scholarly journals The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates

2011 ◽  
Vol 5 (1) ◽  
Author(s):  
Riza Emekter ◽  
John Geppert ◽  
Benjamas Jirasakuldech
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Method Of Moments ◽  
Public Debt ◽  
Generalized Method Of Moments ◽  
Government Debt ◽  
Font Size ◽  
Yield Model ◽  
The Relationship

<p class="MsoBodyTextIndent" style="text-align: justify; line-height: normal; margin: 0in 35.2pt 0pt 35pt;"><span style="mso-bidi-font-style: italic;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">In this paper, the effect of the maturity composition of marketable public debt on the term structure of interest rate is explored.<span style="mso-spacerun: yes;">&nbsp; </span>The research has shown that this effect is relatively small.<span style="mso-spacerun: yes;">&nbsp; </span>Unlike previous research, the yield changes around the quantity shocks are analyzed in relation to these shocks.<span style="mso-spacerun: yes;">&nbsp; </span>Our results show that yields respond significantly to the auctioning of new bonds.<span style="mso-spacerun: yes;">&nbsp; </span>The announcements of auctions do not have any impact on yields.<span style="mso-spacerun: yes;">&nbsp; </span>A two-factor affine yield model is used to explain the relationship between quantity shocks in public debt and term structure of interest rates.<span style="mso-spacerun: yes;">&nbsp; </span>The parameters are estimated using Generalized Method of Moments.<span style="mso-spacerun: yes;">&nbsp; </span>While the relationship between quantities and yields is weak, yields can be related to the event of the auctioning process.</span></span></span></p>

scholarly journals THE ROLE OF INTEREST RATES AND PROVINCIAL MONETARY AGGREGATE IN MAINTAINING INFLATION IN INDONESIA

2017 ◽  
Vol 19 (3) ◽  
pp. 267-286
Author(s):  
Chandra Utama ◽  
Miryam B.L. Wijaya ◽  
Charvin Lim
Keyword(s):  
Interest Rates ◽  
Money Supply ◽  
Method Of Moments ◽  
Phillips Curve ◽  
Generalized Method Of Moments ◽  
New Keynesian ◽  
Monetary Aggregate ◽  
The Impact ◽  
The Relationship

Inflation is a regional phenomenon hence the use of provincial data might be more appropriateon explaining the relationship between monetary policy and inflation. This paper analyzes the impact of changes in provincial money supply, the policy rate, and the interbank rate on regional inflation, within the framework of Hybrid New Keynesian Phillips Curve (HNKPC). This paper employs Generalized Method of Moments (GMM) on panel data of 32 provinces from 2005-III to 2014-IV. The estimation result shows that provincial monetary aggregate influence inflation significantly only in Sumatera. Furthermore, the policy fate affects the inflation in Sumatera and Kalimantan-Sulawesi. Using the interbank money rate, the result shows this rate also affect the inflation in most of the region except Kalimantan-Sulawesi. These findings show the price-based policy is more significant on affecting the provincial inflation compared to the provincial money supply.

scholarly journals The impact of public debt on the long-term interest rates in the euro area member countries during 2003-2010

2011 ◽  
Vol 2 (3) ◽  
pp. 23-42
Author(s):  
Piotr Misztal
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Public Debt ◽  
Empirical Studies ◽  
Impulse Response Function ◽  
The Real ◽  
The Impact ◽  
The Relationship

The main aim of the article is to analyze the relationship between public debt and the real, long-term interest rates in the euro area member countries during 2003-2010. The first part dealt with theoretical analysis and the most important results of empirical studies concerning the relationship between public debt and the real, long-term interest rates. In the next part of article, there were examined the relationships between public debt and the real, long-term interest rates in the euro area countries by using the Vector Autoregression Model (VAR). There were estimated elasticity coefficients of the real, long-term interest rates to public debt and measured the impact strength of public debt to changes in the real, long-term interest rate in the euro area member countries using the impulse response function. This was followed by decomposition of the real, long-term interest rate to estimate the impact of public debt and the real, long-term interest rate changes on the volatility of the real, long-term interest rate in the euro area member countries.

scholarly journals Public Debt, Interest Rates, and Negative Shocks

2020 ◽  
Vol 110 ◽  
pp. 137-140
Author(s):  
Richard W. Evans
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Public Debt ◽  
Government Debt ◽  
Welfare Gains ◽  
Welfare Costs ◽  
Developed Economies ◽  
Long Run ◽  
Welfare Losses ◽  
Risk Reducing

Debt-to-GDP ratios across developed economies are at historically high levels, and government borrowing rates remain persistently low. Blanchard (2019) provides evidence that the fiscal costs and welfare costs are low of increased government debt in low interest rate environments. This paper attempts to replicate Blanchard's main results and tests their robustness to key assumptions about risk in the model. This study finds that Blanchard's stated approach results in no long-run average welfare gains from increased government debt and that those welfare losses are exacerbated if some strong risk-reducing assumptions are relaxed to more realistic values.

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 The Rising Cost of Climate Change: Evidence from the Bond Market

2021 ◽  
pp. 1-45
Author(s):  
Michael D. Bauer ◽  
Glenn D. Rudebusch
Keyword(s):  
Climate Change ◽  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Mitigation Strategies ◽  
Social Cost Of Carbon ◽  
Carbon Mitigation ◽  
Interest Rate Models ◽  
Real Rate ◽  
The Social

Abstract Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for market-based SDRs is the equilibrium or steady-state real interest rate. Empirical interest rate models that allow for shifts in this equilibrium real rate find that it has declined notably since the 1990s, and this decline implies that the entire term structure of SDRs has shifted lower as well. Accounting for this new normal of persistently lower interest rates substantially boosts estimates of the social cost of carbon and supports a climate policy with stronger carbon mitigation strategies.

scholarly journals CSR and Corporate Financial Performance: An Inter-Sectorial Analysis

2019 ◽  
Vol 14 (11) ◽  
pp. 193 ◽  
Author(s):  
Antonio Salvi ◽  
Emanuele Doronzo ◽  
Anastasia Giakoumelou ◽  
Felice Petruzzella
Keyword(s):  
Financial Performance ◽  
Method Of Moments ◽  
Environmental Governance ◽  
Generalized Method Of Moments ◽  
Geographic Area ◽  
Corporate Financial Performance ◽  
Thomson Reuters ◽  
Sectorial Analysis ◽  
Corporate Social ◽  
The Relationship

This study examines the relationship between corporate social responsibility (CSR) and corporate financial performance (CFP), shedding new light on the lack of academic consensus and prevailing failure to deal with endogeneity in data. To this purpose, the authors recalculate ESG performance starting from the four pillars (economic, environmental, governance and social) provided by Thomson Reuters&rsquo; Asset4 database, able to determine a firm&rsquo;s CSP. We adjust each ESG pillar score accounting for the firm&rsquo;s sector, size and headquarter geographic area. We empirically test the relationship with a Generalized Method of Moments approach (GMM) in order to tackle the widely disputed endogeneity issues arising in this type of datasets. Results highlight a positive relationship between CSR, as measured in a tailored manner in this study, and corporate financial performance.

INTEREST RATE TARGETS AND SPECULATIVE ATTACKS ON PUBLIC DEBT

2018 ◽  
Vol 23 (07) ◽  
pp. 2698-2716 ◽  
Author(s):  
Pompeo Della Posta
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Public Debt ◽  
Nonlinear Behavior ◽  
Lender Of Last Resort ◽  
Speculative Attacks ◽  
The Interest Rate ◽  
Exchange Rate Target Zones ◽  
Primary Surplus

The application of exchange rate target zones modeling to interest rates allows interpreting the puzzles that emerged with the public debt euro area crisis, namely the nonlinear behavior of the interest rates and the fact that some stand-alone countries, not belonging to the euro area, have not been subject to speculative attacks in spite of equally large public debt-to-gross domestic product (GDP) ratios. As a matter of fact, this model shows that in the case of a noncredible upper threshold for the interest rate (that may be due to both the lack of room for increasing further the required government primary surplus and/or the absence of a monetary authority acting as a lender of last resort), the resulting public debt unsustainability determines an interest rate nonlinearity and makes the crisis possible for public debt levels that would be stable in the presence of a credible interest rate target.

Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective

2021 ◽  
Vol 67 (4) ◽  
pp. 294-307
Author(s):  
Ewa Majerowska ◽  
Jacek Bednarz
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Stock Exchange ◽  
Rate Curve ◽  
Daily Data ◽  
Warsaw Stock Exchange ◽  
The Interest Rate ◽  
Relationship Of

The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals.

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