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The dynamics of monthly changes in US swap yields : a Keynesian perspective
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2022
John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper...
Persistent link: https://www.econbiz.de/10013383200
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Macro risks and the term structure of interest rates
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017
estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …
Persistent link: https://www.econbiz.de/10011709342
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The empirics of long-term US interest rates
Akram, Tanweer; Li, Huiqing - 2016
US government indebtedness and fiscal deficits increased notably following the global financial crisis. Yet long-term interest rates and US Treasury yields have remained remarkably low. Why have long-term interest rates stayed low despite the elevated government indebtedness? What are the...
Persistent link: https://www.econbiz.de/10011453037
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The Empirics of Long-Term US Interest Rates
Akram, Tanweer - 2016
US government indebtedness and fiscal deficits increased notably following the global financial crisis. Yet long-term interest rates and US Treasury yields have remained remarkably low. Why have long-term interest rates stayed low despite the elevated government indebtedness? What are the...
Persistent link: https://www.econbiz.de/10012992932
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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010
over horizons of up to one year. -- Bond Yields ; Expectations Hypothesis ; Time-varying Risk Premia ; Term Premia …Die empirische Literatur zur Zinsstruktur zeigt, dass sich langfristige Zinsen nicht - wie dies die sogenannte …
Persistent link: https://www.econbiz.de/10008660631
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An analysis of the daily changes in US Treasury security yields
Akram, Tanweer; Das, Anupam - 2019
This paper analyzes the dynamics of long-term US Treasury security yields from a Keynesian perspective using daily data. Keynes held that the short-term interest rate is the main driver of the long-term interest rate. In this paper, the daily changes in long-term Treasury security yields are...
Persistent link: https://www.econbiz.de/10012059722
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Do US consumer survey data help beat the random walk in forecasting mortgage rates?
Baghestani, Hamid - In: Cogent economics & finance 5 (2017) 1, pp. 1-11
In line with term structure theory, empirical studies suggest that it is difficult to beat the random walk in …
Persistent link: https://www.econbiz.de/10011881588
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
specifications, while the estimates on risk factors appear more sensitive to the choice of term premium specification. Based on …
Persistent link: https://www.econbiz.de/10011873794
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A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates
Maletic, Matjaz - 2018
To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...
Persistent link: https://www.econbiz.de/10012913804
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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605