By Sidney Homer, Richard Sylla

ISBN-10: 0471732834

ISBN-13: 9780471732839

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A background of rates of interest offers a truly readable account of rate of interest tendencies and lending practices over 4 millennia of monetary historical past. regardless of the paucity of knowledge ahead of the economic Revolution, authors Homer and Sylla supply a hugely precise research of cash markets and borrowing practices in significant economies. Underlying the research is their statement that "the loose marketplace long term interest rates for any business kingdom, competently charted, offer a kind of fever chart of the commercial and political wellbeing and fitness of that nation." Given the big volatility of premiums within the twentieth century, this means we're residing in age of political and fiscal excesses which are mirrored in colossal rate of interest swings. achieve extra perception into this statement through ordering a duplicate of this e-book this present day.

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Additional resources for A History of Interest Rates (4th Edition)

Example text

2, such an average pattern simply does not exist: different commodities have different slopes, and through time a given commodity can either be backwarded or contangoed. 2) where ????(????)???? is the spot price at time ???? for commodity ???? and ???? (????, ???? )???? the corresponding future with a residual maturity equal to ???? − ????. We use three different generic futures contracts, 3 When a private or an institutional investor wishes to have an exposure to the commodity universe through futures, this regularly requires rolling the position from a future with a maturity that turned out to be short to a longer dated future.

Now, turning to monthly data, we do find a higher number of positive autocorrelations that are different from zero. Platinum, aluminum and copper are fair examples: a positive shock of these has a greater chance of being long-lasting when compared, for example, to zinc. However, here again, the stability of such figures is rather limited. 5, we are able to reach two conclusions: 1. Weak evidence exists that the alleged trends in commodities come from persistent shocks. When one of these commodities goes through a shock – such as a shortage on production for various reasons – there is no statistical evidence that this shock should turn into a persistent trend.

In the case of equity, we find two significant and positive parameters (Mexico IPC and SMI) and three negative and statistically significant ones (Dow Jones, S&P 500 and Nikkei) out of the 18 indices considered here. A similar picture is obtained in the currency case. The case of interest rates is a bit different: for these series, we have five out of eight series that yield significant estimates. From these preliminary estimates, we fail to find a picture as striking as the one presented by Kat and Oomen (2007a): over the past 15 years, there is limited evidence of a higher persistence in commodities than in other asset classes.

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A History of Interest Rates (4th Edition) by Sidney Homer, Richard Sylla


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