INTEREST RATE MOVEMENTS AND THE 6/50 RULE - CROATIAN EXAMPLE (CROSBI ID 625190)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Dedi, Lidija ; Orsag, Silvije ; Mihalina, Emil
engleski
INTEREST RATE MOVEMENTS AND THE 6/50 RULE - CROATIAN EXAMPLE
According to the Crestmont Research, in the past 40 years, there has not been a 6-month period during which interest rates did not change at least 50 basis points in the USA. This valuable empirical evidence about interest rates volatility we tested in Croatia. The research shows that in 98.2% of successive 6-month period the move of Zagreb Money Market weighted interest rate was more than 50 basis points, in 93.3% of the successive 6-month periods between two auction T- bill realized yields have changed more than 50 basis points at some point across the yield curve and if we observe Zagreb Inter Bank Offer Rate the importance of the 6/50 rule is even bigger if the time line is shorter.
6/50 Rule; empirical evidence about interest rates volatility
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Podaci o prilogu
/-/.
2012.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 41st Annual Meeting of the Western Decision Sciences Institute
Yen David C
Western Decision Sciences Institute
1098-2248
Podaci o skupu
41st Annual Meeting of the Western Decision Sciences Institute
predavanje
03.04.2012-06.04.2012
Waikoloa (HI), Sjedinjene Američke Države