A Daily View of Yield Spreads and Short-Term Interest Rate Movements

1996 ◽  
Vol 28 (1) ◽  
pp. 34 ◽  
Author(s):  
William Roberds ◽  
David Runkle ◽  
Charles H. Whiteman
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
Yield Spreads

scholarly journals Overreaction of yield spreads and movements of Brazilian interest ratest

2004 ◽  
Vol 24 (1) ◽  
pp. 1 ◽  
Author(s):  
Ricardo D. Brito ◽  
Angelo José Mont' Alverne Duarte ◽  
Osmani Teixeira de Carvalho Guillen
Keyword(s):  
Interest Rate ◽  
Rational Expectations ◽  
Alternative Hypothesis ◽  
Yield Spread ◽  
Short Term ◽  
Yield Spreads ◽  
Expectations Hypothesis ◽  
Highly Correlated ◽  
One Year

This paper tests the rational expectations hypothesis (REH) for Brazil from July 1996 to December 2001. For any pair of maturities between one day and one year, it shows that the yield spread between a longer-term and a shorterterm interest rate is an imprecise predictor of the short-term movements in the longer-term interest rate and of the long-term movements in the shorter-term interest rate. Moreover, yield spreads highly correlated with the rational expectations forecasts of future changes in the shorter-term rate, but significantly more volatile than these, suggest the rejection of the REB. The alternative hypothesis of overreaction of the yield spread to the expectation of future changes in the shorter-term rate seems a reasonable explanation to these findings, and can be rationalized by a monetary policy of interest rate smoothing.

Short-Term Interest Rate Futures as Monetary Policy Forecasts

2008 ◽  
Author(s):  
Giuseppe Ferrero ◽  
Andrea Nobili
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Short Term ◽  
Interest Rate Futures

Central Bank Transparency and Short Term Interest Rate Forecasting Uncertainty

2008 ◽  
Author(s):  
Marc D. Hayford ◽  
A. G. (Tassos) Malliaris
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Short Term ◽  
Central Bank Transparency

Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

2020 ◽  
Author(s):  
Jing-Zhi Jay Huang ◽  
Bibo Liu ◽  
Zhan Shi
Keyword(s):  
Short Term ◽  
Yield Spreads ◽  
Commercial Paper

The Dynamics of the Short-Term Interest Rate in the UK

2005 ◽  
Author(s):  
Diether W. Beuermann ◽  
Antonios Antoniou ◽  
Alejandro Bernales
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
The Uk

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 effect of federal deficits and debt on the tax-adjusted, short-term, real interest rate

1990 ◽  
Vol 34 (2) ◽  
pp. 169-173 ◽  
Author(s):  
Stuart D. Allen
Keyword(s):  
Interest Rate ◽  
Real Interest Rate ◽  
Short Term

scholarly journals The Case for Open-Market Purchases in a Liquidity Trap

2005 ◽  
Vol 95 (1) ◽  
pp. 110-137 ◽  
Author(s):  
Alan J Auerbach ◽  
Maurice Obstfeld
Keyword(s):  
Interest Rate ◽  
Large Scale ◽  
Open Market ◽  
Macroeconomic Stabilization ◽  
Short Term ◽  
Liquidity Trap ◽  
Welfare Impact ◽  
Dynamic General Equilibrium Model ◽  
Policy Tool ◽  
Economic Experience

Prevalent thinking about liquidity traps suggests that the perfect substitutability of money and bonds at a zero short-term nominal interest rate renders open-market operations ineffective for achieving macroeconomic stabilization goals. We show that even were this the case, there remains a powerful argument for large-scale open market operations as a fiscal policy tool. As we also demonstrate, however, this same reasoning implies that open-market operations will be beneficial for stabilization as well, even when the economy is expected to remain mired in a liquidity trap for some time. Thus, the microeconomic fiscal benefits of open-market operations in a liquidity trap go hand in hand with standard macroeconomic objectives. Motivated by Japan’s recent economic experience, we use a dynamic general-equilibrium model to assess the welfare impact of open-market operations for an economy in Japan’s predicament. We argue Japan can achieve a substantial welfare improvement through large open-market purchases of domestic government debt.

A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany

1996 ◽  
Vol 3 (3) ◽  
pp. 263-275 ◽  
Author(s):  
Isao Shoji ◽  
Tohru Ozaki
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
Interest Rate Models ◽  
Statistical Comparison

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.

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