On the Relationship Between the Very Short Forward and the Spot Interest Rate

Topics:
Commercial Lending
Tags:
Finance,
Financial Planning,
Financial Services,
Interest Rate
Source:
Research Institute of Economy, Trade and Industry (RIETI)

FREE Registration is required

Overview: This paper revisits the relationship between the forward and the spot interest rate. In contrast to much of the literature the paper investigates the very short maturities. The "tomorrow next" rate is the forward interest rate, but has the same maturity as the overnight rate. The authors' estimate an asymmetry in predictability of the very short forward interest rate across different markets. This asymmetry depends on whether the forward rate is greater or less than the current spot rate. To explain this a theoretical framework has been developed that incorporates institutional settings, based on interviews with Japanese market participants, such as a penalty for overdrafts, and the inability of securities firms to procure funds.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 281KB | Date: Feb 2004 | Pages: 36

People who downloaded this item also downloaded

White Paper Financial Analysis: Key Terms And Concepts
White Paper Numerical Analysis in the Financial Industry: Analysis Challenges in Finance and How the IMSL Family of Products Delivers Solutions
White Paper Adding Value Through Risk and Capital Management
White Paper Internal Rate of Return: A Cautionary Tale - Tempted by a Project With a High Internal Rate of Return? Better Check Those Interim Cash Flows Again
White Paper Capital Budgeting in Arbitrage-Free Markets

Top results from Commercial Lending

White Paper Does Bank Lending Affect Output? Evidence from the U.S. States
White Paper What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
White Paper New Evidence on the Interest Rate Effects of Budget Deficits and Debt
White Paper Consumption, Debt and Portfolio Choice: Testing the Effect of Bankruptcy Law
White Paper Small Business Loan Turndowns, Personal Wealth and Discrimination

» View all Commercial Lending listings

advertisement
advertisement
  • Click Here
  • Click Here
  • Click Here
advertisement

Returning users: Log In Here!

Already registered on BNET, TechRepublic, or ZDNet? Simply log in.

Free Membership: Sign Up Now!

Sign up for a free membership today and get instant and unlimited access to one of the largest databases of white papers, webcasts, and casestudies anywhere. Your FREE membership allows you to:

  • Download an unlimited amount of content, including classic and current white papers, case studies, webcasts and more
  • Track content on your chosen topics of interest
  • Receive targeted email alerts when your favorite content is added
  • Save content for future reading
  • Receive our member newsletter

When you register to access this directory, you become a member of BNET. In addition, you allow us to share your information with companies that produce products or services featured in the library--so that such companies may contact you with information and offers regarding their products and services. This enables us to keep the library a free service. As a directory registrant, you will receive a complimentary subscription to the BNET member newsletter, The BNET Report. You can unsubscribe from this newsletter at any time. By clicking the Sign up button, you indicate that you agree to our Terms and Conditions and have read and understand our Privacy Policy (updated).