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|a An inquiry concerning long-term US interest rates using monthly data
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|a 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.
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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. |
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Working paper / Levy Economics Institute of Bard College ; no. 894 |
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Akram, Tanweer VerfasserIn (DE-588)17125614X (DE-627)061438391 (DE-576)132063271 aut, An inquiry concerning long-term US interest rates using monthly data by Tanweer Akram (Thrivent Financial), Huiqing Li (Central University of Finance and Economics), Annandale-on-Hudson, NY Levy Economics Institute August 2017, 1 Online-Ressource (circa 58 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper / Levy Economics Institute of Bard College no. 894, 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., Arbeitspapier DE-206, Online-Publikation DE-206, Li, Huiqing VerfasserIn (DE-588)1143982444 (DE-627)1003544096 (DE-576)495231894 aut, Jerome Levy Economics Institute Working papers no. 894 89400 (DE-627)493205640 (DE-576)281280800 (DE-600)2195074-X, http://hdl.handle.net/10419/173503 Resolving-System kostenfrei Volltext, http://www.levyinstitute.org/publications/?docid=2538 Verlag kostenfrei Volltext, http://www.levyinstitute.org/publications/?docid=2538 LFER, LFER 2019-05-07T00:00:00Z |
| spellingShingle |
Akram, Tanweer, Li, Huiqing, An inquiry concerning long-term US interest rates using monthly data, Jerome Levy Economics Institute, Working papers, no. 894, 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., Arbeitspapier, Online-Publikation |
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9896838607 |
| title |
An inquiry concerning long-term US interest rates using monthly data |
| title_auth |
An inquiry concerning long-term US interest rates using monthly data |
| title_full |
An inquiry concerning long-term US interest rates using monthly data by Tanweer Akram (Thrivent Financial), Huiqing Li (Central University of Finance and Economics) |
| title_fullStr |
An inquiry concerning long-term US interest rates using monthly data by Tanweer Akram (Thrivent Financial), Huiqing Li (Central University of Finance and Economics) |
| title_full_unstemmed |
An inquiry concerning long-term US interest rates using monthly data by Tanweer Akram (Thrivent Financial), Huiqing Li (Central University of Finance and Economics) |
| title_in_hierarchy |
no. 894. An inquiry concerning long-term US interest rates using monthly data (August 2017) |
| title_short |
An inquiry concerning long-term US interest rates using monthly data |
| title_sort |
inquiry concerning long term us interest rates using monthly data |
| topic |
Arbeitspapier, Online-Publikation |
| topic_facet |
Arbeitspapier, Online-Publikation |
| url |
http://hdl.handle.net/10419/173503, http://www.levyinstitute.org/publications/?docid=2538 |
