TY  - BOOK
AU  - Morrey,Jeffrey
AU  - Guyton,Alexander
TI  - Liquidity, interest rates and banking
T2  - Financial Institutions and Services
SN  - 9781617285325
AV  - HG178 
U1  - 332 22
PY  - 2009///]
CY  - New York
PB  - Nova Science Publishers, Inc.
KW  - Liquidity (Economics)
KW  - Interest rates
KW  - Banks and banking
KW  - Liquidité (Économie politique)
KW  - Taux d'intérêt
KW  - BUSINESS & ECONOMICS
KW  - Finance
KW  - bisacsh
KW  - fast
KW  - Electronic books
N1  - Includes bibliographical references and index; LIQUIDITY, INTEREST RATESAND BANKING; CONTENTS; PREFACE; RESEARCH AND REVIEW STUDIES; THE LIQUIDITY EFFECT:A SURVEY OF THE LITERATURE; Abstract; 1. Introduction; 2. Theoretical Papers; 3. Empirical Papers; 3a. Single Equation Studies; 3b. Vector Autoregression Studies; 4. A Short History of Federal Reserve Operating Procedures2; 5. Summary; References; THE ABILITY OF THE TERM SPREAD TO PREDICTOUTPUT GROWTH, RECESSIONS, AND INFLATION:A SURVEY; Abstract; Why Might the Term Spread Predict Economic Activity?; Evidence on the Ability of the Term Spread to Predict OutputGrowth; Is the Term Spread Useful if Other Explanatory Variables Are Included inthe Model?Stability of the Relationship between the Term Spread and Output Growth; Evidence from Nonlinear Models; Evidence on the Usefulness of the Term Spread for ForecastingRecessions; Is the Term Spread Useful in Predicting Output Gap, Inflation or ForeignYield Curves?; Summary; References; A LATENT VARIABLE APPROACH TO ESTIMATINGTIME-VARYING SCALE EFFICIENCIES IN USCOMMERCIAL BANKING; Abstract; Journal of Economic Literature Classification:; Key Words:; 1. Introduction; 2. Modeling under the Kalman-Filter; 3. Model Development3.1. The Empirical Model; 3.2. Modifying the Translog Cost Function under the Kalman-Filter; 3.3. Estimating Scale Efficiencies; 4. Data; 5. Empirical Results; 6. Summary; Appendix; The Kalman-Filter Methodology; References; LONG-TERM REAL INTEREST RATES:AN EMPIRICAL ANALYSIS; Abstract; Key phrases:; JEL codes:; 1. Introduction; 2. Model; 2.1. Theoretical Considerations of the Model; 2.2. Data; 2.3. Construction and Explanations of Variables; 2.4. Empirical Model; 3. Empirical Results; 3.1. Budget Deficit and Long-term Rates; 3.2. Inflation and the Long-Term Rates; 4. ConclusionsReferences; INTEREST RATE MOVEMENTS IN THE LIFEINSURANCE FAIR VALUATION CONTEXT ; Abstract; Key words and phrases:; JEL classification: G22, G28, G13; 1. Introduction; 2. The Basic Model within a Deterministic Environment; 2.1. Numerical Evidence for the Basic Model; 3. The Cash-Flow Model within a Stochastic Environment; 3.1. Basic Assumptions for the Fair Valuation; 3.2. The Reserve Fair Value Sensitivity: Numerical Applications; References; FUTURES MARKET LIQUIDITY UNDER FLOORAND ELECTRONIC TRADING; Abstract; Introduction; Literature Review; Data, Research Methods and HypothesesMarket Structure and Data; Methods and Hypotheses; Empirical Results; Price Clustering and the Attraction Hypothesis; 'Even vs. Odd Digit' Clustering; Volume-Weighted Price Clustering, Mean Trade Sizes and the NegotiationHypothesis; The Distribution of Bid-Ask Spreads; Bid-Ask Spreads, Trade Size and Market Activity; Regression Model of Spreads; Conclusion; References; AN ANALYSIS OF LIQUIDITY ACROSS MARKETS:EXECUTION COSTS ON THE NYSE VERSUSELECTRONIC MARKETS; Abstract; 1. Introduction; 2. Data and Sample Selection; 2.1. Data; 2.2. Sample Selection
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