兼松セミナー (Kanematsu Seminar)

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.