The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

This policy brief investigates Sierra Leone's interest rate volatility, a recurring concern due to its economic instability. Using the ARDL model and bolstered by the stability exhibited in CUSUM and CUSUM square tests, we explore the impact of deposit and lending interest rates on money demand....

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with...

This paper examines the contemporaneous and inter-temporal interaction between real exchange rate and real interest rate differential in the two financial crises of 1997 and 2008 by using data from thirteen countries from different world regions. The empirical result shows that negative...

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate negotiated on the Italian interbank deposits market (e-MID) using high-frequency transaction data. We find that the largest increases in volatility and the most notable variations...

The objective of the study is to examine impact of total, internal and external government debt on nominal interest rate in Pakistan. To attain these objectives, the study used annual time series data from 1973 to 2016. The study used loanable fund theory as theoretical model and ARDL bound...

This paper examines the effect of the BI rate announcements on financial markets in Indonesia. The estimation results show that interbank interest rates with overnight, 1-week, and 1-month maturity are significantly lower a day before the announcement of lower BI-rate. On the other hand, the...

The paper seeks to characterise the monetary policy decision making process for Sri Lanka using standard Taylor-type monetary policy rules. Alternative monetary policy reaction functions are estimated for Sri Lanka over the period 1996Q1 to 2013Q2. An open economy reaction function is used in...