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Some empirical models of Japanese government bond yields using daily data

Akram, Tanweer; Li, Huiqing - 2020

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...

Persistent link: https://www.econbiz.de/10012249738

The empirics of Canadian government securities yields

Akram, Tanweer; Das, Anupam - 2020

Keynes argued that the short-term interest rate is the main driver of the long-term interest rate. This paper empirically models the relationship between short-term interest rates and long-term government securities yields in Canada, after controlling for other important financial variables. The...

Persistent link: https://www.econbiz.de/10012149851

The empirics of long-term Mexican government bond yields

Akram, Tanweer; Uddin, Syed Helal - 2021

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that...

Persistent link: https://www.econbiz.de/10012432230

Monetary policy and long-term interest rates

Amisano, Gianni; Tristani, Oreste - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 689-716

We study the relationship between monetary policy and long‐term rates in a structural, general equilibrium model estimated on both macro‐ and yield‐data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks," are a crucial driver...

Persistent link: https://www.econbiz.de/10014308589

The Dynamics of Bank Loans Short-Term Interest Rates in the Euro Area : What Lessons Can We Draw from the Current Crisis?

Avouyi-Dovi, Sanvi - 2014

We analyze the dynamics of the bank interest rates on the new short-term loans granted to non-financial corporations in … rates in the empirical financial literature, we find that bank interest rates do not display evidence of mean reversion, and … that the variance increases with the level of the bank rates only for a few countries. Moreover, we notice that the …

Persistent link: https://www.econbiz.de/10013061518

The Impact of Unconventional Monetary Policies on Retail Lending and Deposit Rates in the Euro Area

Hofmann, Boris - 2020

This paper investigates the overall effect of the European Central Bank's (ECB's) unconventional monetary policies … (UMPs) implemented since 2008 on euro area bank retail lending and deposit rates offered to households and non …-financial corporations. To do so, we use an analytical approach that combines the estimation of the cumulative effects of UMP on key money …

Persistent link: https://www.econbiz.de/10012837534

Negative interest rates, excess liquidity and retail deposits : banks' reaction to unconventional monetary policy in the euro area

Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2019

deposits tends to be floored at zero, which limits the typical transmission of policy rate cuts to bank funding costs. We … risk taking by banks under NIRP and contrasts results that associate NIRP with a contraction in bank loans. Broader … holdings for the effectiveness of NIRP, pointing to a strong complementarity of NIRP with central bank liquidity injections, e …

Persistent link: https://www.econbiz.de/10012098146

Monetary normalizations and consumer credit : evidence from Fed liftoff and online lending

Bertsch, Christoph; Hull, Isaiah; Zhang, Xin - 2016 - Revised May 2017

unique panel dataset of 640,000 loan-hour observations to measure the impact of liftoff on interest rates, demand, and supply …

Persistent link: https://www.econbiz.de/10011901382

Interest rate pass-through : a nonlinear vector error-correction approach

Popiel, Michal Ksawery - 2015

, this model permits estimation of long-run pass-through coefficients while simultaneously accounting for asymmetric …

Persistent link: https://www.econbiz.de/10011392140

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...

Persistent link: https://www.econbiz.de/10012320523