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UK Interest Rates (uk + interest_rate)
Selected AbstractsTax Clientele Effects in the Term Structure of UK Interest RatesJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2001Eric J. Levin This paper tests for tax clientele effects in the term structure of UK interest rates. Five empirical models of the term structure of interest rates, incorporating tax effects, are estimated with daily data covering the period 31 March, 1995 to 3 August, 1995. In May 1995, the British government announced its intention to eliminate the tax exemption on capital gains from government bonds, but subsequently in July 1995 backtracked on some of its initial proposals. This period therefore forms the basis of a crude natural experiment in the sense that it provides an opportunity to examine tax clientele effects ,before' and ,after' an event which should have levelled greatly the taxing of government bonds. The empirical analysis suggests large tax clientele effects. However, there is little evidence of tax-specific term structures of interest rates. [source] Forecasting changes in UK interest ratesJOURNAL OF FORECASTING, Issue 1 2008Tae-Hwan Kim Abstract Making accurate forecasts of the future direction of interest rates is a vital element when making economic decisions. The focus on central banks as they make decisions about the future direction of interest rates requires the forecaster to assess the likely outcome of committee decisions based on new information since the previous meeting. We characterize this process as a dynamic ordered probit process that uses information to decide between three possible outcomes for interest rates: an increase, decrease or no change. When we analyse the predictive ability of two information sets, we find that the approach has predictive ability both in-sample and out-of-sample that helps forecast the direction of future rates. Copyright © 2008 John wiley & Sons, Ltd. [source] MEASURING MONETARY POLICY IN THE UK: A FACTOR-AUGMENTED VECTOR AUTOREGRESSION MODEL APPROACHTHE MANCHESTER SCHOOL, Issue 2005GIANLUCA LAGANĄ This paper investigates the determinants of UK interest rates using a factor-augmented vector autoregression model (VAR), similar to the one suggested by Bernanke, Boivin and Eliasz (Quarterly Journal of Economics, Vol. 120 (2005), No. 1, pp. 387,422). The method allows impulse response functions to be generated for all the variables in the data set and so is able to provide a more complete description of UK monetary policy than is possible using standard VARs. The results show that the addition of factors to a benchmark VAR generates a more reasonable characterization of the effects of unexpected increases in the interest rate and, in particular, gets rid of a ,price puzzle' response present in the benchmark VAR. The extra information generated by this method, however, also brings to light other identification issues, notably house price and stock market ,puzzles'. Importantly the out-of-sample prediction performance of the factor-augmented VARs is also very good and strongly superior to those of the benchmark VAR and simple autoregression models. [source] |