Long-Run Consumption Risk and the Real Yield Curve

2009 ◽  
Author(s):  
Shu Wu
Keyword(s):  
Yield Curve ◽  
The Real ◽  
Long Run ◽  
Consumption Risk

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

Understanding the Real Rate Conundrum: An Application of No-Arbitrage Models to the UK Real Yield Curve*

2011 ◽  
Vol 16 (3) ◽  
pp. 837-866 ◽  
Author(s):  
Michael A. S. Joyce ◽  
Iryna Kaminska ◽  
Peter Lildholdt
Keyword(s):  
Yield Curve ◽  
Real Rate ◽  
No Arbitrage ◽  
The Real ◽  
The Uk

How Does Innovation Affect Economic Growth? Evidence from G20 Countries

2021 ◽  
pp. 001946622110635
Author(s):  
Ajoy K Sarangi ◽  
Rudra P. Pradhan ◽  
Tamal Nath ◽  
Rana P. Maradana ◽  
Hiranmoy Roy
Keyword(s):  
Economic Growth ◽  
Causal Relationships ◽  
Jel Codes ◽  
The Real ◽  
Real Effects ◽  
Long Run ◽  
Short Run ◽  
Shed Light

We study the interactions between innovation and economic growth in G20 countries over 1961–2019. We establish whether there is a temporal causality between these two variables. Employing the autoregressive distributive lag framework, our results expose a grid of short-run and long-run causal relationships between innovation and growth, including long-run unidirectional causality from innovation to economic growth. Overall, our findings shed light on the real effects of innovation on economic growth. JEL Codes: O38, O31, O32

Long-Run Stockholder Consumption Risk and Asset Returns

2008 ◽  
Author(s):  
Annette Vissing-Jorgensen ◽  
Christopher J. Malloy ◽  
Tobias J. Moskowitz
Keyword(s):  
Asset Returns ◽  
Long Run ◽  
Consumption Risk

scholarly journals Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information

2007 ◽  
Vol 10 (04) ◽  
pp. 491-518 ◽  
Author(s):  
William T. Lin ◽  
David S. Sun
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Information Discovery ◽  
Affine Term Structure ◽  
Term Structure Model ◽  
Long Run ◽  
Fitting Method ◽  
Bond Issues ◽  
Short Run

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments from models of liquidity concentration and benchmark security information. After examining time series behavior of price errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence indicates that trading liquidity carries information effect in the long run, which cannot be fully captured in the short run. Trading liquidity plays a key role in long run term structure fitting. Markets for liquid benchmark government bond issues collectively form a long term equilibrium. Compared with previous studies, our results provide a robust and realistic characterization of the spot rate term structure and related price forecasting over time, which in turn help portfolio investment of fixed income and long run pricing of financial instruments.

scholarly journals Cotton Imports and GDP of Indonesia- Cointegration Analysis

2021 ◽  
pp. 149-154
Author(s):  
P. Soumya ◽  
R. A. Yeledhalli
Keyword(s):  
High Speed ◽  
Cointegration Analysis ◽  
Causality Analysis ◽  
The Real ◽  
Real Gdp ◽  
Use Of Technology ◽  
Long Run ◽  
Negative Effect ◽  
The Government ◽  
The Impact

The study examines the impact of cotton imports on the real GDP (Gross Domestic Product) of Indonesia for a period from 1992 to 2018 using ARDL approach and Granger causality analysis. Results of the study indicated that cotton imports have negative effect on economic growth. For every 1% increase in cotton imports the real GDP decreased by 0.107% in the long run. Any disequilibrium in the model is adjusted with a high speed of adjustment of 107.7% in less than a year. Shocks and the trend are adjusted in less than one year. There is no causality between imports of cotton and the real GDP. The study suggested effort should be taken by the government to increase yield of cotton by the use of technology and also a need to initiate farmers to take up cotton farming. 

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