which is derived from dynamic programming principle. For the specific HARA case, we get the optimal consumption and optimal investment explicitly, which coincides with the classical one under the condition r′(t) ≡ r(t)
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35

He, Yong, and Peimin Chen. "Optimal Investment Strategy under the CEV Model with Stochastic Interest Rate." Mathematical Problems in Engineering 2020 (March 11, 2020): 1–11. http://dx.doi.org/10.1155/2020/7489174.

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Interest rate is an important macrofactor that affects asset prices in the financial market. As the interest rate in the real market has the property of fluctuation, it might lead to a great bias in asset allocation if we only view the interest rate as a constant in portfolio management. In this paper, we mainly study an optimal investment strategy problem by employing a constant elasticity of variance (CEV) process and stochastic interest rate. The assets of investment for individuals are supposed to be composed of one risk-free asset and one risky asset. The interest rate for risk-free asset is assumed to follow the Cox–Ingersoll–Ross (CIR) process, and the price of risky asset follows the CEV process. The objective is to maximize the expected utility of terminal wealth. By applying the dual method, Legendre transformation, and asymptotic expansion approach, we successfully obtain an asymptotic solution for the optimal investment strategy under constant absolute risk aversion (CARA) utility function. In the end, some numerical examples are provided to support our theoretical results and to illustrate the effect of stochastic interest rates and some other model parameters on the optimal investment strategy.
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36

Maris, Brian A. "Optimal Leveraging of Fixed Income Portfolios with Interest Rate Structured Products." CFA Digest 38, no. 1 (February 2008): 25–26. http://dx.doi.org/10.2469/dig.v38.n1.11.

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37

Noh, Eun-Jung, and Jeong-Hoon Kim. "An optimal portfolio model with stochastic volatility and stochastic interest rate." Journal of Mathematical Analysis and Applications 375, no. 2 (March 2011): 510–22. http://dx.doi.org/10.1016/j.jmaa.2010.09.055.

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38

Giannoni, Marc P. "Optimal interest-rate rules and inflation stabilization versus price-level stabilization." Journal of Economic Dynamics and Control 41 (April 2014): 110–29. http://dx.doi.org/10.1016/j.jedc.2014.01.013.

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39

Cannaday, Roger E., and T. L. Tyler Yang. "Optimal Interest Rate-Discount Points Combination: Strategy for Mortgage Contract Terms." Real Estate Economics 23, no. 1 (March 1995): 65–83. http://dx.doi.org/10.1111/1540-6229.00658.

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40

Dieudonné, Mathieu, and Jean-Christophe Curtillet. "Optimal Leveraging of Fixed Income Portfolios with Interest Rate Structured Products." Journal of Fixed Income 17, no. 1 (June 30, 2007): 16–25. http://dx.doi.org/10.3905/jfi.2007.688962.

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41

Tian, Linlin, Xiaoyi Zhang, and Yizhou Bai. "Optimal dividend of compound poisson process under a stochastic interest rate." Journal of Industrial & Management Optimization 16, no. 5 (2020): 2141–57. http://dx.doi.org/10.3934/jimo.2019047.

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42

Weiyin, Fei, and Wu Rangquan. "Optimal investment consumption model with a higher interest rate for borrowing." Applied Mathematics-A Journal of Chinese Universities 15, no. 3 (September 2000): 350–58. http://dx.doi.org/10.1007/s11766-000-0060-1.

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43

Yang, Xingyu, Weiguo Zhang, Yong Zhang, and Weijun Xu. "Optimal randomized algorithm for a generalized ski-rental with interest rate." Information Processing Letters 112, no. 13 (July 2012): 548–51. http://dx.doi.org/10.1016/j.ipl.2012.04.006.

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44

Bhattarai, Saroj, Jae Won Lee, and Woong Yong Park. "Optimal monetary policy in a currency union with interest rate spreads." Journal of International Economics 96, no. 2 (July 2015): 375–97. http://dx.doi.org/10.1016/j.jinteco.2015.02.002.

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45

Chang, Hao, and Xi-min Rong. "An Investment and Consumption Problem with CIR Interest Rate and Stochastic Volatility." Abstract and Applied Analysis 2013 (2013): 1–12. http://dx.doi.org/10.1155/2013/219397.

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We are concerned with an investment and consumption problem with stochastic interest rate and stochastic volatility, in which interest rate dynamic is described by the Cox-Ingersoll-Ross (CIR) model and the volatility of the stock is driven by Heston’s stochastic volatility model. We apply stochastic optimal control theory to obtain the Hamilton-Jacobi-Bellman (HJB) equation for the value function and choose power utility and logarithm utility for our analysis. By using separate variable approach and variable change technique, we obtain the closed-form expressions of the optimal investment and consumption strategy. A numerical example is given to illustrate our results and to analyze the effect of market parameters on the optimal investment and consumption strategies.
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46

Schrand, Catherine M. "Discussion: “Who Uses Interest Rate Swaps? a Cross-Sectional Analysis”." Journal of Accounting, Auditing & Finance 13, no. 3 (July 1998): 201–5. http://dx.doi.org/10.1177/0148558x9801300302.

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In recent years, there have been numerous empirical studies of derivatives use because of new data availability that resulted from requirements for annual report disclosures about derivatives activities of nonfinancial firms ( Financial Accounting Standards Board Statements Nos. 105 and 119). Many of these studies test predictions from models of optimal hedging. These models suggest that the use of derivatives to reduce volatility in cash flows is optimal, even though it is costly, when the firm faces even greater exogenous or endogenous costs associated with cash flow volatility. Each of the models assumes the existence of a capital market imperfection that makes cash flow volatility costly. A common approach to testing these models is to examine the cross-sectional variation in the characteristics of firms that use derivatives (or use more derivatives). The explanatory variables represent firm characteristics that the author predicts are related to the proposed costs of volatility that the firm can reduce by hedging.
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47

Cheng, Zailei. "Optimal dividends in the dual risk model under a stochastic interest rate." International Journal of Financial Engineering 04, no. 01 (March 2017): 1750010. http://dx.doi.org/10.1142/s2424786317500104.

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Optimal dividend strategy in dual risk model is well studied in the literatures. But to the best of our knowledge, all the previous works assumes deterministic interest rate. In this paper, we study the optimal dividends strategy in dual risk model, under a stochastic interest rate, assuming the discounting factor follows a geometric Brownian motion or exponential Lévy process. We will show that closed form solutions can be obtained.
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48

Pellegrino, Roberta, Nunzia Carbonara, and Nicola Costantino. "Public guarantees for mitigating interest rate risk in PPP projects." Built Environment Project and Asset Management 9, no. 2 (June 10, 2019): 248–61. http://dx.doi.org/10.1108/bepam-01-2018-0012.

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Purpose The purpose of this paper is to deal with the maximum interest rate guarantees (MIRGs), and develop a methodology for setting the optimal value of the interest rate cap, namely the maximum interest rate above which the private investor will obtain reimbursement from the government, which balances the interests of the parties involved in the project. Design/methodology/approach The mechanism underlying the MIRG is modeled through real options. Monte Carlo simulation is employed as the option-pricing method. The resulting real option-based model is applied to the case of the “Camionale di Bari” toll road (Southern Italy). Findings The application provides some insights for the policy maker called to define the proper forms of guarantees. Furthermore, the results support the negotiation process, allowing the different actors to structure the guarantee in a way that satisfies all the parties and fairly allocates risks between them according to different operational and financial conditions. Originality/value The novelty of the contribution is triple. First, the authors advance the state of the art on government supports by focusing on the interest rate guarantee. Second, the authors enrich the existing studies on MIRG by proposing a quantitative model to set the guarantee in compliance with the public–private win-win principle. The developed real option-based model supports the decision maker in finding the optimal value of the interest rate cap, which is able to satisfy the interests of the parties involved in the project. Third, the authors consider not only the private sponsor and the government, as traditionally made by the models developed for other guarantees, but also the lender.
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49

NKEKI, CHARLES I. "OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT." Annals of Financial Economics 12, no. 04 (December 2017): 1750017. http://dx.doi.org/10.1142/s2010495217500178.

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This paper considers an optimal investment and an optimal additional contribution rate of a pension plan member (PPM) who faces both diffusion and jump risks in a defined contribution (DC) pension plan. We put into consideration three background risks which include interest rate, investment and salary risks. The stock prices, interest rate and salary process of a PPM are allowed to follow a jump-diffusion process. A PPM is expected to make two kind of contributions: compulsory and additional voluntary contributions. The compulsory one is a fixed proportion of a PPM's salary and the additional one is voluntary which is time and interest rate dependent. The aims of the investor is to determine the optimal investment and optimal contribution rate in a jump-diffusion environment. In order to obtain the optimal investment and optimal contribution rate, the resulting wealth process was transformed into Hamilton–Jacobi–Bellman equation by the method of dynamic programming. As a result, the optimal investment and optimal contribution rate of a PPM were obtained. Furthermore, some empirical analyses were conducted and results obtained. We found that the optimal investment ultimately depend on stocks diffusion and jump risks, interest rate and salary risks, optimal contribution rate and the salary process. The contribution rate of a PPM was found to depend on the investment strategies, salary process and interest rate risks, salary and its growth rate and CRRA coefficient. We also found that the contribution rate depends inversely on the salary process of a PPM over time.
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50

von zur Muehlen, Peter. "An Optimal Interest Rate Rule with Information from Money and Auction Markets." Journal of Money, Credit and Banking 26, no. 4 (November 1994): 917. http://dx.doi.org/10.2307/2077956.

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