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Poddar, Tushar - 2006

This paper seeks to understand how interest rates are formed in Lebanon, by focusing on the pass-through from benchmark … dollarization. We find that international interest rates are an important element in the determination of interest rates in Lebanon … investor base. The study also shows that interest rates in Lebanon are affected by liquidity conditions as well as perceived …

Persistent link: https://www.econbiz.de/10014400410

The scarcity effect of quantitative easing on repo rates : evidence from the euro area

Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; … - 2018

Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...

Persistent link: https://www.econbiz.de/10011978433

Covered interest parity deviations : macrofinancial determinants

Cerutti, Eugenio M.; Obstfeld, Maurice; Zhou, Haonan - 2019

For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely-even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential...

Persistent link: https://www.econbiz.de/10012001567

Monetary and fiscal policies and the dynamics of the yield curve in Morocco

Ahokpossi, Calixte; Garcia Martinez, Pilar; Kemoe, Laurent - 2016

We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macroeconomic variables and the yield curve, which is of direct relevance to...

Persistent link: https://www.econbiz.de/10011711388

Relationship between short-term interest rates and excess reserves : a logistic approach

Veyrune, Romain; Della Valle, Guido; Guo, Shaoyu - 2018

This paper models the relationship between short-term rates and excess reserves in an interest rate corridor as a logistic function estimated for the Eurosystem. The estimate helps to identify conditions in which short-term rates become unanchored, that is, they move away from the policy rates...

Persistent link: https://www.econbiz.de/10011848247

Banking in a steady state of low growth and interest rates

Chen, Qianying; Katagiri, Mitsuru; Surti, Jay - 2018

A prolonged low-interest-rate environment presents a significant challenge to banks and is likely to entail major changes to their business models over the long-run. Lower returns to maturity transformation in the face of flatter yield curves and an inability to offer deposit rates significantly...

Persistent link: https://www.econbiz.de/10011905919

Perspectiveson Low Global Interest Rates

Catão, Luis - 2006

This paper looks at the dramatic decline in global real interest rates in recent years from a historical perspective and examines the various factors that may account for this trend. We show that current levels of real interest rates on long-term bonds in advanced economies are not low by...

Persistent link: https://www.econbiz.de/10014400518

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Knot, Klaas - 1999

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead...

Persistent link: https://www.econbiz.de/10014400703

Emerging Market Spreads : Then Versus Now

Yafeh, Yishay - 2000

This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870–1913, a previous “golden era” for international capital market integration. Applying several empirical...

Persistent link: https://www.econbiz.de/10014403800

Interest Rate Liberalization : Some Lessons From Africa

Turtelboom, Bart - 1991

This paper undertakes a survey of theoretical considerations and an analysis of the experience of five African countries with interest rate liberalization. Despite substantial progress in monetary policy reforms, liberalization has only partially affected the level and variability of interest...

Persistent link: https://www.econbiz.de/10014395864

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