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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect is stronger for countries with higher average inflation...
Persistent link: https://www.econbiz.de/10010323031
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10012425650
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Is Switzerland an Interest Rate Island after all? Time Series and Non-Linear Switching Regime Evidence
Feld, Lars P.; Köhler, Ekkehard A. - 2015
Has the “Swiss interest rate anomaly” persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find...
Persistent link: https://www.econbiz.de/10011431156
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Exchange Rate Parities and Taylor Rule Deviations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role … follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated … exchange rate from the PPP- and UIP-implied equilibrium. …
Persistent link: https://www.econbiz.de/10012582024
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Private Debt and GDP: A Short-Run Perspective
Cafiso, Gianluca - 2016
Mainstream economic research regards private debt as a determinant of GDP growth in the longrun. Levine (2005) surveys in details this branch of literature and explains the channels by which debt fuels growth. In this paper we switch the focus from the long to the short-run and study whether...
Persistent link: https://www.econbiz.de/10011584900
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Financial Sector Development in Brunei Darussalam: Depth, Access, and Efficiency: A Comparative Analysis
Bhattacharyay, Biswa Nath; Bhattacharyay, Madhurima - 2022
Financial sector development plays an important role in promoting economic growth and welfare of the citizen of a country. On the other hand, financial sector instability or vulnerability, can adversely affect the economic growth and cause major disruptions in the country. This paper examines...
Persistent link: https://www.econbiz.de/10013427746
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GDP Growth, Private Debt and Monetary Policy
Cafiso, Gianluca - 2017
Economic research has considered Private Debt a determinant of GDP growth for years. By keeping this perspective, the objective of this work is to understand how much of the GDP response to a monetary shock is due to the variation of private debt. This is the marginal contribution of private...
Persistent link: https://www.econbiz.de/10011698667
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Financial Sector Development in Brunei Darussalam : Depth, Access, and Efficiency: A Comparative Analysis
Bhattacharyay, Biswanath; Bhattacharyay, Madhurima - 2022
Financial sector development plays an important role in promoting economic growth and welfare of the citizen of a country. On the other hand, financial sector instability or vulnerability, can adversely affect the economic growth and cause major disruptions in the country. This paper examines...
Persistent link: https://www.econbiz.de/10014244342
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Robust Bond Risk Premia
Bauer, Michael D.; Hamilton, James D. - 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011388198
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Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB's OMT Program
Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - 2014
This paper explores the potential effectiveness of the ECB's Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable...
Persistent link: https://www.econbiz.de/10010333401