15 research outputs found
Explaining the US bond yield conundrum
We analyse if and to what extent fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the low levels of US bond yields over the last few years. For that purpose, we start with a general model of interest rate determination. The empirical part consists of a cointegration analysis with an error-correction mechanism. We are able to establish a stable long-run relationship and find that the behaviour of bond yields, even during the last years, can be well explained by macroeconomic and structural factors. Alongside the more traditional determinants like core inflation, monetary policy and the business cycle, we also include foreign holdings of US Treasuries. The latter should capture the frequently mentioned structural effects on long-term interest rates. Finally, our bond yield equation outperforms a random walk model in different forecasting exercises.
Is reversion to PPP in euro exchange rates non-linear?
Purchasing power parity, real exchange rate, non-linearities, STAR models, F31,
Productivity and the Euro-Dollar exchange rate
Real exchange rate, euro, US dollar, average labour productivity, cointegration,