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9781606927755

Liquidity, Interest Rates and Banking

by ;
  • ISBN13:

    9781606927755

  • ISBN10:

    1606927752

  • Format: Hardcover
  • Copyright: 2009-09-28
  • Publisher: Nova Science Pub Inc
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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 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.

Table of Contents

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
Table of Contents provided by Publisher. All Rights Reserved.

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