Forecasting Canadian Short-Term Interest Rates
In: The Canadian Journal of Economics, Band 29, Heft 3, S. 615
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In: The Canadian Journal of Economics, Band 29, Heft 3, S. 615
In: Journal of Financial Economics (JFE), Band 141, Heft 2
SSRN
In: Contributions to Economics; Economic Spillovers, Structural Reforms and Policy Coordination in the Euro Area, S. 27-53
In: The journal of business, Band 65, Heft 3, S. 395
ISSN: 1537-5374
SSRN
Working paper
In: Journal for studies in economics and econometrics: SEE, Band 4, Heft 3, S. 39-77
ISSN: 0379-6205
This paper analyzes the implications of a general representative agent intertemporal asset pricing model on the determination of the short term interest rates. The model includes an extension of the Non-expected Utility Isoelastic Preferences that incorporates non-separability between private consumption and government expenditure. The model yields a generalized Fisher equation where the nominal interest rates are explained by the expected depreciation of the purchasing power of money, an endogenously determined required risk free rate and an inflation risk premium. The econometric estimations suggest that the common rejection of the Fisher hypothesis can be, at least, partially explained by the traditional use of ad|hoc misspecified models. On the other hand, while the inflation risk premium is estimated to be small relative to the ex-ante real interest rate, its magnitude is substantially higher than the one obtained under the standard single-good expected utility models
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In: ECB Working Paper No. 2131, ISBN: 978-92-899-3236-3
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Working paper
In: Journal of post-Keynesian economics, Band 9, Heft 4, S. 632-641
ISSN: 1557-7821
In: Revue économique, Band 19, Heft 3, S. 532
ISSN: 1950-6694
In: ShanghaiTech SEM Working Paper No. 2020-003
SSRN
Working paper
In: Journal of Monetary Economics, Band 12, Heft 4, S. 485-518
In: Economica, Band 34, Heft 135, S. 344
This study examines the impact of short- term interest rates on bank funding costs in South Africa. Literature suggests that rising short- term interest rates may cause similar financial crises experienced in 2007/08 (Bonner & Eijffinger, 2013; Turner, 2013; Saraç & Karagoz, 2016). It is vital to study short- term interest rates and bank funding costs in order to achieve financial stability. The study uses quarterly time series data for the period 2000 to 2014. To estimate the regression, the study uses the Vector Autoregressive model (VAR) and the data is found stationary at first difference. The 3 months Johannesburg Interbank Agreed Rate (JIBAR) is used as a proxy for bank funding costs whilst the prime overdraft rate, 10 -year government bonds and capital ratio are used as proxies for short- term, long- term interest rates and bank capital, respectively. The results show a positive and significant long- term relationship between the variables. The results for prime overdraft rate, 10 -year government bonds and capital ratio conform to the apriori expectations. For GDP growth the results show a positive relationship which does not conform to apriori expectations. Using the variance decomposition, the study illustrates fluctuations in JIBAR was due to changes in its value and fluctuations in the prime rate are also due to JIBAR. The study presents policy options whereby regulatory efforts need to strengthen the capital buffers of banks to reduce bank funding costs and therefore reduce short- term interest rates imposed on borrowers.
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