Liquidity and realized volatility in short-term interest rate futures in 2008 crisis

2017 ◽  
Vol 1 (1) ◽  
pp. 21-31
Author(s):  
Barry A. Goss ◽  
S. Gulay Avsar
Keyword(s):  
Interest Rate ◽  
Realized Volatility ◽  
Short Term ◽  
Interest Rate Futures

Short-term Interest-rate Futures

1983 ◽  
pp. 69-100
Author(s):  
Brendan Brown ◽  
Charles R. Geisst
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
Interest Rate Futures

The Dynamics of the Short-Term Interest Rate in the UK

2005 ◽  
Author(s):  
Diether W. Beuermann ◽  
Antonios Antoniou ◽  
Alejandro Bernales
Keyword(s):  
Interest Rate ◽  
Short Term ◽  
The Uk

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

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