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Full-Text Articles in International Economics
The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun
The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
This 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 logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending …
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Faculty Publications
This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …