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US Interest Rates (us + interest_rate)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

A Semiparametric Analysis of the Term Structure of the US Interest Rates,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 4 2009
Fabrizio Iacone
Abstract The short end of the US$ term structure of interest rates is analysed allowing for the possibility of fractional integration and cointegration. This approach permits mean-reverting dynamics for the data and the existence of a common long run stochastic trend to be maintained simultaneously. We estimate the model for the period 1963,2006 and find it compatible with this structure. The restriction that the data are I(1) and the errors are I(0) is rejected, mainly because the latter still display long memory. This result is consistent with a model of monetary policy in which the Central Bank operates affecting contracts with short term maturity, and the impulses are transmitted to contracts with longer maturities and then to the final goals. However, the transmission of the impulses along the term structure cannot be modelled using the Expectations Hypothesis. [source]

Modelling fundamentals for forecasting capital flows to emerging markets

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2001
Ashoka Mody
F21; F34 Abstract In this paper, we provide capital flow forecasts to 32 developing countries using a vector error correction framework based on underlying domestic (pull) fundamentals and international (push) factors. In general, pull factors have a heavier weight in determining these capital flows. However, short-term dynamics of capital flows can be significantly influenced by external developments. Simulations under various economic scenarios show that while financial variables (such as the US interest rate and high-yield spread) are important, real US activity may be even more potent in influencing capital flow movements. Copyright © 2001 John Wiley & Sons, Ltd. [source]

Asymmetric monetary policy with respect to asset markets

OXONOMICS, Issue 2 2009
Andreas Hoffmann
The paper suggests that during Greenspan's incumbency the Federal Reserve (Fed) lowered interest rates rapidly when asset price developments suggested a crisis potential. Whereas, when asset markets were growth-supporting, the Fed did not raise interest rates. This asymmetry contributed to a downward-trend in interest rates which pushed US interest rates down to zero in the current crisis. [source]

Markov-Switching Mean Reversion in Short-Term Interest Rates: Evidence from East Asian Economies,

THE ECONOMIC RECORD, Issue 263 2007
CHEW LIAN CHUA
This paper employs a Markov-switching approach to model the dynamics of East Asian short rates. Regime changes are incorporated in standard unit root test to reveal periodic changes in the stationarity property of interest rates. There is evidence that three of the five short rates follow a random walk process in tranquil and low rates episodes but mean-revert in periods when rates are high and volatile. Singapore short rates are characterised by a random walk process, whereas the Philippines rates behave as a mean-reverting process in both regimes. Factors such as exchange rates, monetary policy and interest rate differentials vis-à-vis US interest rates influence the likelihood of short rates being in a volatile state. The regime switching dynamics of interest rates carry important implications for policy-makers. [source]