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Articles 1 - 6 of 6
Full-Text Articles in Macroeconomics
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, …
Monetary And Fiscal Policy In Poland During The Eu Accession, Lucjan Orlowski
Monetary And Fiscal Policy In Poland During The Eu Accession, Lucjan Orlowski
WCBT Faculty Publications
The main objective of this chapter is to review the fiscal and monetary policies of Poland for EU accession and to extract their guiding precepts. Only the most essential aspects of fiscal and monetary convergence are examined, with some attention to institutional convergence. An in-depth analysis of institutional convergence falls beyond the boundaries of this study, as its main focus is on the systemic foundations of macroeconomic stabilization policies during the economic transition and in the course of preparations for EU accession. The chapter also examines policy options for the post-accession macroeconomic policy strategy which will focus on preparations for …
Bond Yield Compression In The Countries Converging To The Euro, Lucjan T. Orlowski, Kirsten Lommatzsch
Bond Yield Compression In The Countries Converging To The Euro, Lucjan T. Orlowski, Kirsten Lommatzsch
WCBT Faculty Publications
We demonstrate that bond yield compression is under way in the countries converging to the euro and that German yields are significant drivers of local currency yields. Based on the evidence from Poland, Hungary and the Czech Republic, we conclude that these new ...Member States of the European Union are ready to adopt the euro without risking a disruptive shock to their financial stability. This message transpires from investigating the daily volatility dynamics of local bond yields as a function of German yields, conditional on changes in local term spreads, exchange rates and adjustments to central bank reference rates. Similar …
Export-Led Growth In Bangladesh: A Time Series Analysis, Hiranya K. Nath, Khawaja Mamun
Export-Led Growth In Bangladesh: A Time Series Analysis, Hiranya K. Nath, Khawaja Mamun
WCBT Faculty Publications
This article examines time series evidence to investigate the link between exports and economic growth in Bangladesh. Using quarterly data for a period from 1976 to 2003 the article finds that industrial production and exports are cointegrated. The results of an error correction model (ECM) suggest that there is a long-run unidirectional causality from exports to growth in Bangladesh.
Targeting Relative Inflation Forecast As Monetary Policy Framework For Adopting The Euro, Lucjan T. Orlowski
Targeting Relative Inflation Forecast As Monetary Policy Framework For Adopting The Euro, Lucjan T. Orlowski
WCBT Faculty Publications
This study proposes relative inflation forecast targeting as an operational framework of monetary policy for adopting the euro by the EU new Member States. This strategy assumes containing differentials between the domestic and the eurozone inflation forecasts as an operational target. A model prescribing the RIFT framework is presented along with a set of appropriate policy indicator variables and instrument rules. The proposed framework advances the strategy based on relatively strict inflation targeting that is currently pursued by some NMS. Several ARCHclass tests in various functional forms are employed for providing preliminary empirical evidence on convergence of inflation differentials relative …
Monetary Convergence And Risk Premiums In The Eu Accession Countries, Lucjan Orlowski
Monetary Convergence And Risk Premiums In The Eu Accession Countries, Lucjan Orlowski
WCBT Faculty Publications
This study examines the impact of various monetary policy regimes on the ability to lower inflation and exchange rate risk premiums in the EU accession countries as they undergo monetary convergence to the eurozone. It proposes a monetary policy framework of flexible targeting of relative inflation risk premium that is believed to be credible and useful for managing these two categories of risk. A model of inflation and exchange rate risk premiums within the context of inflation targeting is developed. Recent trends in these risk premiums in Hungary, the Czech Republic and Poland are tested by employing the threshold ARCH …