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ON THE REALTIONSHIP BETWEEN EXCHANGES RATES AND INTEREST RATES: EVIDENCE FROM THE SOUTHERN CONE
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2004)
Direction of interest rate movements and interest rate trends of mexican treasury securities
(Journal of Internacional Finance and Economics, 2009)
Direction of interest rate movements and interest rate trends of mexican treasury securities
(Journal of Internacional Finance and Economics, 2009)
Comparing equilibrium real interest rates : different approaches to measure Brazilian rates
(Escola de Pós-Graduação em Economia da FGV, 2006-03-24)
Despite the difficulties involved in the precise determination of equilibrium real interest rates, it seems clear that nominal interest rates has been higher in Brazil than in similar emerging economies. This paper aims ...
Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions
(2019-05)
Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis (Du et al., 2018). Our study aims to contribute to the literature by ...
An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options
(Escola de Pós-Graduação em Economia da FGV, 1999-08-12)
Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate ...
Equilibrium real interest rates in Brazil: Convergence at last, but not quite
(Lociedade Brasileira de Finanças, 2022)