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Full-Text Articles in Social and Behavioral Sciences

An Examination Of The Interest Rate Sensitivity Of Business Development Company (Bdc) Stock Returns, Timothy Park Jan 2013

An Examination Of The Interest Rate Sensitivity Of Business Development Company (Bdc) Stock Returns, Timothy Park

CMC Senior Theses

This paper examines the interest rate sensitivity of Business Development Companies (BDCs). The results of this study are intended to lend insight to investors about the viability and timing of investments in BDCs during the business cycle. Similar to previous research that has examined interest rate sensitivity of financial companies, this paper employs a two-factor market model to see whether BDCs are responsive to changes in short, medium, and long-term interest rates. My particular interest in BDCs is motivated by their unique asset-liability structure and requirements, as well as their high dividend payouts. Monthly data is drawn from the period …

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The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest Jul 2012

The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest

James J Forest

In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …

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The Twisting Fed: How Changing Open Market Operation Compositions Affect Long-Term Interest Rates And Subsequently Influence Capital Expenditures, Michael Owen Miller Jun 2012

The Twisting Fed: How Changing Open Market Operation Compositions Affect Long-Term Interest Rates And Subsequently Influence Capital Expenditures, Michael Owen Miller

Honors Theses

The Federal Reserve has been highly active in the past decade in its attempts to lower long-term interest rates and spur economic growth. This thesis will investigate how the Federal Reserve’s actions have influenced long-term Treasury yields and whether the manipulation of the long-term interest rate helps stimulate economic growth through capital investment. To examine how the Fed’s actions affect long-term yields we study the maturity composition of the Fed’s Open Market Operations (OMOs). As the trend of proportional purchases shift farther out along the yield curve, we expect the long-term interest rate to decrease. The impact of shifting long-term …

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Getting At Systemic Risk Via An Agent-Based Model Of The Housing Market, John Geanakoplos, Robert Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey Mar 2012

Getting At Systemic Risk Via An Agent-Based Model Of The Housing Market, John Geanakoplos, Robert Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey

Cowles Foundation Discussion Papers

Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.

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The Origins Of The Italian Sovereign Debt Crisis, David M. Henningsen Jan 2012

The Origins Of The Italian Sovereign Debt Crisis, David M. Henningsen

CMC Senior Theses

Over the past decade, the European Union has been characterized by an explosion of expenditure, insufficient revenue, high deficits and a lack of budget discipline. Financial markets in Europe are currently dealing with enormous government debts, poor government balance sheets and a weakening banking system. The purpose of this paper is to investigate the origins of the current Euro-crisis and specifically identify the extent to which it will affect the nation of Italy going forward. To understand Italy's stance amid the Euro-crisis, we proceed as follows: First, a historical background section will develop the fundamental issues that have developed in …

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Credit Access, The Costs Of Credit And Credit Market Discrimination, Christian E. Weller Dec 2011

Credit Access, The Costs Of Credit And Credit Market Discrimination, Christian E. Weller

Christian Weller

Since the early 1990s, credit expanded relative to income, especially after 2001. It is hypothesized that traditionally uneven credit access and gaps in the costs of credit by demographic characteristics shrank during this period. Relying on data from the Federal Reserve’s Survey of Consumer Finance, this study looks at financial constraints, the costs of credit and a number of contributions to the costs of credit, including sources and types of loans. The results indicate that taste-based discrimination and structural discrimination may have persisted and possibly increased over time. Gaps in credit access and costs of credit have widened by race, …

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Have Differences In Credit Access Diminished In An Era Of Financial Market Deregulation?, Christian E. Weller Dec 2011

Have Differences In Credit Access Diminished In An Era Of Financial Market Deregulation?, Christian E. Weller

Christian Weller

Over the past few decades, financial markets became increasingly deregulated and household debt expanded, sometimes rapidly. It is thus possible that greater deregulation led to improved credit access for typically underserved groups, such as minorities and low-income families, relative to their counterparts. Credit access is measured here by loan denials, discouraged applications, and costs of credit. Based on data from the Federal Reserve’s Survey Consumer Finances and using multivariate tests, there is no clear trend, though, towards equalization of credit access from 1989 to 2004. Specifically, gaps in loan denials and discouraged applications only improved for Hispanics relative to Whites. …

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The Impact Of Chinese Purchases Of U.S. Government Debt On The Treasury Yield Curve, Radhames A. Lizardo, Andre V. Mollick Dec 2011

The Impact Of Chinese Purchases Of U.S. Government Debt On The Treasury Yield Curve, Radhames A. Lizardo, Andre V. Mollick

Economics and Finance Faculty Publications and Presentations

Examining monthly data from May of 1985 to May of 2008, we find that increases in Chinese purchases of U.S government debt lead to decreases in Treasury yields. The effect is stronger as the maturity increases: a one percent increase in purchases of U.S. Treasuries by Chinese investors lowers the two-year (ten-year) Treasury yield by 10 to 38 basis points (39 to 55 basis points) on average, ceteris paribus . Overall, the demand-side variable capturing Chinese purchases of U.S. Treasuries improves the cointegrating properties of U.S. interest rates. In-sample and out-of-sample forecasts reinforce that the model with Chinese purchases greatly …

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A Kalman Filter Approach To Fisher Effect: Evidence From Nigeria, Omorogbe J. Asemota, Dahiru A. Bala Jun 2011

A Kalman Filter Approach To Fisher Effect: Evidence From Nigeria, Omorogbe J. Asemota, Dahiru A. Bala

CBN Journal of Applied Statistics (JAS)

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full Fisher effect from 1961:1-2009:4. This result indicates that nominal interest rates do not respond one-for-one to changes in inflation rates in the long run despite the presence of positive relationship among the variables. Our study recommends the adoption of potent policies aimed at checking inflation …

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The High Costs Of Small Loans: Understanding Interest Rates In Microfinance, Benjamin W. Hudgens Jan 2011

The High Costs Of Small Loans: Understanding Interest Rates In Microfinance, Benjamin W. Hudgens

CMC Senior Theses

Version:1.0 StartHTML:0000000183 EndHTML:0000003190 StartFragment:0000002393 EndFragment:0000003154 SourceURL:file://localhost/Users/benjaminhudgens/Desktop/Final%20Thesis.docx This thesis will use data from 2009 to examine two questions about the Microfinance industry. First, why do firms charge interest rates well beyond their cost of funds and second, are there important differences at the national level that can help us to understand the high interest rates in Microfinance? I find that interest rates are primarily a result of operating expenses, but profit-status has large effects in developed Microfinance markets. I also find that the Economist Intelligence Unit’s measures of regulatory environment and industrial development explain a large portion of the variation in …

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Monetary Policy Essay, Dan Brocklehurst Jun 2010

Monetary Policy Essay, Dan Brocklehurst

Academic Symposium of Undergraduate Scholarship

No abstract provided.

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Overview Of Financial Sector Developments In Nigeria., S. N. Ibeabuchi Dec 2008

Overview Of Financial Sector Developments In Nigeria., S. N. Ibeabuchi

Economic and Financial Review

The objective of this paper is to review the various developments (reforms) in the Nigerian financial sector since 1986, including the recent banking industry consolidation.

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Credit Access, The Costs Of Credit And Credit Market Discrimination, Christian E. Weller Jan 2008

Credit Access, The Costs Of Credit And Credit Market Discrimination, Christian E. Weller

PERI Working Papers

Since the early 1990s, credit expanded relative to income, especially after 2001. It is hypothesized that traditionally uneven credit access and gaps in the costs of credit by demographic characteristics shrank during this period. Relying on data from the Federal Reserve’s Survey of Consumer Finance, this study looks at financial constraints, the costs of credit and a number of contributions to the costs of credit, including sources and types of loans. The results indicate that taste-based discrimination and structural discrimination may have persisted and possibly increased over time. Gaps in credit access and costs of credit have widened by race, …

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Have Differences In Credit Access Diminished In An Era Of Financial Market Deregulation?, Christian E. Weller Jan 2007

Have Differences In Credit Access Diminished In An Era Of Financial Market Deregulation?, Christian E. Weller

PERI Working Papers

Over the past few decades, financial markets became increasingly deregulated and household debt expanded, sometimes rapidly. It is thus possible that greater deregulation led to improved credit access for typically underserved groups, such as minorities and low-income families, relative to their counterparts. Credit access is measured here by loan denials, discouraged applications, and costs of credit. Based on data from the Federal Reserve’s Survey Consumer Finances and using multivariate tests, there is no clear trend, though, towards equalization of credit access from 1989 to 2004. Specifically, gaps in loan denials and discouraged applications only improved for Hispanics relative to Whites. …

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Predicting A Currency Crisis Alternative Approaches And Applications To The Philippines, Fernando Antonio Iv Castillo Jan 2006

Predicting A Currency Crisis Alternative Approaches And Applications To The Philippines, Fernando Antonio Iv Castillo

Dissertations and Theses Collection (Open Access)

An arrival of a currency crisis can be anticipated through a comprehensive and properly specified Early Warning System (“EWS”). The costs that entail with experiencing a currency crisis far exceed the costs of spending a considerable amount of time to developing an EWS. In a report done by the IMF(1998), they estimated that emerging economies suffer an 8% cumulative loss in real output during a severe currency crisis. Likewise, evidence suggests that a simple look at traditional market indicators of currency and default risks will not provide much advance warning of an impending currency crisis. In a study done by …

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2005-02 Keynes And The Birth Of Modern Macroeconomics, David Laidler Jan 2005

2005-02 Keynes And The Birth Of Modern Macroeconomics, David Laidler

Economic Policy Research Institute. EPRI Working Papers

No abstract provided.

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2005-08 Monetary Policy And Its Theoretical Foundations, David Laidler Jan 2005

2005-08 Monetary Policy And Its Theoretical Foundations, David Laidler

Economic Policy Research Institute. EPRI Working Papers

No abstract provided.

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Household Reaction To Changes In Housing Wealth, Robert J. Shiller Apr 2004

Household Reaction To Changes In Housing Wealth, Robert J. Shiller

Cowles Foundation Discussion Papers

It is widely claimed that housing wealth, as well as stock prices, have an impact on consumption and hence on aggregate economic activity. This paper presents a broad overview of the issues that arise in evaluating this claim in the context of recent research in behavioral economics. Particular attention is paid to a model of the response of consumption to wealth components produced by Christopher Carroll [2004].

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Fiscal Policy: Its Macroeconomics In Perspective, James Tobin May 2001

Fiscal Policy: Its Macroeconomics In Perspective, James Tobin

Cowles Foundation Discussion Papers

President George W. Bush is preparing a drastic permanent reduction in federal income and estate taxes. He cites as precedents tax cuts by Kennedy-Johnson 1962-64 and Reagan 1981. In those cases, however, the economy was operating well below full employment and needed a “demand-side” stimulus (even though Reagan advertised his tax reduction as “supply-side”). In 2001, however, the economy is very close to full employment, and if it needs a stimulus at all, it is a quick modest temporary one instead of the large permanent one proposed. And why can’t monetary policy do the job of stabilization, as it did …

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Crowding Out And Government Spending, Marie Carrasco Jan 1998

Crowding Out And Government Spending, Marie Carrasco

University Avenue Undergraduate Journal of Economics

The purpose of this paper is to provide a better understanding of the relationship between budget deficits and private investment and to contribute to the discussion of whether or not such a relationship exists. We test the robustness of Cebula's (1985) model by extending the time period, by testing the model using a proxy for one of the variables, and by de-trending the variables.

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Interest Rate Variability And Manufacturing Industry Cash Flow: An Empirical Analysis, Suzette M. Lebrasseur-Serwin, Abdur Chowdhury Mar 1994

Interest Rate Variability And Manufacturing Industry Cash Flow: An Empirical Analysis, Suzette M. Lebrasseur-Serwin, Abdur Chowdhury

Economics Faculty Research and Publications

To examine the impact of floating rate loans and interest rate volatility on aggregate cash flow, quarterly data covering the period 1974 to 1990 for 14 two-digit Standard Industrial Classification manufacturing industries were analyzed. The results indicate that changes in the short-term interest rate and-or interest rate volatility have a significantly negative impact on the cash flow of a total of 11 of the 14 firms considered. Although the inverse relationship between corporate cash flow and interest rate is worth mentioning, the heterogeneity of this relationship across industries, however, is more interesting. The magnitude of the decline in cash flow …

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A Review And Appraisal Of Nigeria's Experience With Financial Sector Reform, M. O. Ojo Aug 1993

A Review And Appraisal Of Nigeria's Experience With Financial Sector Reform, M. O. Ojo

CBN Occasional Papers

The primary aim of the paper Is to highlight the policy reforms In Nigeria's financial sector since 1986, assess the results of the reform programme, and Identify the lessons that can be learned from the policy initiatives. The reform package was introduced in 1986 against the background of prolonged macro-economic distortions and economic deterioration, especially during the first half of the 1980s. Financial sector reforms under the aegis of the Structural Adjustment Programme were designed to induce more domestic savings and reduce the distortions in investment decisions. To this end, measures were introduced between 1986 and 1992 (the period covered …

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Interpreting The Macroeconomic Time Series Facts: The Effects Of Moentary Policy, Christopher A. Sims Mar 1992

Interpreting The Macroeconomic Time Series Facts: The Effects Of Moentary Policy, Christopher A. Sims

Cowles Foundation Discussion Papers

Existing theory and evidence on the effects of monetary policy are reviewed. Substantial room for disagreement among economists remains. New evidence, based on multivariate time series studies of several countries, is presented. While certain patterns in the data consistent with effective monetary policy are strikingly similar across countries, others, particularly the tendency of interest rate increases to predict high inflation, are harder to reconcile with effective monetary policy.

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Interest Rate Behaviour Since Deregulation, Oresotu F. O. Mar 1991

Interest Rate Behaviour Since Deregulation, Oresotu F. O.

Bullion

This paper examines the effects of interest rates with reference to deregulation of various sector of the economy. The interest rates used in this part of the paper are the commercial bank rates. This bas not affected the analysis as the commercial bank rates are in general lower than those of the merchant banks.

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A Strategic Market Game With A Mutual Bank With Fractional Reserves And Redemption In Gold (A Continuum Of Traders), Martin Shubik, Dimitrios P. Tsomocos Dec 1990

A Strategic Market Game With A Mutual Bank With Fractional Reserves And Redemption In Gold (A Continuum Of Traders), Martin Shubik, Dimitrios P. Tsomocos

Cowles Foundation Discussion Papers

We utilize the strategic market game approach to analyze the role and function of a mutual bank with variable fractional reserves, redemption in gold and endogenous interest rate formation. We specify the conditions of enough money and its distribution. Using the continuum of traders model, we show existence and optimality for the case of no bankruptcy as well as for the case in which there exists the potentiality of bankruptcy. Finally, we analyze the relationship of the gearing ratio and the bankruptcy penalty with respect to the resulting equilibrium allocations.

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The Term Structure Of Interest Rates (With U.S. Government Term Structure Data), Robert J. Shiller, J. Huston Mcculloch Jul 1987

The Term Structure Of Interest Rates (With U.S. Government Term Structure Data), Robert J. Shiller, J. Huston Mcculloch

Cowles Foundation Discussion Papers

This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated here in a uniform manner and their interrelations, exact or approximate, delineated. The concept of duration is used throughout to simplify mathematical expressions. Continuous compounding is used where possible, to avoid arbitrary distinctions based on compounding assumptions. Both the theoretical and the empirical literature are treated. The attached tables by J. Huston McCulloch give term structure data for U.S. government securities 1946-1987. The tables give discount bond yields, forward …

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Cointegration And Tests Of Present Value Models, John Y. Campbell, Robert J. Shiller Mar 1986

Cointegration And Tests Of Present Value Models, John Y. Campbell, Robert J. Shiller

Cowles Foundation Discussion Papers

In a model where a variable Y is proportional to the present value, with constant discount rate, of expected future values of a variable y , the “spread” S – Y – qy will be stationary for some q whether or not y must be differenced to induce stationarity. Thus, Y and y are cointegrated. The model implies that S is proportional to the optimal forecast of S *, the present value of future changes in y. We use vector autoregressive methods, and recent literature on cointegrated processes, to test the model. When Y is the long-term interest rate and …

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Income Velocity In The United States, 1961-1968, William F. Kennedy Aug 1970

Income Velocity In The United States, 1961-1968, William F. Kennedy

Economics Theses & Dissertations

No abstract provided.

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