کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5067746 1372633 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Overnight borrowing, interest rates and extreme value theory
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Overnight borrowing, interest rates and extreme value theory
چکیده انگلیسی

We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values of the interest rate distribution. We also provide predictions of extreme overnight borrowing rates using pre-crisis data. The examination of tails (extreme values) provides answers to such issues as to what are the extreme movements to be expected in financial markets; is there a possibility for even larger movements and, are there theoretical processes that can model the type of fat-tails in the observed data? The answers to such questions are essential for proper management of financial exposures and laying ground for regulations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 50, Issue 3, April 2006, Pages 547-563
نویسندگان
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