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Full-Text Articles in Social and Behavioral Sciences
An Analysis Of Uk Swap Yields, Tanweer Akram, Khawaja Mamun
An Analysis Of Uk Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
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 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 derivatives by econometrically modeling the dynamics of the pound sterling–denominated longterm interest rate swap yield. It uses the generalized autoregressive conditional heteroskedasticity (GARCH) modeling approach to examine the relationship between the month-over-month changes in the short-term swap yield and the month-over-month change in the long-term …
The Dynamics Of Monthly Changes In Us Swap Yields: A Keynesian Perspective, Tanweer Akram, Khawaja Mamun
The Dynamics Of Monthly Changes In Us Swap Yields: A Keynesian Perspective, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
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 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 US long-term swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach. The econometric modeling reveals that there is statistically significant effect on the monthly changes in the Treasury bill rate on the monthly changes in swap yields of different maturity …
A Garch Approach To Modeling Chilean Long-Term Swap Yields, Tanweer Akram, Khawaja Mamun
A Garch Approach To Modeling Chilean Long-Term Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
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 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 in the log of the equity price index, and change in the log of the exchange rate. It applies the generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the short-term interest rate has an economically …