LEADER 07133nam 2200613 a 450 001 9910810398803321 005 20240410172025.0 010 $a1-61728-532-3 035 $a(CKB)2560000000015798 035 $a(EBL)3020725 035 $a(SSID)ssj0000422160 035 $a(PQKBManifestationID)12182698 035 $a(PQKBTitleCode)TC0000422160 035 $a(PQKBWorkID)10415925 035 $a(PQKB)11719740 035 $a(MiAaPQ)EBC3020725 035 $a(Au-PeEL)EBL3020725 035 $a(CaPaEBR)ebr10680863 035 $a(OCoLC)666482494 035 $a(EXLCZ)992560000000015798 100 $a20090316d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aLiquidity, interest rates and banking /$fJeffrey Morrey and Alexander Guyton, editors 205 $a1st ed. 210 $aHauppauge, N.Y. $cNova Science Publishers$dc2009 215 $a1 online resource (274 p.) 225 1 $aFinancial institutions and services series 300 $aDescription based upon print version of record. 311 $a1-60692-775-2 320 $aIncludes bibliographical references and index. 327 $aIntro -- LIQUIDITY, INTEREST RATESAND BANKING -- LIQUIDITY, INTEREST RATESAND BANKING -- CONTENTS -- PREFACE -- RESEARCH AND REVIEW STUDIES -- Chapter 1THE 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 -- The 1959-1966 Period -- The 1966-1972 Period -- The 1972-1979 Period -- The 1979-1982 Period -- The 1982-present Period -- A note on interest rate volatility -- 5. Summary -- References -- Chapter 2THE 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 -- Chapter 3A LATENT VARIABLE APPROACH TO ESTIMATINGTIME-VARYING SCALE EFFICIENCIES IN USCOMMERCIAL BANKING -- Abstract -- 1. Introduction -- 2. Modeling under the Kalman-Filter -- 3. Model Development -- 3.1. 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 -- Chapter 4LONG-TERM REAL INTEREST RATES:AN EMPIRICAL ANALYSIS -- Abstract -- 1. Introduction -- 2. Model -- 2.1. Theoretical Considerations of the Model -- 2.2. Data. 327 $a2.3. 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. Conclusions -- References -- Chapter 5INTEREST RATE MOVEMENTS IN THE LIFEINSURANCE FAIR VALUATION CONTEXT -- Abstract -- 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 -- Chapter 6FUTURES MARKET LIQUIDITY UNDER FLOORAND ELECTRONIC TRADING -- Abstract -- Introduction -- Literature Review -- Data, Research Methods and Hypotheses -- Market 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 -- Chapter 7AN 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 -- 3. Univariate Analysis -- 3.1. Measures of Execution Costs -- 3.2. Univariate Results -- 4. Regression and Selection Model Analysis -- 4.1. Factors Affecting Execution Costs -- 4.2. OLS Regressions -- 4.3. Two-Stage Selection Model -- 4.4. Selection Model Results -- 5. Difficulty Sub-Sample Analysis -- 6. What if the NYSE and the Electronic Markets Executed EachOther's Orders? -- 7. Conclusion -- Appendix: Sample Selection and List of Market Centers -- References. 327 $aChapter 8PAYMENT SYSTEMS AND LIQUIDITY -- Abstract -- 1. Introduction -- 2. Payment System Characteristics and Liquidity -- 2.1. Initial Advances in Payment Systems -- 2.2. Latest Innovations -- 3. Literature Review -- 3.1. Description of Existing Systems -- 3.2. Payment System Risk and Central Bank Policy -- 3.3. Comparisons of Settlement Systems -- 3.4. Financial Crisis and Contagion -- 4. Conclusion -- References -- Chapter 9OPTIMAL PLANNING, SCHEDULING AND BUDGETINGWITH ENTERPRISE-WIDE INTEGRATIONPRESERVING LIQUIDITY -- Abstract -- 1. Introduction -- 2. Problem Statement -- 3. Order Management with a Bicriteria Performance Measure -- 4. Scales of Logics to Balance Management in CFM -- 5. Tactical Level Perspectives as Real Time InformingFramework -- 6. Gap to Overcome by PSE and CAPE Communities -- 6.1. Results of Integrating SCM Model in Multi-site Chemical Plant -- 6.2. Integrated Modeling Results to Optimally Design Supply Chains -- 7. Conclusions -- References -- Chapter 10LIQUIDITY, FUTURES PRICE DYNAMICS,AND RISK MANAGEMENT -- Abstract -- 1. Introduction -- 2. The Model -- 3. Benchmark Case with no Liquidity Constraints -- 4. The Case of Infinite Capital Endowments -- 5. The Case of Finite Capital Endowments -- 6. Numerical Examples -- 7. Conclusion -- Appendix A -- Appendix B -- References -- SHORT COMMUNICATION -- SEMIPARAMETRIC ESTIMATION OF THEFRACTIONAL DIFFERENCING PARAMETERIN THE US INTEREST RATE -- Abstract -- 1. Introduction -- 2. Testing the Order of Integration in Univariate Time Series -- 3. Testing the Order of Integration in the US Interest Rate -- 4. Concluding Comments -- References -- INDEX -- Blank Page. 410 0$aFinancial institutions and services. 606 $aLiquidity (Economics) 606 $aInterest rates 606 $aBanks and banking 615 0$aLiquidity (Economics) 615 0$aInterest rates. 615 0$aBanks and banking. 676 $a332 701 $aMorrey$b Jeffrey$0510238 701 $aGuyton$b Alexander$01627258 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910810398803321 996 $aLiquidity, interest rates and banking$93963765 997 $aUNINA