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48 publications found, searching for 'Interest Rates '
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Working Paper No. 1085
July 17, 2025
Fiscal Deficit and Term Structure of Interest Rate Links on Corporate Investment
AbstractUsing high-frequency macro data from a financially deregulated regime, this paper examines whether there is any evidence of financial crowding out in India. The macroeconomic channel through which financial crowding out occurs is the link between the fiscal deficit and the interest rate determination. The results revealed that the fiscal deficit does not significantly determine […]
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Working Paper No. 1072
December 12, 2024
Macro-Financial Models of Canadian Dollar Interest Rate Swap Yields
AbstractThis 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 the current short-term interest rate and other relevant macro-financial variables on interest rate swap yields. It shows that the current short-term interest rate is a […]
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Working Paper No. 1053
June 07, 2024
Foreign Deficit and Economic Policy: The Case of Mexico
AbstractThe article analyzes Mexico under globalization, particularly on the free mobility of capital. It argues that globalization has detrimentally impacted the productive and external sectors, causing the economy to become excessively reliant on volatile capital inflows from abroad. The Mexican government—instead of undoing the structural problems that lead to external deficits—implements policies that resolve the […]
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Working Paper No. 1051
May 10, 2024
Euro Interest Rate Swap Yields: Some ARDL Models
AbstractThis 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 yields of different maturity tenors, after controlling for various key macroeconomic variables. It presents several autoregressive distributive lag (ARDL) models of the dynamics of EUR […]
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Working Paper No. 1034
December 08, 2023
Euro Interest Rate Swap Yields: A GARCH Analysis
AbstractThis 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 effect on the change in EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as the month-over-month change […]
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Working Paper No. 1026
August 01, 2023
Banking Sector, Distributive Conflict, and Monetary Theory of Distribution
AbstractThis paper analyzes the implications of distributional contrast for the monetary theory of distribution. The first step is to try to introduce the banking sector within Pivetti's monetary distribution theory approach. Pivetti in fact does not analyze the links between the central bank and the banking sector. It therefore seems interesting to study what role […]
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Policy Notes No. 3
July 24, 2023
In Defense of Low Interest Rates
AbstractIn recalling John Maynard Keynes’s revolutionary theory of interest, reviewing the doctrines Keynes sought to overthrow, and analyzing the structural transformations of the US economy, James K. Galbraith maintains there is no alternative to a policy of low interest rates. However, such a policy cannot be effective, he argues, without a radical restructuring of the […]
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Working Paper No. 1020
June 28, 2023
The Macrodynamics of Indian Rupee Swap Yields
AbstractThis 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 rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the […]
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Working Paper No. 1019
May 08, 2023
An Inquiry Concerning Japanese Yen Interest Rate Swap Yields
AbstractThis 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 several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change […]
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Working Paper No. 1014
February 16, 2023
Chinese Yuan Interest Rate Swap Yields
AbstractThis 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 the past several decades. Going forward, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that […]
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Working Paper No. 1012
December 16, 2022
An Analysis of UK Swap Yields
AbstractJohn 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 to the behavior of the long-term government bond yield. This paper investigates whether Keynes's claim holds for the yields of spread products and over-the-counter financial […]
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Working Paper No. 1011
September 27, 2022
The Dynamics of Monthly Changes in US Swap Yields
AbstractJohn 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 that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper investigates whether Keynes's conjecture also holds for the monthly changes in […]
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Working Paper No. 1008
May 24, 2022
A GARCH Approach to Modeling Chilean Long-Term Swap Yields
AbstractThis 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 influence on the long-term swap yield after controlling for other factors, such as the change in inflation, change in the growth of industrial production, change […]
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Working Paper No. 991
July 12, 2021
Multifactor Keynesian Models of the Long-Term Interest Rate
AbstractThis 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 modeling. However, standard multifactor models of the long-term interest rate in quantitative finance have not been yet incorporated Keynes’s insights about interest rate dynamics. Keynes’s […]
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Working Paper No. 988
June 04, 2021
A Keynesian Approach to Modeling the Long-Term Interest Rate
AbstractThere 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 Keynesian approach to interest rate dynamics can be readily incorporated in the benchmark models of the long-term interest rate. This paper modifies several benchmark interest […]
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Working Paper No. 984
February 05, 2021
The Empirics of Long-Term Mexican Government Bond Yields
AbstractThis 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 for inflation and growth in industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate. The models […]
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Working Paper No. 977
November 16, 2020
A Note Concerning Government Bond Yields
AbstractThis 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 monetary sovereignty. Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly […]
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Working Paper No. 974
October 05, 2020
The General Theory as “Depression Economics”?
AbstractThis paper revisits Keynes’s writings from Indian Currency and Finance (1913) to The General Theory (1936) with a focus on financial instability. The analysis reveals Keynes’s astute concerns about the stability/fragility of the banking system, especially under deflationary conditions. Keynes’s writings during the Great Depression uncover insights into how the Great Depression may have informed […]
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Working Paper No. 969
September 24, 2020
The Empirics of UK Gilts’ Yields
AbstractThis 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
AbstractThis 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. 956
May 19, 2020
An Empirical Analysis of Long-Term Brazilian Interest Rates
AbstractThis 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 show that the current short-term interest rate has a decisive influence on BGBs’ long-term interest rates after controlling for various key macroeconomic variables, such as […]
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Working Paper No. 951
April 10, 2020
A Simple Model of the Long-Term Interest Rate
AbstractThis 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 the short-term interest rate, while allowing for other important factors. It relies on the geometric Brownian motion to formally model Keynes’s conjecture. Geometric Brownian motion […]
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Working Paper No. 944
January 16, 2020
The Empirics of Canadian Government Securities Yields
AbstractKeynes 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 yields in Canada, after controlling for other important financial variables. The statistical analysis uses high-frequency daily data from 1990 to 2018. It applies both the […]
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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
AbstractNominal 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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