
	Where results make sense

Topic: Term structure of interest rates

Related Topics

Interest rate

Nominal interest rate

Interest

List of finance topics

Time value of money

Rational pricing

Risk free interest rate

LIBOR

Interest Rate Swap

Discount

Arbitrage

Mark to market

Present value

Derivatives market

In the News (Mon 14 Dec 09)

Northern Trust

Marvin Harrison

Peter Chernin

Gary Locke

Match Play

Penelope Cruz

Mickey Rourke

AR Rahman

Danny Boyle

Hugh Jackman

	The Term Structure of Interest Rates
		The "term structure" of interest rates refers to the relationship between bonds of different terms.
		When interest rates of bonds are plotted against their terms, this is called the "yield curve".
		When interest rates change by the same amount for bonds of all terms, this is called a "parallel shift" in the yield curve since the shape of the yield curve stays the same, although interest rates are higher or lower "across the curve".
	www.finpipe.com /termstru.htm (591 words)

	Yield curve - Wikipedia, the free encyclopedia
		In finance and economics, the yield curve or the term structure of interest rates is the relationship between the cost of borrowing money and the amount of time the money is being borrowed for.
		For instance, a bank account that promises an interest rate of 4% per year has a 4% yield.
		Because of the term premium, long-term bond yields tend to be higher than short-term yields, and the yield curve slopes upward.
	en.wikipedia.org /wiki/Term_Structure_of_Interest_Rates (2534 words)

	term structure of interest rates - OneLook Dictionary Search
		Term structure of interest rates : MoneyGlossary.com [home, info]
		Term Structure of Interest Rates : AMEX Dictionary of Financial Risk Management [home, info]
		Additional searches for term structure of interest rates...
	www.onelook.com /?w=term+structure+of+interest+rates (147 words)

	WWWFinance - Term Structure: Campbell R. Harvey
		The first component is the slope of the term structure or the long term--short term yield spread.
		A positive term structure of inflation could account for why the term structure inversion in the summer of 1989 was so mild and the steep upward slope since then.
		Interestingly, the difference between the local term structure of interest rates in a particular country and the U.S. term structure, has the ability to forecast the part of economic growth which is not related to "world" economic growth, i.e.
	www.duke.edu /~charvey/Classes/ba350/term/term.htm (1675 words)

	Analyzing the Term Structure of Interest Rates by Charles Bassignani
		Interest rate curves are a very useful way of visualizing the term structure of interest rates and are a necessary input to effective term structure analysis.
		Before getting into the nuts and bolts of term structure analysis, we should understand why the term structure of interest rates is one of the most studied phenomena in the field of financial economics.
		Note the existence negative forward rates in the curve derived from the bootstrapped zero curve despite the fact that the economic trend in the zero curve is upward sloping.
	www.fenews.com /fen4/analyzing.html (2061 words)

	CH 6 - ECN 314 - RISK AND TERM STRUCTURE OF INTEREST RATES
		Moody's and Standard and Poors are the two national bond rating services that do financial analyses on companies and municipalities (cities, counties, states) and based on their evaluation and assessment of creditworthiness and default probability, they assign a bond rating in one of nine categories, from Aaa/AAA to C/D, using plusses and minuses.
		Specifically, the nominal interest rate for a bond with a maturity of t years, should be equal to the average of one-year interest rates over the life of the bond.
		When: a) short term rates are expected to fall in the future and b) long term rates are the average of expected future short-term rates, the yield curve will slope downward and long-term rates are BELOW current short-term rates.
	spruce.flint.umich.edu /~mjperry/Money6a.htm (3257 words)

	Citations: Testing the term structure of interest rates using a stationary vector autoregression with regime switching ...
		Sola, Martin and John Driffill, 1994, "Testing the term structure of interest rates using a stationary vector autoregression with regime switching," Journal of Economic Dynamics and Control, 18, 601-628.
		Sola, Martin and John Driffill (1994), "Testing the Term Structure of Interest Rates using a Stationary Vector Autoregression with Regime Switching", Journal of Economic Dynamics and Control, 18, pp 601-628.
		Sola and J. Driffill, "Testing the term structure of interest rates using a stationary vector autoregression with regime switching," Journal of Economic Dynamics and Control, vol.
	citeseer.ist.psu.edu /context/483829/0 (671 words)

	Real Term Structure
		For the nominal comparison term structures, the 3-5/8 of 1/10nom, 4-3/8 of 8/12nom, and 4-1/8 of 5/15nom now replace the formerly included 5 of 2/11nom and 4-1/4 of 11/14nom.
		Nominal dollar interest rates, even nominal Treasury rates, are as irrelevant for computing TIPS durations as yen- or euro- or baht-denominated interest rates are for computing durations on nominal Treasuries.
		For example, the bond equivalent rate for a continuously compounded rate of 5.000% is 5.063%.
	economics.sbs.ohio-state.edu /jhm/ts/ts.html (7086 words)

	Lecture Notes: “The Risk and Term Structure of Interest Rates”
		When analysing the behavior of interest rates we made the simplifying assumption that there is only one type of security and thus a single interest rate for the entire economy.
		We focus on some approaches of the term structure theories to explain how the relationship between interest rates and maturity can lead to a term structure that is rising, flat, declining, or humped.
		An unusual and interesting yield curve shape is the humped yield curve.
	www.clarku.edu /faculty/mcallan/Econ113/20_9_2000.html (1002 words)

	Advanced Bond Concepts: Term Structure of Interest Rates
		The term structure of interest rates is graphed as though each coupon payment of a noncallable fixed-income security were a zero-coupon bond that “matures” on the coupon payment date.
		Remember that the term structure of interest rates is a gauge of the direction of interest rates and the general state of the economy.
		Now that you have a better understanding of the relationship between interest rates, bond prices and yields, we are ready to examine the degree to which bond prices change with respect to a change in interest rates.
	www.investopedia.com /university/advancedbond/advancedbond4.asp (1517 words)

	Loans Lowest Rates
		Loans lowest rates and auto loan services on the interest rate available will all personal wealth accounted for whom an option to you, whether it funded and we create, structure for the appropriate deal for major purchases including investment property, i.e.
		Limited is floating rate loans lowest rates also be paid over 1,000,000 online or she may borrow $3,000 under the Settersfields over traditional banks, trust companies have given access to Build your own student loan of lead generation.
		Interest rates are not pay day cash loans lowest rates present it easy it will approach him depending upon your home, or Fannie Mae guidelines.
	everytihng.com /6hzri/loans_lowest_rates.html (4953 words)

	Interest Only Loans And
		England and many interest only loans and older Cash-n-Go approves loans which is to 7.5 million British first-time property buyers than usual but the secured loans on the overall amount required for schools approved as payday loan The company uk 185“which he walked looking for the repayments.
		Interest only loans and today for example of loss increases if the person is to improve existing obligations, repossessions in the prior short-term interest only because the replacement of copeck you’ve tough situations.
		Interest only loans and Loan companies have read our personal loan offer these products in to reach the door to be sent confirming e-mail with information, you are finished with the property.
	everytihng.com /interest_only_loans_and.html (2975 words)

	The Term Structure of Interest Rates when the Growth Rate is Unobservable (ResearchIndex)
		Abstract: The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty.
		When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic.
		When agents do not observe the (constant) growth rate, interest rates are stochastic and the term structure turns out to be linearly decreasing.
	citeseer.ist.psu.edu /170513.html (302 words)

	A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk
		This paper incorporates the systematic risk of regime shifts into a general equilibrium model of the term structure of interest rates.
		A closed-form solution for the term structure of interest rates is obtained under an affine model using log-linear approximation.
		"The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
	ideas.repec.org /p/ecm/nasm04/304.html (884 words)

	Interest Rates and Term Structure (Site not responding. Last check: 2007-10-30)
		“Modeling the term structure from the on-the-run treasury yield curve,” S. A Mansi and J. Phillips, 2001, 24 (4), 545-564.
		"Interest rate parity and the behavior of the bid-ask spread," H. Louis, L.P. Blenman and J.S. Thatcher, 1999, 22 (2), 189-206.
		"An empirical study of a new class of no-arbitrage-based discrete models of the term structure," A.B. Sim and D.C. Thurston, 1996, 19 (4), 493-513.
	www.business.sc.edu /jfr/interestrates.htm (463 words)

	Term Structure of Interest Rates
		Here are a couple of references on the term structure of interest rates which deal with the idea of comparative securities pricing.
		One interesting story he told was that the Cpi was quoted wrong at BLS due to computer error on air conditioning sales, making the treasury TIP sale too cheap in 2000.
		Seems like the near 100 point rise in interest rates from 3/17 to 5/14 over-discounted a years worth of 25pt fed moves.
	www.dailyspeculations.com /sogi/interest_rates.html (577 words)

	EconPapers: Macro Factors and the Term Structure of Interest Rates (Site not responding. Last check: 2007-10-30)
		Macro Factors and the Term Structure of Interest Rates
		Abstract: This paper presents an essentially affine model of the term structure of interest rates making use of macroeconomic factors and their long-run expectations.
		The model extends the approach pioneered by Kozicki and Tinsley (2001) by modelling consistently long-run inflation expectations simultaneously with the term structure.
	econpapers.repec.org /paper/kulkulwps/ces0304.htm (360 words)

	SSRN-On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries by Robert ... (Site not responding. Last check: 2007-10-30)
		SSRN-On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries by Robert Goldstein, William Keirstead
		However, such volatility structures are in conflict with empirical evidence; volatility can remain relatively large even at low interest rates.
		In this paper, we investigate the term structure of interest rates for spot rate processes subject to reflecting and absorbing boundaries.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=19840 (392 words)

Try your search on: Qwika (all wikis)