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Relevant bibliographies by topics / Overnight interest rates

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Academic literature on the topic 'Overnight interest rates'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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Journal articles on the topic "Overnight interest rates"

1

Akram, Q. Farooq, and Casper Christophersen. "Norwegian Overnight Interbank Interest Rates." Computational Economics 41, no. 1 (2011): 11–29. http://dx.doi.org/10.1007/s10614-011-9304-9.

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Gradojevic, Nikola, and Ramazan Gencay. "Overnight interest rates and aggregate market expectations." Economics Letters 100, no. 1 (2008): 27–30. http://dx.doi.org/10.1016/j.econlet.2007.10.024.

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Gençay, Ramazan, and Faruk Selçuk. "Overnight borrowing, interest rates and extreme value theory." European Economic Review 50, no. 3 (2006): 547–63. http://dx.doi.org/10.1016/j.euroecorev.2004.10.010.

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Nenadovic, Sanja. "Repo rates as reference interest rates: testing the expectations hypothesis of the term structure of interest rates." Economic Analysis 55, no. 2 (2022): 8–19. http://dx.doi.org/10.28934/ea.22.55.2.pp1-19.

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The subject of this paper is the consideration of the role of the repo market and the quality of repo rates in the formation of reference interest rates that would be used to assess the value of financial instruments and derivatives. Unsecured money markets carry a certain level of risk, thus, the question arises whether the existing reference interest rates should be replaced by repo rates or other interest rates on secured loans. Reference interest rates on the money market play an important role in a country's monetary policy. Through operations on the short-term money market, Central Banks

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Marquez, Jaime R., Ari Morse, and Bernd Schlusche. "The Federal Reserve's Balance Sheet and Overnight Interest Rates." Finance and Economics Discussion Series 2012, no. 66 (2012): 1–41. http://dx.doi.org/10.17016/feds.2012.66.

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Konadu-Adjei, Charles Kweku, Roger W. Mayer, and Wen-Wen Chien. "Determinants Of Long-Term Interest Rates In The United States." Journal of Business & Economics Research (JBER) 10, no. 5 (2012): 257. http://dx.doi.org/10.19030/jber.v10i5.6977.

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The behavior of the long-term interest rates is a practical problem for private and public organizations. Organizations need to estimate interest rates for purposes of assigning value to long-term obligations such as defined benefit plans and long-term leases and making decisions related to long term capital purchases. The purpose of this study was to analyze the determinants of long-term interest rates in the United States, using 352 quarterly time series data points extending from 1999 to 2009. This study examines how a change in overnight interest rates, budget deficit, Gross Domestic Produ

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Tropeano, Domenica. "Negative interest rates in the eurozone." Review of Keynesian Economics 7, no. 2 (2019): 233–46. http://dx.doi.org/10.4337/roke.2019.02.08.

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This paper reviews the eurozone's negative rate deposit facility and seeks to explain its rationale. The paper rejects the conventional explanation that the negative rate deposit facility improves the transmission mechanism of monetary policy and contributes to the economic recovery of the area. Instead, the paper argues that the rationale for the policy is to be found in the interbank market. The European unsecured interbank market has malfunctioned since the beginning of the global financial crisis in 2007. The negative policy rate is an extreme attempt to revive that market, but that attemp

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Moiseev, S. R. "Consequences of interest rates benchmarks reform." Voprosy Ekonomiki, no. 1 (January 8, 2020): 93–110. http://dx.doi.org/10.32609/0042-8736-2020-1-93-110.

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The reform of benchmarks is carried out in developed economies from 2014 to 2021. The starting point of a large-scale reform was the scandal with the interest rate LIBOR. Instead of it, national so-called “risk-free” interest rates will appear. Although a problem of manipulating LIBOR will be resolved, new benchmarks bring new problems. They have statistical biases and will not be comparable either to LIBOR or to each other due to methodological differences. The new benchmark rates are overnight rates, and their calculation does not imply the formation of term rates. Instead of the homogeneous

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Lei, Yaming. "Research on Interbank Offered Rate Based on Embedded Wireless Communication." Wireless Communications and Mobile Computing 2022 (April 15, 2022): 1–15. http://dx.doi.org/10.1155/2022/3851498.

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With the Wi-Fi (Wireless Fidelity) standard and the increase of wireless access points, wireless data communication based on 802.11 has become increasingly popular. Interest rate risk is a kind of financial risk. In essence, interest rate risk is caused by changes in the price or income of financial products caused by changes in interest rates. As the hot spot of the wireless network, the self-organizing network will inevitably become a development trend to realize voice communication on its market-oriented core interest rate; the ARIMA model is further proposed to improve the prediction accur

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BIAGINI, FRANCESCA, ALESSANDRO GNOATTO, and MAXIMILIAN HÄRTEL. "GENERAL ANALYSIS OF LONG-TERM INTEREST RATES." International Journal of Theoretical and Applied Finance 23, no. 01 (2020): 2050002. http://dx.doi.org/10.1142/s0219024920500028.

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We introduce here the idea of a long-term swap rate, characterized as the fair rate of an overnight indexed swap (OIS) with infinitely many exchanges. Furthermore, we analyze the relationship between the long-term swap rate, the long-term yield, (F. Biagini, A. Gnoatto & M. Härtel (2018) Affine HJM Framework on [Formula: see text] and long-term yield, Applied Mathematics and Optimization 77 (3), 405–441, F. Biagini & M. Härtel (2014) Behavior of long-term yields in a lévy term structure, International Journal of Theoretical and Applied Finance 17 (3), 1–24, N. El Karoui, A. Frachot &am

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Dissertations / Theses on the topic "Overnight interest rates"

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Bisagni, Elena. "The overnight interbank market in the U.S. and in the Euro area /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3064476.

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Lloyd, Simon Phillip. "An analysis of monetary policy transmission through bond yields." Thesis, University of Cambridge, 2017. https://www.repository.cam.ac.uk/handle/1810/270003.

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In this thesis, I study the transmission of monetary policy through the term structure of interest rates. This is an important topic because, with short-term nominal interest rates in many advanced economies close to their effective lower bound since 2008-2009, central banks have used `unconventional' monetary policies, such as large-scale asset purchases and forward guidance, to stimulate macroeconomic activity by, inter alia, placing downward pressure on longer-term interest rates. I focus on the mechanisms through which monetary policy influences bond yields, domestically and globally, with

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Wu, Po-Cheng, and 吳粕誠. "Threshold Effects of Overnight Interest Rate Changes on Stock Index." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/28149874424131336880.

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碩士<br>義守大學<br>財務金融學系碩士在職專班<br>99<br>The relationship between interest rates and stock prices has always been a controversial topic in the economic field. In the macroeconomy, the flexibility of interest rate and monetary policy has a great impact on the investment level. In general, a lower interest rate can stimulate the investment and economic growth, therefore the relationship between interest rate and stock price is negative, meaning that rising interest rates could reduce stock prices, and falling interest rates could raise stock prices. However, through this study that employs a threshol

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Su, Yuung-Jyh, and 蘇詠智. "A Study of Volatility and Indicator of Taiwan Overnight Interbank Money Market Interest Rate." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/83539494151200627416.

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碩士<br>國立臺灣大學<br>財務金融學系研究所<br>85<br>The interbank money market is founded for funds trading and strengthening the monetary credit among financial institutions. On measuring the tightness and ease of short-term funds, the overnight interbank money market interest rate is viewed as the price. This study focuses on Taiwan overnight interbank money market interest rate by verifying the influential factors and examining its function as a short-term interest rate indicator. All results are described as follows:

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Books on the topic "Overnight interest rates"

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Demiralp, Selva. Overnight interbank loan markets. Federal Reserve Board, 2004.

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Pulli, Markku. Overnight market interest rates and banks' demand for reserves in Finland. Suomen Pankki, 1992.

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Homburg, Stefan. Commercial Banks. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198807537.003.0007.

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Chapter 7 introduces commercial banks as creators of money and integrates them into the general equilibrium framework. The motivation to deviate from the standard approach that neglects commercial banks and entrusts all money creation to a central bank is twofold. First, apart from currency, central banks do not provide money directly but rather supply reserves that enable banks to create deposits. After the Great Recession, this transmission process staggered: increases in reserves outpaced increases in deposits. Any analysis of the monetary expansions starting in 2008 would remain incomplete

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Book chapters on the topic "Overnight interest rates"

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Bindseil, Ulrich. "Introduction." In Monetary Policy Implementation. Oxford University PressOxford, 2004. http://dx.doi.org/10.1093/oso/9780199274543.003.0001.

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Abstract Why is the committee responsible for defining US monetary policy called the ‘Federal Open Market Committee’ (FOMC) and not ‘Federal Interest Rate Committee’ (FIRC), even though it undisputedly sets and announces a target for the overnight interest rate?

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Simsek, Koray D., and Halil Kiymaz. "Valuing and Analyzing Fixed Income Derivatives." In Debt Markets and Investments. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190877439.003.0027.

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Derivatives valuation is based on the key principle of no-arbitrage pricing. This chapter presents valuation models for various types of fixed income derivatives, including forward rate agreements (FRAs), interest rate swaps, Eurodollar and Treasury bond futures, bond options, caps and floors, swaptions, and options on interest rate futures. Following the financial crisis that began in the summer of 2007, major changes occurred in the practice of fixed income derivatives valuation, particularly regarding the adoption of overnight indexed swaps (OIS) as a source of the risk-free rate. This chap

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Duffie, Darrell. "The Case of Federal Funds Lending." In Dark Markets. Princeton University Press, 2012. http://dx.doi.org/10.23943/princeton/9780691138961.003.0002.

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This chapter shows how the intraday allocation and pricing of overnight loans of federal funds reflect the over-the-counter interbank market in which these loans are traded. It provides estimates of how the likelihood that some bank i borrows from some other bank j during a particular minute t of a business day, as well as the interest rate on the loan, depend on the prior trading relationship between these two banks, the extents to which their balances at the beginning of minute t are above or below their normal respective balances for that time of day, their overall levels of trading activit

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Conference papers on the topic "Overnight interest rates"

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"THE INFLUENCE OF PERSONNEL COSTS ON THE PROFITABILITY OF THE CROATIAN HOTEL INDUSTRY." In XII TRADITIONAL SCIENTIFIC CONFERENCE NEW ECONOMY 2024. Oikos Institute – Research Center, Bijeljina, Bosnia and Herzegovina, 2024. http://dx.doi.org/10.61432/cpne0201147s.

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In the 1980s, Croatia recorded about 8 million arrivals and 53 million overnight stays, which dropped to 2.5 million arrivals and 10-11 million overnight stays in the 1990s. Since then, tourism has steadily increased, reaching 17.78 million arrivals and 90 million overnight stays in 2022. Tourism’s contribution to GDP more than doubled, spurring investments and improving accommodations. However, competition has pressured revenues, while costs have risen due to higher wages, interest rates, private accommodation growth, emigration, and inflation. This paper investigates the impact of personnel

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Shropshire, David, and Jess Chandler. "Financing Strategies for a Nuclear Fuel Cycle Facility." In 14th International Conference on Nuclear Engineering. ASMEDC, 2006. http://dx.doi.org/10.1115/icone14-89255.

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To help meet the nation’s energy needs, recycling of partially used nuclear fuel is required to close the nuclear fuel cycle, but implementing this step will require considerable investment. This report evaluates financing scenarios for integrating recycling facilities into the nuclear fuel cycle. A range of options from fully government owned to fully private owned were evaluated using DPL (Decision Programming Language 6.0), which can systematically optimize outcomes based on user-defined criteria (e.g., lowest life-cycle cost, lowest unit cost). This evaluation concludes that the lowest uni

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Reports on the topic "Overnight interest rates"

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Barahona, Ricardo, and María Rodríguez-Moreno. Estimating the OIS term premium with analyst expectation surveys. Banco de España, 2024. http://dx.doi.org/10.53479/36253.

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This paper estimates the euro area overnight index swap yield curve, which is considered to be the risk-free yield curve in the euro area, using an affine term structure model. We expand the Adrian, Crump and Moench (2013) procedure with survey data to dissect rates into short-term expectations and term premia. This approach reveals the market expectations of short-term interest rates and monetary policy, and gauges the premium demanded by risk-averse investors in uncertain interest rate environments. As compared to the simpler model, the use of survey information in our estimation yields esti

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Financial Markets Report - Second Quarter 2023. Banco de la República, 2024. http://dx.doi.org/10.32468/rmf.eng2-trim.2023.

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Throughout the second quarter of the year, high inflation levels continued to ease, benefiting both the local public debt and that of counterparts in the region (Brazil, Mexico, Chile, and Peru). Conversely, amid stronger-than-anticipated economic activity in developed economies and expectations of a more contractionary monetary policy path, public debt in these countries depreciated. Riskier assets were favored by an increase in risk appetite. Global inflationary pressures remain high, although showing a downward trend, while economic activity demonstrated greater resilience than expected. Ma

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