Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/273873 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Working Paper No. 1011
Verlag: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
Zusammenfassung: 
John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper investigates whether Keynes's conjecture also holds for the monthly changes in US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach. The econometric modeling reveals that there is statistically significant effect on the monthly changes in the Treasury bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic and financial control variables. The findings from the econometric models that are estimated render a perspicacious Keynesian perspective on key policy questions and contemporary debates in macroeconomics and finance.
Schlagwörter: 
Interest Rate Swaps
Swap Yields
Short-Term Interest Rate
Monetary Policy
Federal Reserve
John Maynard Keynes
JEL: 
E43
E50
E58
E60
G10
G12
Dokumentart: 
Working Paper

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