Publications

6 publications found, searching for 'Huiqing Li '

• 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 interest rate. Quarterly data are used to model gilts’ nominal yields. These models bring to light the complex dynamics relating the nominal yields on gilts […]

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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 paper, can be useful not only to investors and market analysts, but also to central bankers and other policymakers for assessing financial conditions and macroeconomic […]

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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, low inflation, and deflationary pressures. Many analysts are puzzled by the phenomenon of JGBs’ low nominal yields because Japanese government debt ratios are elevated. However, […]

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• Working Paper No. 906 May 11, 2018

  The Dynamics of Japanese Government Bonds’ Nominal Yields

  Tanweer Akram, and Huiqing Li
  Abstract

  This paper employs a Keynesian perspective to explain why Japanese government bonds’ (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest rate, induced by the Bank of Japan’s (BoJ) accommodative monetary policy, […]

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• Working Paper No. 894 August 04, 2017

  An Inquiry Concerning Long-term US Interest Rates Using Monthly Data

  Tanweer Akram, and Huiqing Li
  Abstract

  This paper undertakes an empirical inquiry concerning the determinants of long-term interest rates on US Treasury securities. It applies the bounds testing procedure to cointegration and error correction models within the autoregressive distributive lag (ARDL) framework, using monthly data and estimating a wide range of Keynesian models of long-term interest rates. While previous studies have […]

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• Working Paper No. 863 March 31, 2016

  The Empirics of Long-Term US Interest Rates

  Tanweer Akram, and Huiqing Li
  Abstract

  US government indebtedness and fiscal deficits increased notably following the global financial crisis. Yet long-term interest rates and US Treasury yields have remained remarkably low. Why have long-term interest rates stayed low despite the elevated government indebtedness? What are the drivers of long-term interest rates in the United States? John Maynard Keynes holds that the […]

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