The Impact of the Conversion Loan on the Term Structure of Interest Rates in Canada: Some Additional Evidence

1975 ◽  
Vol 8 (2) ◽  
pp. 281 ◽  
Author(s):  
James E. Pesando
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
The Impact

GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES

2021 ◽  
Author(s):  
RANGAN GUPTA ◽  
ANANDAMAYEE MAJUMDAR ◽  
JACOBUS NEL ◽  
SOWMYA SUBRAMANIAM
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Conditional Distribution ◽  
Structural Breaks ◽  
Statistical Tests ◽  
Predictive Ability ◽  
Long Run ◽  
Data Driven Approach ◽  
The Impact ◽  
Geopolitical Risks

We use daily data for the period 25th November 1985 to 10th March 2020 to analyze the impact of newspapers-based measures of geopolitical risks (GPRs) on United States (US) Treasury securities by considering the level, slope and curvature factors derived from the term structure of interest rates of maturities covering 1 to 30 years. No evidence of predictability of the overall GPRs (or for threats and acts) is detected using linear causality tests. However, evidence of structural breaks and nonlinearity is provided by statistical tests performed on the linear model, which indicates that the Granger causality cannot be relied upon, as they are based on a misspecified framework. As a result, we use a data-driven approach, specifically a nonparametric causality-in-quantiles test, which is robust to misspecification due to regime changes and nonlinearity, to reconsider the predictive ability of the overall and decomposed GPRs on the three latent factors. Moreover, the zero lower bound situation, visible in our sample period, is captured by the lower quantiles, as this framework allows us to capture the entire conditional distribution of the three factors. Using this robust model, we find overwhelming evidence of causality from the GPRs, with relatively stronger effects from threats than acts, for the entire conditional distribution of the three factors, with higher impacts on medium- and long-run maturities, i.e., curvature and level factors, suggesting the predictability of the entire US term structure based on information contained in GPRs. Our results have important implications for academics, investors and policymakers.

The Contribution Of Administrative Credit Controls TO Greek Industrial Sector Capital Asset Formation

2011 ◽  
Vol 12 (1) ◽  
pp. 15
Author(s):  
A. P. Bellas ◽  
A. S. Sougiannis
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Bank Lending ◽  
Industrial Sector ◽  
Capital Asset ◽  
Positive Role ◽  
Investment Activity ◽  
Industrial Firms ◽  
Business Behavior ◽  
The Impact

This article analyses the effects of Selective Credit Policies (S.C.P.s), pursued by greek monetary authorities over the period 1968-1987, on industrial business behaviour. Selective Credit Policies comprise the exogenous determination of the volume and structure of bank lending, as well as of the levels and term structure of interest rates. Business behavior as reflected in decisions affecting investment in plant and equipment, on the one hand, and liquid assets, on the other. Liquid assets include inventories, credit to customers and cash accounts.The conclusion of this study is that the S.C.P.s, although might have played some positive role in channeling long-term funds to industrial firms, they did not succeed in making any considerable contribution to capital asset formation. Conversely, the impact of investment inducing fiscal policies was proved to much stronger. Additionally, the combination of centrally administered nominal interest rates and high inflation rates that prevailed in the period under review, seriously limited any success of S.C.P.s in achieving the goals of promotion investment activity and the growth of industrial output.

scholarly journals The Term Structure of Interest Rates and its Impact on the Liability Adequacy Test for Insurance Companies in Brazil

2015 ◽  
Vol 26 (68) ◽  
pp. 223-236
Author(s):  
Antonio Aurelio Duarte ◽  
Aldy Fernandes da Silva ◽  
Luciano Vereda Oliveira ◽  
Elionor Farah Jreige Weffort ◽  
Betty Lilian Chan
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Cash Flow ◽  
Yield Curve ◽  
Spline Interpolation ◽  
Insurance Companies ◽  
Forward Rate ◽  
Insurance Company ◽  
Current Estimate ◽  
The Impact

<p>The Brazilian regulation for applying the Liability Adequacy Test (LAT) to technical provisions in insurance companies requires that the current estimate is discounted by a term structure of interest rates (hereafter TSIR). This article aims to analyze the LAT results, derived from the use of various models to build the TSIR: the cubic spline interpolation technique, Svensson's model (adopted by the regulator) and Vasicek's model. In order to achieve the objective proposed, the exchange rates of BM&FBOVESPA trading days were used to model the ETTJ and, consequently, to discount the cash flow of the insurance company. The results indicate that: (i) LAT is sensitive to the choice of the model used to build the TSIR; (ii) this sensitivity increases with cash flow longevity; (iii) the adoption of an ultimate forward rate (UFR) for the Brazilian insurance market should be evaluated by the regulator, in order to stabilize the trajectory of the yield curve at longer maturities. The technical provision is among the main solvency items of insurance companies and the LAT result is a significant indicator of the quality of this provision, as this evaluates its sufficiency or insufficiency. Thus, this article bridges a gap in the Brazilian actuarial literature, introducing the main methodologies available for modeling the yield curve and a practical application to analyze the impact of its choice on LAT.</p>

scholarly journals The impact of the Federal Reserve System’s interest rate channel on the components of aggregate demand

2021 ◽  
Vol 20 (3) ◽  
pp. 479-496
Author(s):  
Dominika Brózda-Wilamek
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Durable Goods ◽  
Aggregate Demand ◽  
The Past ◽  
Pass Through ◽  
Investment Spending ◽  
The Impact

Motivation: Monetary policy decisions, through the process of transmission mechanism, affect the term structure of nominal interest rates as well as other asset prices, and thus influences aggregate demand (e.g. consumer spending and business investments) and price levels through these effects. The aspect of monetary transmission to various components of aggregate demand has been relatively little studied in the literature of the subject. Aim: The main aim of the study is to empirically investigate the effect of the Fed’s monetary policy on major components of aggregate demand over the past 35 years. To this aim, the scale and timing of the interest rate pass-through to economic activity have been examined. Results: The empirical findings showed that that between 1984 and 2019, the sensitivity of consumption and investment expenditures to interest rate impulses were different. Firstly, fixed investment spending accounted for a significant part that was responsible for the response of real GDP following an interest rate shock. Secondly, in the case of personal consumption expenditures, expenses for durable goods were more sensitive to changes in the Fed’s interest rate than spending on services and nondurable goods. In this way, the study expands the existing literature by reporting the effects of the Fed’s monetary policy on major components of aggregate demand over the past 35 years

DAMPAK KEBIJAKAN FISKAL TERHADAP KINERJA SEKTOR PERTANIAN DI SULAWESI TENGGARA

2017 ◽  
Vol 1 (1) ◽  
Author(s):  
La Ode Jabuddin ◽  
Ayub M Padangaran ◽  
Azhar Bafadal Bafadal
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Agricultural Sector ◽  
Simultaneous Equations ◽  
Poor People ◽  
Land Area ◽  
Factors Affecting ◽  
Historical Simulation ◽  
The Impact ◽  
Direct Expenditure

This study aims to: (1) Knowing the dynamics of fiscal policy and the performance of the agricultural sector, (2) Analyze the factors that influence fiscal policy and the performance                   of the agricultural sector, and (3) Analyzing the impact of fiscal policy on the performance of the agricultural sector. The data used in this study were pooled 2005-2013 data in the aggregate. Econometric model the impact of fiscal policy on the performance of the agricultural sector is built in the form of simultaneous equations, consisting of 7 equations with 25 total variables in the model, 7 endogenous variables, 12 exogenous variables, and 6 variables lag. The model is estimated by 2SLS method SYSLIN procedures and historical simulation with SIMNLIN procedure.The results showed that: (1) The development of fiscal policy in Southeast Sulawesi from year to year tends to increase, (2) The performance of the agricultural sector from the aspect of GDP has decreased, from the aspect of labor is still consistent, in terms of investment to grow positively, and assign roles which means to decrease the number of poor people, (3) factors affecting fiscal policy is local revenues, equalization funds, other revenues, as well as the lag fiscal policy, (4) the factors that affect the performance of the agricultural sector from the aspect GDP is labor, direct expenditure and GDP lag; from the aspect of labor is the total labor force, investment, land area, direct expenditure, as well as the lag of labor; from the aspect of investment is influenced by GDP per capita, land area, interest rates and investment lag; as well as from the aspect of poor people, are affected by population, investments, direct expenditure and poverty lag, (5). Fiscal policy impact on the agricultural sector GDP increase, a decrease in the number of poor, declining agricultural laborers, and a decrease in the amount of investment in the agricultural sector.Keywords: Fiscal policy, the performance of the agricultural sector, the simultaneous equations

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