Publications

34 publications found, searching for 'Tanweer Akram '

• Working Paper No. 1072
  December 12, 2024

  Macro-Financial Models of Canadian Dollar Interest Rate Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper analyzes the dynamics of Canadian dollar–denominated (CAD) interest rate swap yields. It applies autoregressive distributive lag (ARDL) models, using monthly time series data, to estimate the effects of…more

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• Working Paper No. 1051
  May 10, 2024

  Euro Interest Rate Swap Yields: Some ARDL Models

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap…more

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• Working Paper No. 1048
  April 19, 2024

  An Empirical Analysis of Swedish Government Bond Yields

  Tanweer Akram and Mahima Yadav
  Abstract

  This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short-term interest rate has a decisive influence on long-term SGB yields, after controlling for…more

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• Working Paper No. 1044
  February 23, 2024

  Empirical Models of Chinese Government Bond Yields

  Tanweer Akram and Shahida Pervin
  Abstract

  This paper econometrically models the dynamics of long-term Chinese government bond (CGB) yields based on key macroeconomic and financial variables. It deploys autoregressive distributive lag (ARDL) models to examine whether…more

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• Working Paper No. 1043
  February 14, 2024

  Interest Rate Dynamics: An Examination of Mainstream and Keynesian Empirical Studies

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper critically reviews both mainstream and Keynesian empirical studies of interest rate dynamics. It assesses the key findings of a selected number of these studies, surveying the debates between…more

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• Working Paper No. 1034
  December 08, 2023

  Euro Interest Rate Swap Yields: A GARCH Analysis

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant…more

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• Working Paper No. 1020
  June 28, 2023

  The Macrodynamics of Indian Rupee Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest…more

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• Working Paper No. 1019
  May 08, 2023

  An Inquiry Concerning Japanese Yen Interest Rate Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper econometrically models Japanese yen (JPY)–denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for…more

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• Working Paper No. 1014
  February 16, 2023

  Chinese Yuan Interest Rate Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper models the dynamics of Chinese yuan (CNY)–denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in…more

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• Working Paper No. 1012
  December 16, 2022

  An Analysis of UK Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  John Maynard Keynes argued that the central bank influences the long-term interest rate through the effect of its policy rate on the short-term interest rate. However, Keynes's claim was confined…more

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• Working Paper No. 1011
  September 27, 2022

  The Dynamics of Monthly Changes in US Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows…more

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• Working Paper No. 1008
  May 24, 2022

  A GARCH Approach to Modeling Chilean Long-Term Swap Yields

  Tanweer Akram and Khawaja Mamun
  Abstract

  This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive…more

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• Working Paper No. 991
  July 12, 2021

  Multifactor Keynesian Models of the Long-Term Interest Rate

  Tanweer Akram
  Abstract

  This paper presents multifactor Keynesian models of the long-term interest rate. In recent years there have been a proliferation of empirical studies based on the Keynesian approach to interest rate…more

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• Working Paper No. 988
  June 04, 2021

  A Keynesian Approach to Modeling the Long-Term Interest Rate

  Tanweer Akram
  Abstract

  There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes’s valuable insights about interest rate dynamics. The…more

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• Working Paper No. 984
  February 05, 2021

  The Empirics of Long-Term Mexican Government Bond Yields

  Tanweer Akram and Syed Al-Helal Uddin
  Abstract

  This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling…more

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• Working Paper No. 977
  November 16, 2020

  A Note Concerning Government Bond Yields

  Tanweer Akram
  Abstract

  This paper 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…more

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• Working Paper No. 969
  September 24, 2020

  The Empirics of UK Gilts’ Yields

  Tanweer Akram and Huiqing Li
  Abstract

  This paper analyzes the nominal yields of UK gilt-edged securities (“gilts”) based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term…more

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• Working Paper No. 962
  July 14, 2020

  Some Empirical Models of Japanese Government Bond Yields Using Daily Data

  Tanweer Akram and Huiqing Li
  Abstract

  This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this…more

  Download Working Paper No. 962 PDF (5.98 MB)
• Working Paper No. 956
  May 19, 2020

  An Empirical Analysis of Long-Term Brazilian Interest Rates

  Tanweer Akram and Syed Al-Helal Uddin
  Abstract

  This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data in the context of the evolution of Brazil’s key macroeconomic variables. The results…more

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• Working Paper No. 951
  April 10, 2020

  A Simple Model of the Long-Term Interest Rate

  Tanweer Akram
  Abstract

  This paper presents a simple model of the long-term interest rate. The model represents John Maynard Keynes’s conjecture that the central bank’s actions influence the long-term interest rate primarily through…more

  Download Working Paper No. 951 PDF (865.47 KB)
• Working Paper No. 944
  January 16, 2020

  The Empirics of Canadian Government Securities Yields

  Tanweer Akram and Anupam Das
  Abstract

  Keynes argued that the short-term interest rate is the main driver of the long-term interest rate. This paper empirically models the relationship between short-term interest rates and long-term government securities…more

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• Working Paper No. 938
  October 15, 2019

  The Impact of the Bank of Japan’s Monetary Policy on Japanese Government Bonds’ Low Nominal Yields

  Tanweer Akram and Huiqing Li
  Abstract

  Nominal yields for Japanese government bonds (JGBs) have been remarkably low for several decades. Japanese government debt ratios have continued to increase amid a protracted period of stagnant nominal GDP,…more

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• Working Paper No. 934
  August 22, 2019

  An Analysis of the Daily Changes in US Treasury Security Yields

  Tanweer Akram and Anupam Das
  Abstract

  This paper analyzes the dynamics of long-term US Treasury security yields from a Keynesian perspective using daily data. Keynes held that the short-term interest rate is the main driver of…more

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• Working Paper No. 910
  August 21, 2018

  Australian Government Bonds’ Nominal Yields

  Tanweer Akram and Anupam Das
  Abstract

  The short-term interest rate is the main driver of the Commonwealth of Australia government bonds’ nominal yields. This paper empirically models the dynamics of government bonds’ nominal yields using the…more

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