Add to ORKGCox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semimartingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under equilibrium and show the general form of spot rate dynamics induced from our equilibrium model
The strong response of long-term interest rates to macroeconomic shocks has typically been explained...
The prevailing models of liquidity traps suggest that a deflationary trap is a stable steady state i...
Economic research into the causes of business cycles in small open economies is almost always undert...
Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium ...
Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium ...
Abstract In finance, the Cox-Ingersoll-Ross model (or CIR model) explains the evolution of interest ...
Constant interest rate (CIR) projections are often criticized on the grounds that they are inconsist...
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our star...
The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of ...
The results of the study presented in this paper demonstrate that a structural model of the natural ...
Several papers have recently adopted the segmented markets model as a framework for monetary analysi...
The paper provides conditions on the primitives of a continuous-time economy under which there exist...
The first part of the paper deals with the effects of an exogenous variation in the monetary interes...
The sample path equilibrium model (Feldman (2002)) under incomplete infor-mation economy sets up a f...
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our star...
The strong response of long-term interest rates to macroeconomic shocks has typically been explained...
The prevailing models of liquidity traps suggest that a deflationary trap is a stable steady state i...
Economic research into the causes of business cycles in small open economies is almost always undert...
Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium ...
Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium ...
Abstract In finance, the Cox-Ingersoll-Ross model (or CIR model) explains the evolution of interest ...
Constant interest rate (CIR) projections are often criticized on the grounds that they are inconsist...
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our star...
The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of ...
The results of the study presented in this paper demonstrate that a structural model of the natural ...
Several papers have recently adopted the segmented markets model as a framework for monetary analysi...
The paper provides conditions on the primitives of a continuous-time economy under which there exist...
The first part of the paper deals with the effects of an exogenous variation in the monetary interes...
The sample path equilibrium model (Feldman (2002)) under incomplete infor-mation economy sets up a f...
In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our star...
The strong response of long-term interest rates to macroeconomic shocks has typically been explained...
The prevailing models of liquidity traps suggest that a deflationary trap is a stable steady state i...
Economic research into the causes of business cycles in small open economies is almost always undert...