日時:
(Date&Time) |
6月10日(火)午後3時30分から (Tuesday, June 10, 3:30pm〜) |
報告者:
(Speaker) |
植杉 威一郎 (UESUGI Iichiro) |
所属:
(Affiliation) |
経済産業研究所 (The Research Institute of Economy, Trade and Industry) |
論題:
(Topic) |
On the relationship between the very short forward and the spot interest
rate |
共著者: (Co-author) |
Guy M. Yamashiro (California State University) |
概要: (Abstract) |
In this paper we revisit the relationship between the forward interest
rate and the spot interest rate at the shortest maturities. We introduce
a new set of very short forward and spot interest rates that have not been
fully utilized in the literature: the "tomorrow next" rate and
the "spot next" rate, both of which have the same maturity as
the overnight rate. Using these interest rates we demonstrate two
kinds of asymmetric predictability of the forward interest rate.
The first asymmetry, which we find to be robust across different money
markets, depends on the sign of the difference between the forward rate
and the current spot rate, while the second asymmetry occurs between two
periods: the period immediately following a policy change, and the period
up to the next policy change. Money market institutions, such as
a penalty for end of the day overdrafts, and market participants' erroneous
anticipation of future monetary policy may explain each of these asymmetries
respectively. |
会場:
(Place) |
神戸大学経済経営研究所 調査室 (兼松記念館1階)
Seminar Room at
RIEB (Kanematsu Memorial Hall 1st Floor) |
対象: (Intended Audience) |
教官、院生、および同等の知識をお持ちの方
Faculty, graduate students, and people with equivalent knowledge |
使用言語:
(Language) |
日本語
Japanese |
備考:
(Note) |
論文のコピーは開催日の1週間前に研究助成室にご用意いたします。
Copies of the paper will be available one week before the seminar at Research
Assistant Room.
|