THE STRUCTURE OF INTERNATIONAL INTEREST RATES: THE U.S. TREASURY BILL RATE AND THE EURODOLLAR DEPOSIT RATE

1967 ◽  
Vol 22 (3) ◽  
pp. 455-465 ◽  
Author(s):  
Patric H. Hendershott
Keyword(s):  
Interest Rates ◽  
Treasury Bill ◽  
Deposit Rate ◽  
The U.S

scholarly journals A VAR Analysis Of US-China Economic Linkages

2011 ◽  
Vol 8 (7) ◽  
Author(s):  
Dene T. Hurley
Keyword(s):  
Interest Rates ◽  
Impulse Response ◽  
Significant Role ◽  
Variance Decomposition ◽  
Short Term ◽  
Treasury Bill ◽  
Treasury Securities ◽  
Var Analysis ◽  
The U.S

An increase in Chinese purchases of U.S. treasury securities in parallel with Chinas commitment to maintain the value of the Yuan have been blamed in recent years for the divergence of the U.S. long-term and short-term interest rates. Results of the VECM, variance decomposition and impulse response analyses provided support for the growing speculations that growing Chinese demand for U.S. securities played a significant role in keeping the 10-year Treasury bill rate low while keeping the Yuan weak relative to the U.S. dollar. As for the U.S. long-term and short-term interest rates, the causality was found to run from the 10-year Treasury bill yield to the s rate which helps to explain why rising short-term rate in the U.S. since mid-2004 had little or no impact on the long-term rate.

scholarly journals The value of in-person banking: evidence from U.S. small businesses

2021 ◽  
Author(s):  
Song Zhang ◽  
Liang Han ◽  
Konstantinos Kallias ◽  
Antonios Kallias
Keyword(s):  
Interest Rates ◽  
Interpersonal Communication ◽  
Rural Areas ◽  
Financial Services ◽  
Small Businesses ◽  
Business Owners ◽  
Soft Information ◽  
Face To Face ◽  
Treatment Effect Models ◽  
The U.S

AbstractWe produce the first systematic study of the determinants and implications of in-person banking. Using survey data from the U.S., we show that firms which are informationally opaque or operate in rural areas are liable to contact their primary bank in-person. This tendency extends to older, less educated, and female business owners. We find that a relationship based on face-to-face communication, on average, lasts 17.88 months longer, spans a wider range of financial services, and is more likely to be exclusive. The associated loans mature 3.37 months later and bear interest rates which are 11 basis points lower. For good quality firms, in-person communication also relates to less discouraged borrowing. These results are robust to multiple approaches for endogeneity, including recursive bivariate probits, treatment effect models, and instrumental variables regressions. Overall, our findings offer empirical grounding to soft information theory and a note of caution to banks against suppressing channels of interpersonal communication.

scholarly journals Interest Rates and Foreign Investor Activity in Kenya: Evidence from Nairobi Securities Exchange

2020 ◽  
pp. 75-82
Author(s):  
Loice Koskei
Keyword(s):  
Interest Rates ◽  
Inflation Rate ◽  
Time Series Data ◽  
Multiple Regression Model ◽  
Series Data ◽  
Foreign Investor ◽  
National Bureau ◽  
Treasury Bills ◽  
Monthly Data ◽  
Deposit Rate

Interest rates play a key role in attracting foreign investor activity in the country. This study investigated the effect of interest rates on foreign investor activity at Nairobi Securities Exchange in Kenya. Monthly data was collected from Nairobi Securities Exchange, Central Bank of Kenya and Kenya National Bureau of Statistics. Time series data for eleven year period spanning from January 2009 to December 2019 was used.  The multiple regression model results disclosed that interest rates as measured by lending rate had a positive and statistically significant effect on foreign investor. Inflation rate results had a negatively but statistically significant effect on foreign investor. The results for exchange rate had a negative but statistically insignificant effect on foreign investor activity. The deposit rate results indicated a negative and statistically significant effect on foreign investor activity implying that commercial banks deposit rate has an effect on foreign investor activity. The results for 91-day treasury bills specified a positive and non-statistically insignificant relationship with foreign investor activity pointing that for 91- day treasury bills do not affect the foreign investor activity at Nairobi securities exchange in Kenya.

scholarly journals Causes of The Outbreak of the Eurozone Crises: The Role of the Usa and the European Central Bank Monetary Policy

e-Finanse ◽  
2015 ◽  
Vol 11 (2) ◽  
pp. 47-63
Author(s):  
Natalia Białek
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Interest Rates ◽  
European Central Bank ◽  
Institutional Design ◽  
Global Financial Crisis ◽  
European Central ◽  
Low Interest Rates ◽  
The Usa ◽  
The U.S

Abstract This paper argues that the loose monetary policy of two of the world’s most important financial institutions-the U.S. Federal Reserve Board and the European Central Bank-were ultimately responsible for the outburst of global financial crisis of 2008-09. Unusually low interest rates in 2001- 05 compelled investors to engage in high risk endeavors. It also encouraged some governments to finance excessive domestic consumption with foreign loans. Emerging financial bubbles burst first in mortgage markets in the U.S. and subsequently spread to other countries. The paper also reviews other causes of the crisis as discussed in literature. Some of them relate directly to weaknesses inherent in the institutional design of the European Monetary Union (EMU) while others are unique to members of the EMU. It is rather striking that recommended remedies tend not to take into account the policies of the European Central Bank.

Symmetric and asymmetric adjustment of bank deposit interest rates: empirical evidence from Kenya

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Moses Nzuki Nyangu ◽  
Freshia Wangari Waweru ◽  
Nyankomo Marwa
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Asymmetric Adjustment ◽  
Deposit Rate ◽  
Content Type ◽  
Long Run ◽  
Adjustment Speed ◽  
Short Run ◽  
Pass Through

PurposeThis paper examines the sluggish adjustment of deposit interest rate categories with response to policy rate changes in a developing economy.Design/methodology/approachSymmetric and asymmetric error correction models (ECMs) are employed to test the pass-through effect and adjustment speed of deposit rates when above or below their equilibrium levels.FindingsThe findings reveal an incomplete pass-through effect in both the short run and long run while mixed results of symmetric and asymmetric adjustment speed across the different deposit rate categories are observed. Collusive pricing arrangement behavior is supported by deposit rate categories that adjust more rigidly upwards than downwards, while negative customer reaction behavior is supported by deposit rate categories that adjust more rigidly downwards than upwards.Practical implicationsEven though the findings indicate an aspect of increased responsiveness over the period, the sluggish adjustment of deposit rates imply that monetary policy is still ineffective and not uniform across the different deposit rate categories.Originality/valueTo the best of the authors' knowledge, this is the first study to empirically examine both symmetric and asymmetric adjustment behavior of deposit interest rate categories in Kenya. The findings are key to policy makers as they provide insights on how long it takes to adjust different deposit rate categories to monetary policy decisions. In addition, the behavior of deposit rates partly explains why interest rates capping was imposed in Kenya in 2016.

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals Forecasting Term Structure of Interest Rates in Japan

2019 ◽  
Vol 7 (3) ◽  
pp. 39 ◽  
Author(s):  
Ishii
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Term Structure ◽  
Bond Markets ◽  
Forecast Horizon ◽  
Forecast Performance ◽  
Crisis Period ◽  
Long Period ◽  
The U.S ◽  
Dns Model

In this paper, we examined and compared the forecast performances of the dynamic Nelson–Siegel (DNS), dynamic Nelson–Siegel–Svensson (DNSS), and arbitrage-free Nelson–Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting. In U.S. bond markets, AFNS is shown to be superior to DNS in the U.S. However, for Japanese data, there is no evidence that the AFNS is superior to the DNS model in the long forecast horizon.

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