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- Interest Rate Swaps (5)
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Articles 1 - 17 of 17
Full-Text Articles in Macroeconomics
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 …
An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun
WCBT Working Papers
This paper econometrically models Japanese yen (JPY)–denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields and related variables. The estimated econometric models show that the short-term interest rate exerts an important influence on the long-term swap yield in some periods but …
Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning
Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning
Doctoral Dissertations (DBA)
Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …
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, …
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 …
Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence From The Top Four Oil Importing Countries In Asia – China, India, Japan And South Korea, Alexander Nti
Doctoral Dissertations (DBA)
Using daily data obtained from Federal Reserve Bank of St. Louis database, we convert oil price and exchange rates to first difference logarithm to examine the link between oil price and exchange rates. We apply Johansen Cointegration models to examine relationship between the series, and our results indicate the variables are not cointegrated. Augmented Dicky Fuller test indicates that the series are nonstationary at level, but stationary at first difference. Impulse response analysis based on unrestricted vector autoregressive (VAR) yields varying results for the relationship between oil price and exchange rates across the currencies of the four countries considered. Thus, …
Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska
Financial Market Risk And Macroeconomic Stability Variables: Dynamic Interactions And Feedback Effects, Agnieszka M. Chomicz-Grabowska
Doctoral Dissertations (DBA)
This study investigates dynamic interactions and feedback effects between financial market risk proxied by VIX and key macroeconomic stability variables that include the rate of unemployment, headline inflation and market-based inflation expectations reflected by the breakeven inflation. I argue that market risk should play a stronger role in macroeconomic modeling and forecasting than it has been recognized thus far in the literature. I employ vector autoregression with impulse response functions, as well as two-state Markov switching tests to examine these interactions on the longest available US monthly data. The empirical tests show that the association between market risk and macroeconomic …
Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik
Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik
WCBT Faculty Publications
How do banks resolve a severe bad loan problem in a capital-constrained, low-income economy when a government bailout is not an option? We address this question by examining new evidence from a sharp decline in bad loan ratios in a panel of conventional commercial banks in Bangladesh. On the aggregate level, the bad loan ratio in this market has dropped from 41% in 1999 to only 10% in 2012. We find that at a micro level, this dramatic improvement is associated with bank management quality and internal governance that were substantially enhanced during a decade of large-scale regulatory reforms. The …
The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei
The Effect Of Excess Reserves On U.S Real Gross Domestic Product, Prince J. Adjei
Doctoral Dissertations (DBA)
The recent financial crisis has triggered questions regarding the role of the Federal Reserve Bank and the effectiveness of its intervention in the financial markets, post the crisis. This paper investigates the impact of huge spikes in excess reserves on the U.S. real gross domestic product. U.S. Federal Reserve in an effort to deal with the 2008 financial crisis instituted a series of programs aimed at taming the impact of the crisis. Through its emergency lending activities and Quantitative Easing (QE) programs, the Federal Reserve created a huge spike in excess reserves to levels not seen before. The empirical findings …
Resolution Of Bad Loan Problem: Bank-Level Evidence From A Low-Income Country, Abu S. Amin, Lucy Chernykh, Mahmood Osman Imam
Resolution Of Bad Loan Problem: Bank-Level Evidence From A Low-Income Country, Abu S. Amin, Lucy Chernykh, Mahmood Osman Imam
WCBT Faculty Publications
How do banks resolve a severe bad loan problem in a capital-constrained, low income country when a government bailout is not an option? We address this question by examining new evidence of a sharp decline in bad loan ratios in a panel of domestic banks in Bangladesh. On the aggregate level, the share of nonperforming loans in this market has dropped six fold, from above 41% in 1999 to below 7% in 2010. Notably, this dramatic improvement did not involve the creation of any centralized asset management facilities but relied on the bank management and governance reforms. We find that …
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 …