Similar Search Results

Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco

Ahokpossi, Calixte - 2016

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

Persistent link: https://www.econbiz.de/10012977868

The ABCD of Interest Rate Basis Spreads

Ametrano, Ferdinando M. - 2016

We show that forward rates can be modeled as ABCD parametric tenor basis spreads over the underlying overnight rate curve. This is possible for both continuously and simply compounded forward rates, with a simple approximation for converting between the corresponding basis. Increasing...

Persistent link: https://www.econbiz.de/10013002868

The Interest-Rate Sensitivity of the Demand for Sovereign Debt. Evidence from OECD Countries (1995-2011)

Grande, Giuseppe - 2015

Public debt levels in advanced economies have increased dramatically over recent years and they could put considerable upward pressure on market yields. Using a novel identification approach based on financial accounts and focusing on panel regressions for 18 advanced economies over the period...

Persistent link: https://www.econbiz.de/10013027903

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

Do Fixed-Rate Purchase Operations by the Bank of Japan Control the Yield Curve? Evidence from High-Frequency Data

Hattori, Takahiro - 2018

This is the first study known to analyze fixed-rate purchase operations by the Bank of Japan (BOJ), as conducted under the policy of Quantitative and Qualitative Easing (QQE) with Yield Curve Control (YCC). On February 3, 2017, the BOJ conducted the first unlimited purchase of 10-year Japanese...

Persistent link: https://www.econbiz.de/10012932993

Recent Innovation in Benchmark Rates (BMR) : Evidence from Influential Factors on Turkish Lira Overnight Reference Interest Rate with Machine Learning Algorithms

Depren, Özer; Kartal, Mustafa Tevfik; Depren, Serpil Kilic - 2021

Some countries have announced national benchmark rates while some others have been working on the recent trend in which the London Interbank Offered Rate (LIBOR) will be retired at the end of 2021. Considering that Turkey announced the Turkish Lira Overnight Reference Interest Rate (TLREF), this...

Persistent link: https://www.econbiz.de/10013222687

A GARCH approach to modeling Chilean long-term swap yields

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2022

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as...

Persistent link: https://www.econbiz.de/10013254272

Real and Nominal Equilibrium Yield Curves : Wage Rigidities and Permanent Shocks

Hsu, Alex - 2016

The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model ….S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …

Persistent link: https://www.econbiz.de/10013210388

Monetary Policy Surprises and their Transmission Through Term Premia and Expected Interest Rates

Kaminska, Iryna; Mumtaz, Haroon; Sustek, Roman - 2021

Monetary policy moves the yield curve. How much is due to expected interest rates versus term premia? And what are the macroeconomic consequences? Applying an affine term structure model to high-frequency yield curve movements around FOMC announcements, we shed new light on these questions....

Persistent link: https://www.econbiz.de/10013243014

Term premium dynamics and its determinants: the Mexican case

Aguilar-Argaez, Ana; Diego-Fernández, María; … - 2020

risk (as a proxy of inflationary risk premium), the real compensation, and the U.S. term premium. …

Persistent link: https://www.econbiz.de/10012391034