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A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Sahut, Jean-Michel - 2011

Conventional approaches to examining the expectation hypothesis of interest rates assume a parametric linear specification among variables. In contrast, this paper tests the hypothesis using a flexible nonlinear inference approach proposed by Hamilton (2001). We examine the impact of the...

Persistent link: https://www.econbiz.de/10013130485

Why are policy real interest rates so high in Brazil? : an analysis of the determinants of the Central Bank of Brazil's real interest rate

Balliester Reis, Thereza - 2016

This paper discusses the reasons for Brazil.s high policy real interest rates by considering two opposing views, the … level of the policy rate in Brazil. The aim of this study is to assess whether the proposed arguments can be supported when … might be political causes of the high real interest rates in Brazil such as a politically influential rentier class. …

Persistent link: https://www.econbiz.de/10011573453

The overnight interbank market : evidence from the G-7 and the euro zone

Prati, Alessandro (contributor); … - 2001 - [Elektronische Ressource]

This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find...

Persistent link: https://www.econbiz.de/10001630855

The Contribution of Foreign Holdings of U.S. Treasury Securities to the U.S. Long-Term Interest Rate

Zhang, Yixiang; Martínez-García, Enrique - 2020

We find empirical evidence of a possible structural break in the relationship between the foreign holdings of U.S. Treasury securities and the U.S. long-term interest rate occurring at the time when U.S. monetary policy became constrained at the zero-lower bound (ZLB). The estimated marginal...

Persistent link: https://www.econbiz.de/10014102994

Risk Taking and Low Longer-Term Interest Rates : Evidence from the U.S. Syndicated Loan Market

Aramonte, Sirio - 2017

We use supervisory data to investigate risk taking in the U.S. syndicated loan market at a time when longer-term interest rates are exceptionally low, and we study the ex-ante credit risk of loans acquired by different types of lenders, including banks and shadow banks. We find that insurance...

Persistent link: https://www.econbiz.de/10012971007

The Informational Content of SMP Deposit Auctions in Forecasting Short-Term Repurchase Agreement Interest Rates (Dissertation)

Kalevras, Kostas - 2015

This paper analyzes the term deposit sterilizing open market operations conducted by the Eurosystem between May 2010 and June 2014 in the context of the Securities Market Program (SMP). The SMP operations involved outright purchases of government debt securities in the secondary market with a...

Persistent link: https://www.econbiz.de/10013028429

Macroprudential Policies, the Long-Term Interest Rate and the Exchange Rate

Turner, Philip - 2016

The Bernanke-Blinder closed economy model suggests that macroprudential policies aimed at bank lending will affect the domestic long-term interest rate. In an open economy, domestic shocks to long-term rates are likely to influence capital flows and the exchange rate. Currency movements feed...

Persistent link: https://www.econbiz.de/10012980705

Indeterminacy of Ramsey Model Under Heterogeneous Time Preference, Transversality Condition Issues, Theories of Price Level and Uniform Rate of Interest

Kim, Bryce - 2016

This paper presents a simple Ramsey-type model example where two infinitely-living agents have same utility function except for time preference, and shows that equilibrium is indeterminate that is to be interpreted as being non-existent. The issues regarding New Keynesian transversality...

Persistent link: https://www.econbiz.de/10012982564

An Empirical Analysis of the Determinants of Interest Rate Spreads : A Case of Commercial Banks in Zimbabwe

Bonga, Wellington Garikai - 2016

Zimbabwe is one nation that has for many years remained on the top list of economies with high interest rates spread. High interest rates are a signal of financial sector inefficiency. The stability of the financial sector is greatly linked to economic growth and economic stability. The study...

Persistent link: https://www.econbiz.de/10012983952

Chapter 24. Implementation of Monetary Policy : How Do Central Banks Set Interest Rates?

Friedman, Benjamin M.; Kuttner, Kenneth N. - In: Handbook of monetary economics : volume 3, (pp. 1345-1438). 2010

Central banks no longer set the short-term interest rates that they use for monetary policy purposes by manipulating the supply of banking system reserves, as in conventional economics textbooks; this process normally involves little or no variation in the supply of central bank liabilities. In...

Persistent link: https://www.econbiz.de/10014025618