Eintrag weiter verarbeiten
An inquiry concerning long-term US interest rates using monthly data
Gespeichert in:
| Personen und Körperschaften: | , |
|---|---|
| Titel: | An inquiry concerning long-term US interest rates using monthly data/ by Tanweer Akram (Thrivent Financial), Huiqing Li (Central University of Finance and Economics) |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Annandale-on-Hudson, NY
Levy Economics Institute
August 2017
|
| Gesamtaufnahme: |
Jerome Levy Economics Institute: Working papers ; no. 894
|
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | This paper undertakes an empirical inquiry concerning the determinants of long-term interest rates on US Treasury securities. It applies the bounds testing procedure to cointegration and error correction models within the autoregressive distributive lag (ARDL) framework, using monthly data and estimating a wide range of Keynesian models of long-term interest rates. While previous studies have mainly relied on quarterly data, the use of monthly data substantially expands the number of observations. This in turn enables the calibration of a wide range of models to test various hypotheses. The short-term interest rate is the key determinant of the long-term interest rate, while the rate of core inflation and the pace of economic activity also influence the long-term interest rate. A rise in the ratio of the federal fiscal balance (government net lending/borrowing as a share of nominal GDP) lowers yields on long-term US Treasury securities. The short- and long-run effects of short-term interest rates, the rate of inflation, the pace of economic activity, and the fiscal balance ratio on long-term interest rates on US Treasury securities are estimated. The findings reinforce Keynes’s prescient insights on the determinants of government bond yields. |
|---|---|
| Umfang: | 1 Online-Ressource (circa 58 Seiten); Illustrationen |