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References in periodicals archive ?
For the interest rate differential, I used the series constructed and described above, considering a year with 52 weeks (1) therefore, I have daily data on total returns, exchange rate returns, 25-delta 3-month risk reversals and 3-month interest rate differentials.
Lustig and Verdelhan (2007) developed a consumption-based model and showed that aggregate consumption growth risk explains why low interest rate currencies do not appreciate (and why high interest rate currencies do not depreciate) as much as the interest rate differential.
There are five factors that have pushed yields lower this year: weaker than expected economic growth in the first quarter; a more dovish Federal Reserve Chair taking over in February; supply/ demand imbalances in the Treasury markets; medium-term interest rate differentials in the developed world; and the recent spike in geopolitical tension.
While Table 3 identifies only the nominal interest rate differential of Luxembourg as exhibiting non-stationarity, the consideration of the Perron-Rodriguez and Lee-Strazicich one-break unit-root tests adds France to this non-stationary list while the Lee-Strazicich test alone suggests that Greece exhibits a non-stationary nominal interest rate differential.
It means the QCB rates will have to move in tandem with the Fed rate to avoid arbitrage opportunities in interest rate differentials.
Such peg means that the QCB rates will have to move in tandem with the US Fed Funds rate to avoid arbitrage opportunities in interest rate differentials.
In order to verify this conclusion, we have used the Augmented Dickey Fuller (ADF) statistic to test the price, inflation, and interest rate differential for unit roots.
For now, it is useful to keep in mind that it is not only the variances of the exchange rate, the interest rate differential and the FX reserves differential that determine the variability of the EMPI.
Further, the report indicated that economic activity and inflation tend to have a more significant impact than interest rate differentials among domestic factors, while external variables tend to have a bigger impact on deposit growth than domestic variables.
Finding much less convergence than the conventional wisdom would suggest, he offers a theoretical explanation for divergence that posits that when governments choose to spend more to either promote growth, provide public goods, or engage in redistribution, they must raise interest rates, which leads sequentially to a larger interest rate differential and greater exchange rate variability.
When cross-country interest rate differentials exceed an estimated threshold band, the differential will exhibit a stationary mean-reverting behavior toward the band, while wandering as a non-stationary random walk when the interest rate differential lies within the threshold bands.
The crown has been getting firmer because of inflows of oil company funds ahead of tax payment deadlines and because of Norway's high interest rate differential, according to Reuters.