Liquidity, interest rates and banking

著者

    • Morrey, Jeffrey
    • Guyton, Alexander

書誌事項

Liquidity, interest rates and banking

Jeffrey Morrey and Alexander Guyton, editors

（Financial institutions and services）

Nova Science Publishers, c2009

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

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 globalised 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.

目次

  • Preface
  • The Liquidity Effect: A Survey of the Literature
  • The Ability of the Term Spread to Predict Output Growth, Recessions, and Inflation: A Survery
  • A Latent Variable Approach to Estimating Time-Varying Scale Efficiencies in US Commercial Banking
  • Long-Term Real Interest Rates: An Empirical Analysis
  • Interest Rate Movements In The Life Insurance Fair Valuation Context
  • Futures Market Liquidity under Floor and Electronic Trading
  • An Analysis of Liquidity across Markets: Execution Costs on the NYSE Versus Electronic Markets
  • Payment Systems and Liquidity
  • Optimal Planning, Scheduling and Budgeting with Enterprise-Wide Integration Preserving Liquidity
  • Liquidity, Futures Price Dynamics, and Risk Management
  • Semiparametric Estimation of The Fractional Differencing Parameter In The US Interest Rate
  • Index.

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