scholarly journals The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro-Monetary Economics Literature: A Survey

2018 ◽  
Vol 5 (2) ◽  
pp. 125 ◽  
Author(s):  
Muthucattu Thomas Paul
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Futures Markets ◽  
Relevant Literature ◽  
Aggregate Demand ◽  
Monetary Economics ◽  
Short Term ◽  
Expected Return ◽  
The Cost

Volatility of returns of the financial assets, and the volatility of the inflation and aggregate demand, are important issues in the Financial markets, and the macro- monetary economics. In this article, the volatility in the stock and bond markets are surveyed and discussed in detail. Our view is that the higher volatility in the long-term rates than in the short-term rates, may be due to the higher leverage effect in the long-term markets and rates than in the short -term rates. In the previous century, last fifty years, the average stock returns were much higher and the expected return or the cost of capital was lower. The conditional volatility models and the volatility spill over between the spot and futures markets and their implications are deeply explored in this article along with the price discovery between spot and futures markets and the conditions for the efficiency in these markets. In our section dealing with Macro- monetary economics, the effect of the variability of inflation on the demand for money function, on the nominal rates of interest, and on the slope of the aggregate supply curve, are brought into sharp focus and is being discussed through the relevant literature survey.

scholarly journals Social Security Investment in Equities

2003 ◽  
Vol 93 (4) ◽  
pp. 1047-1074 ◽  
Author(s):  
Peter Diamond ◽  
John Geanakoplos
Keyword(s):  
Social Security ◽  
Interest Rates ◽  
Equity Premium ◽  
Short Term ◽  
Expected Return ◽  
Risky Investment ◽  
Asset Values ◽  
Aggregate Investment ◽  
Short Term Investment

This paper explores the general-equilibrium impact of social security portfolio diversification into private securities, either through the trust fund or private accounts. The analysis depends critically on heterogeneities in saving, production, assets, and taxes. Limited diversification weakly increases interest rates, reduces the expected return on short-term investment (and the equity premium), decreases safe investment, increases risky investment, and increases a suitably weighted social welfare function. However, the effects on aggregate investment, long-term capital values, and the utility of young savers hinges on assumptions about technology. Aggregate investment and long-term asset values can move in opposite directions.

scholarly journals The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

2016 ◽  
Vol 11 (1) ◽  
pp. 124-139 ◽  
Author(s):  
Verma Priti
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Returns ◽  
Short Term ◽  
Volatility Spillovers ◽  
Hedging Strategies ◽  
Bank Stock ◽  
The Impact ◽  
Bank Portfolios

AbstractThis paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991) Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model. Results indicate mean and volatility spillovers from short-term interest rates and exchange rates and long-term interest rates and exchange rates to three bank portfolios. Results also show response asymmetries from short-term interest rates and exchange rates and long-term interest rates and exchange rates to all the three bank portfolios. These findings have important implications for bankers in terms of devising different hedging strategies against interest rates and exchange rate risks.

scholarly journals Stock And Bond Price Dynamics-Evidence From An Emerging Economy

2011 ◽  
Vol 10 (9) ◽  
pp. 93
Author(s):  
M. Venkateshwarlu ◽  
T. Ramesh Babu
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Term Structure ◽  
Stock Prices ◽  
Empirical Studies ◽  
Bond Markets ◽  
Bond Price ◽  
Short Term ◽  
Bond Prices

The motivation for this study is that real stock prices are observed to overreact to changes in interest rates. The real stock prices drop when long-term interest rates rise. It has been observed that bonds and stock prices are typically studied in isolation. The present paper attempts to analyze the dynamic linkages between stock and bond prices in India. One of the important contributions of this study is that in India, very little/almost no work has been done to understand the dynamics of the stock and bond prices after the recent recession. The present study examined the bivariate causal relationship between stock prices and bond prices. In the long term; i.e., periods from 2004 to 2007 and 2008 to 2009, there is no causality from stock market to bond market and vice versa. However, it is found that the bond and stock prices had a bivariate causality in the year 2009 and univariate causality in 2010. The results are interesting and support the view that excess volatility causes granger between the stock and bond markets. This can be inferred as a result of recession investors moving to bond markets and after the signs of recovery the investors might be returning to the stock markets. It is also evident that short-term interest rates have power to forecast short-term stock returns and risk premiums on observation of co-movement between stock and bond prices. This is reiterated by many empirical studies that have shown that the term structure of nominal interest rates contains information potentially useful for the conduct of monetary policy.

scholarly journals IMPACT OF INTEREST RATE, INFLATION AND GROSS DOMESTIC PRODUCT TO DEMAND FOR PROPERTY CREDIT IN INDONESIA

2021 ◽  
Vol 6 (2) ◽  
pp. 308
Author(s):  
Ivan Pradana Putra ◽  
Wasiaturrahma Wasiaturrahma
Keyword(s):  
Interest Rate ◽  
Gross Domestic Product ◽  
Interest Rates ◽  
Aggregate Demand ◽  
Domestic Product ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Demand Growth ◽  
The Interest Rate

An increase in credit, especially consumption credit, can trigger aggregate demand growth above potential output which causes the economy to heat up. This study aims to analyze the effect of macroeconomic variables, such as interest rates, inflation, and gross domestic product (GDP), on the demand for property credit in Indonesia with the period January 2011 – December 2018. The results show that in the short term, the interest rate lag 1 and lag 2, inflation lag 1, and GDP significantly influence the demand for peoperty credit. While, in the long term, only the interest rates and GDP significantly influence to the demand for property credit.Keywords: Property Credit, Interest Rates, Inflation, GDP, ARDL JEL: C22, E51, G21 

scholarly journals Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 620
Author(s):  
Ioannis Kyriakou ◽  
Parastoo Mousavi ◽  
Jens Perch Nielsen ◽  
Michael Scholz
Keyword(s):  
Stock Returns ◽  
Simultaneous Optimization ◽  
Investment Risk ◽  
Short Term ◽  
Fundamental Interest ◽  
Long Term Stability ◽  
Risk Appetite ◽  
Short And Long Term ◽  
Excess Stock Returns

The fundamental interest of investors in econometric modeling for excess stock returns usually focuses either on short- or long-term predictions to individually reduce the investment risk. In this paper, we present a new and simple model that contemporaneously accounts for short- and long-term predictions. By combining the different horizons, we exploit the lower long-term variance to further reduce the short-term variance, which is susceptible to speculative exuberance. As a consequence, the long-term pension-saver avoids an over-conservative portfolio with implied potential upside reductions given their optimal risk appetite. Different combinations of short and long horizons as well as definitions of excess returns, for example, concerning the traditional short-term interest rate but also the inflation, are easily accommodated in our model.

scholarly journals Methods to Prevent Future Severe Animal Welfare Problems Caused by COVID-19 in the Pork Industry

Animals ◽  
2021 ◽  
Vol 11 (3) ◽  
pp. 830
Author(s):  
Temple Grandin
Keyword(s):  
Animal Welfare ◽  
Detrimental Effect ◽  
Third Party ◽  
Electrical Parameters ◽  
Short Term ◽  
Pork Industry ◽  
Third Party Auditing ◽  
The Cost ◽  
High Welfare

In the U.S., the most severe animal welfare problems caused by COViD-19 were in the pork industry. Thousands of pigs had to be destroyed on the farm due to reduced slaughter capacity caused by ill workers. In the future, both short-term and long-term remedies will be needed. In the short-term, a portable electrocution unit that uses scientifically validated electrical parameters for inducing instantaneous unconsciousness, would be preferable to some of the poor killing methods. A second alternative would be converting the slaughter houses to carcass production. This would require fewer people to process the same number of pigs. The pandemic revealed the fragility of large centralized supply chains. A more distributed supply chain with smaller abattoirs would be more robust and less prone to disruption, but the cost of pork would be greater. Small abattoirs can coexist with large slaughter facilities if they process pigs for specialized premium markets such as high welfare pork. The pandemic also had a detrimental effect on animal welfare inspection and third party auditing programs run by large meat buyers. Most in-person audits in the slaughter plants were cancelled and audits were done by video. Video audits should never completely replace in-person audits.

scholarly journals CANDIDE et la monnaie

2009 ◽  
Vol 52 (1) ◽  
pp. 75-103
Author(s):  
Jean-Pierre Aubry ◽  
Pierre Duguay
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Structural Equations ◽  
Reduced Form ◽  
Real Sector ◽  
Short Term ◽  
The Real ◽  
Structure Equations

Abstract In this paper we deal with the financial sector of CANDIDE 1.1. We are concerned with the determination of the short-term interest rate, the term structure equations, and the channels through which monetary policy influences the real sector. The short-term rate is determined by a straightforward application of Keynesian liquidity preference theory. A serious problem arises from the directly estimated reduced form equation, which implies that the demand for high powered money, but not the demand for actual deposits, is a stable function of income and interest rates. The structural equations imply the opposite. In the term structure equations, allowance is made for the smaller variance of the long-term rates, but insufficient explanation is given for their sharper upward trend. This leads to an overstatement of the significance of the U.S. long-term rate that must perform the explanatory role. Moreover a strong structural hierarchy, by which the long Canada rate wags the industrial rate, is imposed without prior testing. In CANDIDE two channels of monetary influence are recognized: the costs of capital and the availability of credit. They affect the business fixed investment and housing sectors. The potential of the personal consumption sector is not recognized, the wealth and real balance effects are bypassed, the credit availability proxy is incorrect, the interest rate used in the real sector is nominal rather than real, and the specification of the housing sector is dubious.

scholarly journals Asymmetric Reactions of China’s Stock Market to Short-Term Interest Rates

2016 ◽  
Vol 8 (5) ◽  
pp. 260 ◽  
Author(s):  
Fang Fang ◽  
Weijia Dong ◽  
Xin Lv
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Regime Switching ◽  
Developed Countries ◽  
Short Term ◽  
Bear Market ◽  
Bull Market ◽  
Negative Effect ◽  
Markov Regime Switching Model

This paper investigates how China’s stock market reacts to short-term interest rates, as represented by the Shanghai Interbank Offered Rate (Shibor). We adopt the Markov Regime Switching model to divide China’s stock market into Medium, Bull and Bear market; and then examine how Shibor influences market returns and risk in different market regimes. We find that short-term interest rates have a significant negative effect on stock returns in Medium and Bull market, but could not affect stock returns in Bear market. In addition, different maturities of Shibor have different effects on stock returns. Furthermore, we find that the short-term interest rates have a negative effect on market risk in Bull market, but a positive effect in Bear market. Our findings show that China’s market is quite peculiar and distinctive from the U.S. market or other developed countries’ markets in many ways.

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