Liquidity, interest rates and banking / Jeffrey Morrey and Alexander Guyton, editors.

Format:

Book

Contributor:

Morrey, Jeffrey.

Guyton, Alexander.

Series:

Financial institutions and services.

Financial institutions and services series

Language:

English

Subjects (All):

Liquidity (Economics).

Interest rates.

Banks and banking.

Physical Description:

1 online resource (274 p.)

Edition:

1st ed.

Place of Publication:

Hauppauge, N.Y. : Nova Science Publishers, c2009.

Language Note:

English

Summary:

Liquidity refers to the degree to which an asset or security can be bought or sold in the market without affecting the asset's price. This book provides important evidence on the changes in market liquidity following the transition to electronic trading, and highlights quite different evidence from that presented in previous studies. Liquidity is also examined across different types of markets by using execution costs as a proxy for liquidity. The links between the concept of liquidity and the role of payment systems in a globalized financial system is investigated as well. Furthermore, a survey of both the theoretical and empirical literature related to the liquidity effect as well as a survey on the ability of the term spread to predict changes in economic activity is examined. The behaviour of long-term interest rates using time-series models is looked as well. Finally, the financial risk in life annuity and pension annuity as influenced by interest rate movements is discussed.

Contents:

Intro

LIQUIDITY, INTEREST RATESAND BANKING

CONTENTS

PREFACE

RESEARCH AND REVIEW STUDIES

Chapter 1THE LIQUIDITY EFFECT:A SURVEY OF THE LITERATURE

Abstract

1. Introduction

2. Theoretical Papers

3. Empirical Papers

3a. Single Equation Studies

3b. Vector Autoregression Studies

4. A Short History of Federal Reserve Operating Procedures2

The 1959-1966 Period

The 1966-1972 Period

The 1972-1979 Period

The 1979-1982 Period

The 1982-present Period

A note on interest rate volatility

5. Summary

References

Chapter 2THE ABILITY OF THE TERM SPREAD TO PREDICTOUTPUT GROWTH, RECESSIONS, AND INFLATION:A SURVEY

Why Might the Term Spread Predict Economic Activity?

Evidence on the Ability of the Term Spread to Predict OutputGrowth

Is the Term Spread Useful if Other Explanatory Variables Are Included inthe Model?

Stability of the Relationship between the Term Spread and Output Growth

Evidence from Nonlinear Models

Evidence on the Usefulness of the Term Spread for ForecastingRecessions

Is the Term Spread Useful in Predicting Output Gap, Inflation or ForeignYield Curves?

Summary

Chapter 3A LATENT VARIABLE APPROACH TO ESTIMATINGTIME-VARYING SCALE EFFICIENCIES IN USCOMMERCIAL BANKING

2. Modeling under the Kalman-Filter

3. Model Development

3.1. The Empirical Model

3.2. Modifying the Translog Cost Function under the Kalman-Filter

3.3. Estimating Scale Efficiencies

4. Data

5. Empirical Results

6. Summary

Appendix

The Kalman-Filter Methodology

Chapter 4LONG-TERM REAL INTEREST RATES:AN EMPIRICAL ANALYSIS

2. Model

2.1. Theoretical Considerations of the Model

2.2. Data.

2.3. Construction and Explanations of Variables

2.4. Empirical Model

3. Empirical Results

3.1. Budget Deficit and Long-term Rates

3.2. Inflation and the Long-Term Rates

4. Conclusions

Chapter 5INTEREST RATE MOVEMENTS IN THE LIFEINSURANCE FAIR VALUATION CONTEXT

2. The Basic Model within a Deterministic Environment

2.1. Numerical Evidence for the Basic Model

3. The Cash-Flow Model within a Stochastic Environment

3.1. Basic Assumptions for the Fair Valuation

3.2. The Reserve Fair Value Sensitivity: Numerical Applications

Chapter 6FUTURES MARKET LIQUIDITY UNDER FLOORAND ELECTRONIC TRADING

Introduction

Literature Review

Data, Research Methods and Hypotheses

Market Structure and Data

Methods and Hypotheses

Empirical Results

Price Clustering and the Attraction Hypothesis

'Even vs. Odd Digit' Clustering

Volume-Weighted Price Clustering, Mean Trade Sizes and the NegotiationHypothesis

The Distribution of Bid-Ask Spreads

Bid-Ask Spreads, Trade Size and Market Activity

Regression Model of Spreads

Conclusion

Chapter 7AN ANALYSIS OF LIQUIDITY ACROSS MARKETS:EXECUTION COSTS ON THE NYSE VERSUSELECTRONIC MARKETS

2. Data and Sample Selection

2.1. Data

2.2. Sample Selection

3. Univariate Analysis

3.1. Measures of Execution Costs

3.2. Univariate Results

4. Regression and Selection Model Analysis

4.1. Factors Affecting Execution Costs

4.2. OLS Regressions

4.3. Two-Stage Selection Model

4.4. Selection Model Results

5. Difficulty Sub-Sample Analysis

6. What if the NYSE and the Electronic Markets Executed EachOther's Orders?

7. Conclusion

Appendix: Sample Selection and List of Market Centers

References.

Chapter 8PAYMENT SYSTEMS AND LIQUIDITY

2. Payment System Characteristics and Liquidity

2.1. Initial Advances in Payment Systems

2.2. Latest Innovations

3. Literature Review

3.1. Description of Existing Systems

3.2. Payment System Risk and Central Bank Policy

3.3. Comparisons of Settlement Systems

3.4. Financial Crisis and Contagion

4. Conclusion

Chapter 9OPTIMAL PLANNING, SCHEDULING AND BUDGETINGWITH ENTERPRISE-WIDE INTEGRATIONPRESERVING LIQUIDITY

2. Problem Statement

3. Order Management with a Bicriteria Performance Measure

4. Scales of Logics to Balance Management in CFM

5. Tactical Level Perspectives as Real Time InformingFramework

6. Gap to Overcome by PSE and CAPE Communities

6.1. Results of Integrating SCM Model in Multi-site Chemical Plant

6.2. Integrated Modeling Results to Optimally Design Supply Chains

7. Conclusions

Chapter 10LIQUIDITY, FUTURES PRICE DYNAMICS,AND RISK MANAGEMENT

2. The Model

3. Benchmark Case with no Liquidity Constraints

4. The Case of Infinite Capital Endowments

5. The Case of Finite Capital Endowments

6. Numerical Examples

Appendix A

Appendix B

SHORT COMMUNICATION

SEMIPARAMETRIC ESTIMATION OF THEFRACTIONAL DIFFERENCING PARAMETERIN THE US INTEREST RATE

2. Testing the Order of Integration in Univariate Time Series

3. Testing the Order of Integration in the US Interest Rate

4. Concluding Comments

INDEX

Blank Page.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

1-61728-532-3

OCLC:

666482494