Redefining and Constructing Basic Term Structures of Interest Rates and Analyzing Price Errors of Indonesian Government Bonds and the US Treasuries

2015 ◽  
Author(s):  
Aryo Sasongko ◽  
Cynthia Afriani ◽  
Buddi Wibowo ◽  
Zaafri A. Husodo
Keyword(s):  
Interest Rates ◽  
Government Bonds ◽  
Basic Term ◽  
Indonesian Government ◽  
Term Structures ◽  
The Us

scholarly journals Factors Affecting the Yield of Indonesia Government Bonds 10 Years

2021 ◽  
Vol 6 (1) ◽  
pp. 243-248
Author(s):  
Intan Permanasari ◽  
Augustina Kurniasih
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Government Bond ◽  
Government Bonds ◽  
Factors Affecting ◽  
Indonesian Government ◽  
Bond Yield ◽  
The Us ◽  
Regression Approach ◽  
Study Population

The purpose of this research is to analyze the effect of inflation, interest rates, the rupiah exchange rate, and the US 10-Year Treasury on the Indonesian Government Bond Yield. The study population was all yield tenors of the benchmark series Government bonds for the period 2017 to 2019. This study is an associative causality study. The research sample is Indonesian government bonds with a tenor of 10 years. Data were analyzed using multiple linear regression approach. The results show that inflation and US 10-Year Treasury have no effect on the Indonesian Government Bond Yield. Interest rates and the rupiah exchange rate have a positive and significant effect on the Indonesian Government Bond Yield.

Yen surge to question global monetary easing's effects

2016 ◽  
Keyword(s):  
Interest Rates ◽  
Central Banks ◽  
Recent Improvement ◽  
German Government ◽  
Monetary Policies ◽  
Government Bonds ◽  
Content Type ◽  
Negative Interest Rates ◽  
The Us ◽  
Fiscal Support

Significance Despite aggressive easing by both the Bank of Japan (BoJ) and the ECB, including negative interest rates, the lowering of expectations over the scale and pace of rate hikes by the US Federal Reserve (Fed) has negated their attempts to weaken their currencies and thus boost export-driven growth. This is heightening concern that ultra-loose monetary policies have passed the point where they can revive growth and inflation. Impacts Despite the recent improvement due to the oil price rebound since mid-February, sentiment towards EM currencies will remain fragile. The still strong demand for 'safe-haven' assets, such as German government bonds and gold, implies investors will remain cautious. Negative deposit rates will further undermine banks' earnings, amid persistent concerns about capital levels. Central banks will reach the limits of their capacity to promote growth without fiscal support from governments.

Adoption of yield-curve control could aid US recovery

2020 ◽  
Keyword(s):  
Interest Rates ◽  
Yield Curve ◽  
Balance Sheet ◽  
Quantitative Easing ◽  
Government Bonds ◽  
Content Type ◽  
Forward Guidance ◽  
Reserve Bank ◽  
The Us

Subject Yield-curve control. Significance The US Federal Reserve (Fed) is contemplating yield-curve control (YCC), a policy pursued by the Bank of Japan (BoJ) and Reserve Bank of Australia (RBA) alongside quantitative easing (QE) and forward guidance. A central bank does this by capping the yields on government bonds of a chosen maturity through unlimited bond purchases. This supports the economy by reducing borrowing costs for financial institutions, households and businesses. Impacts By providing transparency over a central bank’s actions, YCC would be likely to reduce the volatility of long-term interest rates. YCC adds to the Fed balance sheet; the Fed will need a credible exit strategy to cut market volatility and the risk of Fed capital losses. A sharp uptick in inflation may put upward pressure on long-term yields, necessitating higher Fed purchases to maintain its targeted peg.

scholarly journals The Interaction between American and European IRS Interest Rates

2018 ◽  
Vol 65 (1) ◽  
pp. 81-96
Author(s):  
Giovanni Verga ◽  
Federica Trani ◽  
Nicoleta Vasilcovschi
Keyword(s):  
Interest Rates ◽  
European Central Bank ◽  
Quantitative Easing ◽  
European Central ◽  
Term Structures ◽  
The Us ◽  
Short And Long Term ◽  
Internal And External Factors ◽  
The Impact

Abstract European interest rates movements are affected by various internal and external factors. This paper studies the link between European and American short- and long-term interest rates. In particular, we consider the forward interest rates coming from euro and dollar IRS term structures. The econometric techniques employed are co-integration, Granger-causality, OLS and GMM. Our results indicate that European remote settlement forward and long-term interest rates are primarily driven by US rates and confirm that the causality acts mainly from the US to the Eurozone. This was true even during the recent periods of European Central Bank quantitative easing. These factors weaken the ECB’s ability to intervene. In fact, we found the impact of American monetary policy on long-term interest rates to be also relevant for European bonds.

Chapter II. The World Economy

1986 ◽  
Vol 117 ◽  
pp. 20-29
Keyword(s):  
Interest Rates ◽  
World Economy ◽  
Oil Prices ◽  
Final Demand ◽  
Total Output ◽  
Cold Winter ◽  
The Us ◽  
The World ◽  
Initial Effect ◽  
Small Rise

Fuller data confirm the impression which we formed in May that OECD countries' total output did not change much in the first quarter. It probably increased by about ¼ per cent, with even this small rise attributable wholly to stock movements in the US. Final demand in the US fell and there were declines in total output in a number of countries, including Japan, Germany, Australia, the Netherlands, Switzerland and possibly Italy (for which there are conflicting estimates), white France achieved only marginal growth. The fall was notably severe in Germany, where construction suffered badly in the cold winter. This probably had a wider impact also, and, in North America at least, the initial effect of the slump in oil prices seems to have been depressive, with drilling activity sharply reduced, especially in the US. There may also have been a tendency for expenditure, perhaps on investment in particular, to be deferred in the expectation of falling prices and interest rates.

scholarly journals Macroeconomic Synchronization Between G3 Countries

2002 ◽  
Vol 3 (2) ◽  
pp. 137-153 ◽  
Author(s):  
Amado Peirό
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Short Term ◽  
The Us ◽  
Production Prices ◽  
Over Time

AbstractThis paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices and interest rates in the three main world economies: Germany, Japan and the US. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates the existence of strong comovements in prices and long-term interest rates, and, to a lesser degree, in GDP and short-term interest rates. They are, however, rather unstable over time.

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