AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE

2020 ◽  
Vol 15 (01) ◽  
pp. 2050003
Author(s):  
TANWEER AKRAM ◽  
ANUPAM DAS
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Australian Government ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach ◽  
Main Driver

This paper empirically models the dynamics of Australian government bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian government bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian government bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on government bond yields.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

scholarly journals An empirical analysis of long-term Brazilian interest rates

PLoS ONE ◽  
2021 ◽  
Vol 16 (9) ◽  
pp. e0257313
Author(s):  
Tanweer Akram ◽  
Syed Al-Helal Uddin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Policy Implications ◽  
Government Bond ◽  
Short Term ◽  
Monetary Policies ◽  
Government Bonds ◽  
Macroeconomic Variables ◽  
Brazilian Government

This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data, in the context of the evolution of the key macroeconomic variables in Brazil. The results show that the current short-term interest rate has a decisive influence on the long-term interest rate on BGBs, after controlling for various key macroeconomic variables, such as inflation and industrial production. These findings support John Maynard Keynes’s claim that the central bank’s actions influence the long-term interest rate on government bonds mainly through the current short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.

scholarly journals Autoregressive Distributed Lag Kurs Dan Ekspor Karet Remah Terhadap Pertumbuhan Ekonomi Indonesia

2020 ◽  
Vol 3 (2) ◽  
pp. 47
Author(s):  
Nulhanuddin Nulhanuddin ◽  
Devi Andriyani
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Crumb Rubber ◽  
Short Term ◽  
Insignificant Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach

This study aims to determine the effect of short-term and long-term exchange rates and crumb rubber exports on the economic growth of Indonesia. The data used are secondary data for 39 years from 1980 to 2018 accessed on www.world.bank.wdi.data.bank.org, www.pertanian.go.id, www.bps.go.id, and www.bps.go.id. The data analysis method used is the Autoregressive Distributed Lag (ARDL) approach with the help of EViews 10 software. The results show that the economic growth is stationary at the level and exchange rate and exports of stationary crumb rubber at the first difference level and have cointegration in the long-term relationship. The test results in the short-term analysis of the exchange rate have a positive and significant effect, and exports have a positive but insignificant effect on economic growth, while in the long run, the exchange rate has a negative effect but insignificant, and exports have a positive but insignificant effect on the economic growth of Indonesia. Keywords:economic growth, exchange rates, exports and the ARDL approach.  

scholarly journals The Autoregressive Distributed Lag Model to Analyze Soybean Prices in Indonesia

2018 ◽  
Vol 150 ◽  
pp. 05035 ◽  
Author(s):  
Mahjus Ekananda ◽  
T. Suryanto
Keyword(s):  
Short Term ◽  
Variable Volume ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Soybean Price ◽  
Lag Model

The main objective of this study was to observe factors that affecting domestic soybean prices, including government intervention through BULOG. By using Bound Testing Cointegration method with ARDL approach. In the short term the world soybean price variables in the t-period and exchange rate affect the domestic soybean prices positively and significantly. The variable volume of soybean imports, GDP, and the role of BULOG as sole importer in the t-period does not affect the domestic soybean price significantly. In the long run, the t-period import tariff has a negative and significant effect.

scholarly journals THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE

2017 ◽  
Vol 12 (03) ◽  
pp. 1750011 ◽  
Author(s):  
TANWEER AKRAM ◽  
ANUPAM DAS
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds ◽  
Euro Zone ◽  
Pooled Mean Group ◽  
Policy Measures

This paper investigates the determinants of nominal yields of government bonds in the euro zone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11 euro zone countries. Furthermore, the autoregressive distributive lag (ARDL) methods are used to address the same question for individual countries. The results show that short-term interest rates are the most important determinants of long-term government bonds’ nominal yields. These results support Keynes’s view that short-term interest rates and other monetary policy measures have a decisive influence on long-term interest rates on government bonds.

scholarly journals DAMPAK PEMBANGUNAN EKONOMI, PENGELUARAN RUMAH TANGGA, DAN KETERBUKAAN PERDAGANGAN TERHADAP KONSUMSI ENERGI FINAL DI INDONESIA

2019 ◽  
Vol 4 (2) ◽  
pp. 1
Author(s):  
Bambang Priyo Cahyono ◽  
Yusro Hakimah
Keyword(s):  
Energy Consumption ◽  
Trade Openness ◽  
Value Added ◽  
Short Term ◽  
Final Consumption ◽  
Final Energy ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Final Energy Consumption

This study investigates the impact of economic growth on three main development sectors, household final consumption expenditure, and trade openness towards the growth of final energy consumption in Indonesia using annual data for the period 1972-2016. We applied autoregressive distributed lag (ARDL) procedures which consist of stationarity test, cointegration test, as well as estimation the short-term and long-term relationships. The cointegration test revealed existence cointegration<br />relationship among the variables in the model. In the short-term and long-term model, our results indicated that the growth of value-added in agriculture sector and industry sector, household final consumption expenditures, and trade openness in the short-term and long-term have a significant effect toward final energy consumption in Indonesia, while the growth of value-added in the service sector only given a short-term effect toward final energy consumption in Indonesia. Based on these<br />results, it can be concluded that sustainable economic development in Indonesia needs to be accompanied by the development of new and renewable energy in order to fulfil domestic energy supply which is predicted to continue to increase rapidly in the future.<br />Keyword : final energi consumption, economic development, household final consumption expenditure, trade openness, autoregressive distributed lag modeling<br />JEL Classification : D1, E21, F14, O13, Q43.

Factors Determining Gold Prices in Malaysia

2019 ◽  
Vol 1 (2) ◽  
pp. 75-82
Author(s):  
Anis Mat Dalam ◽  
Noorhaslinda Kulub Abd Rashid ◽  
Jaharudin Padli
Keyword(s):  
Crude Oil ◽  
Time Series Data ◽  
Oil Prices ◽  
Series Data ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Crude Oil Prices ◽  
Inflation Rates ◽  
Ardl Approach ◽  
Gold Reserve

Gold is a valuable asset to a country because of its liquidity. Gold reserve can stabilize the currency in a country. The objective of this paper is to identify the factors contributing to the volatility of gold prices, such as Real Malaysia GDP, inflation rates, crude oil prices and exchange rates. The data was analysed using Autoregressive Distributed Lag (ARDL) approach with time series data, with 30-year coverage from 1987 to 2016. Findings showed that only Real Malaysia GDP and crude oil prices were significantly related to gold prices. As a conclusion, this study can be used as reference by other investors. The author suggests to other researchers to further improve upon this study by adding more variables or diversifying the variables that relate to volatility of gold prices.

SHORT-RUN AND LONG-RUN IMPACT OF INFLATION, UNEMPLOYMENT, AND ECONOMIC GROWTH TOWARDS POVERTY IN INDONESIA: ARDL APPROACH

2019 ◽  
Vol 2 (1) ◽  
pp. 15
Author(s):  
Ahmadi Murjani
Keyword(s):  
Economic Growth ◽  
Poverty Alleviation ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Short Run ◽  
The Government ◽  
The Impact

 Poverty alleviation has become a vigorous program in the world in recent decades. In line with the efforts applied by the government in various countries to reduce poverty, some evaluations have been practised. The impacts of macroeconomic variables such as inflation, unemployment, and economic growth have been commonly employed to be assessed for their impact on the poverty. Previous studies in Indonesia yielded mix results regarding the impact of such macroeconomic variables on the poverty. Different methods and time reference issue were the suspected causes. This paper aims to overcome such problem by utilising the Autoregressive Distributed Lag (ARDL) equipped with the latest time of observations. This paper finds in the long-run, inflation, unemployment, and economic growth significantly influence the poverty. In the short-run, only inflation and economic growth are noted affecting poverty significantly. 

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