Zmiany stopy procentowej Narodowego Banku Polskiego w XXI w. na tle reguły Taylora

We examine the sensitivities of aggregate balances of retail and institutional money market funds (MMFs) and their potential substitutes, bank deposits, to changes in short-term interest rates while controlling for calendar-time effects. We find that institutional MMF and time deposit cash flows are sensitive to recent changes in short-term interest rates. Institutional MMF investors appear to take advantage of arbitrage opportunities created by MMFs using the amortized cost technique. Retail MMF investors are much less responsive to changes in interest rates.

Term Structure and the Sluggishness of Retail Bank Interest Rates in Euro Area Countries

John Maynard Keynes held that the central bank’s actions mainly determine long-term interest rates through short-term interest rates and various monetary policy measures. His conjectures about the determinants of long-term interest rates were made in the context of advanced capitalist economies and were based on his views on liquidity preference, ontological uncertainty, and the formation of investors’ expectations. Is Keynes’s conjecture that the central bank’s action is the main driver of long-term interest rates valid in emerging markets, such as India? This paper empirically investigates the determinants of changes in Indian government bonds’ nominal yields. Changes in short-term interest rates, after controlling for other crucial variables, such as changes in the rate of inflation and the rate of economic activity, take a lead role in driving the changes of the nominal yields of Indian government bonds. This suggests that Keynes’s views on long-term interest rates can also be applicable to emerging markets. The empirical findings reveal that higher fiscal deficits do not appear to exert upward pressures on government bond yields in India.

This paper assesses the fundamental determinants of changes in the long-term interest rate. Most recent studies of bond rates have emphasized the term structure relations between the bond rate and short-term interest rates.1 Although we recognize that the individual investor is very much influenced by arbitrage opportunities between different maturities, we wish to look behind the intercorrelated structure of interest rates to the economic forces that shift the entire level of interest rates. The result of our analysis is a synthesis of Keynes' theory of liquidity preference and Fisher's model of the role of anticipated inflation. Our estimates also show the importance of the public debt and of investors' expectations of future changes in the interest rate. We begin our study (section I) by considering a very simple, but nevertheless effective, liquidity preference theory. This is then generalized in a variety of ways by subsequent sections. Section II introduces the important effects of expected inflation, emphasized by Irving Fisher as early as 1896, but generally ignored by economists in more recent years. In section III, the liquidity preference theory is extended to a more general portfolio balance model by introducing privately held government debt. Section IV explicitly considers the implications of expected interest rate changes. Finally, section V examines flow disturbances that may cause the interest rate to depart from the equilibrium level. In sections I through V, the analysis deals with the average yield to maturity on Moody's Aaa corporate bonds, i.e., high grade bonds that are already several years old and have approximately 25 years to maturity. The yield to maturity includes a capital gain (or loss) if the current market price of the bond is less than (or greater than) the redemption value. No allowance is made for the special tax status of capital gains and the resulting distortion in yields during periods of substantial changes in coupon rates. To remedy this, section VI applies the generalized liquidity preference inflation model of section V to the yield on newly issued Moody's Aaa bonds instead of the yield on seasoned bonds. Section VII uses the generalized liquidity preference inflation equation to decompose the change in interest rates since 1954 into the separate effects of the several variables. A concluding section summarizes the results. The estimates generally relate to the 62 quarters from 1954:1 through 1969:2. The use of this period avoids the special characteristics imposed on the bond market by government behavior before the Treasury accord and unpegging of interest rates in 1951. Further details about the definitions of the variables used and the methods of estimation are discussed in the sections that follow.

Does Keynesian Theory Explain Indian Government Bond Yields?

Comment

This paper uses data of the Turkish banking sector to investigate whether the stance of monetary policy has an impact on the level of risk of individual bank loans. Using bank level quarterly data over the period 2003q1-2012q3 a dynamic panel data model is estimated. There is a positive relationship between the changes in shortterm interest rates and banks risk taking. This result reflects that a decrease in short term interest rates has a positive impact on the loan portfolio via outstanding loans. However, negative relationship was found between the interest rate falling below benchmark rate and the risk taking by banks. The magnitude of this effect decreases in the large scale and high liquidity level of the banks. According to these results, it was concluded that low interest rates in Turkish banking system affects risk taking of the banks in the period of 2003q1-2012q3. These results are important for developing and conducting monetary policy. This study adds to the literature on risk-taking channel by providing evidence from an emerging market. Moreover, benchmark rate obtained by estimating Taylor rule for the above-mentioned period

When the Federal Reserve reduces the size of its balance sheet through quantitative tightening, 1 changes in nonreserve liabilities impact the level of reserves in the U.S. banking system.2 In this article, I examine the category of “other deposits” on the liability side of the Fed’s balance sheet—namely, the deposits with Federal Reserve Banks other than bank reserve balances—to understand its evolution since March 2020, when the Covid-19 pandemic hit the U.S. I find that deposits of U.S. central counterparties (CCPs)3 at the Federal Reserve Banks (what I am referring to as “CCP deposits”) now account for most of these other deposits with the Fed. I also find some evidence that the balances of CCP deposits are sensitive to changes in short-term interest rates.

Monetary policy in a world of radical uncertainty

The effects of increasing versus decreasing interest rates on economic performance differ in an economy. In Türkiye, members of the Central Bank’s Monetary Policy Committee are criticized by governments when interest rates are increased and praised when they are decreased. Therefore, we examine whether there is a psychological motive for the Committee’s actions when interest rates need to be increased or decreased. In this study, Bai and Ng’s symmetry tests are applied to the Central Bank’s interest rate decisions. The results show that Türkiye’s short-term interest rate changes are positively skewed, which suggests that the Central Bank is more likely to decrease rather than increase interest rates when needed. Thus, interest rate increases occur less frequently than decreases, as suggested by positive skewness (third moment), and have larger magnitudes in raises, as suggested by hyperskewness (fifth moment). Implementing legal and institutional reforms to protect members of the Monetary Policy Committee from political pressure could therefore be a vital step. This could include terms of appointment that ensure longer tenure and protection against arbitrary dismissal; clear legal mandates that prioritize economic objectives such as price stability and financial stability; and statutory provisions that limit the government’s ability to interfere in monetary policy decisions.

Can US Stocks Provide a Safe Haven from Interest and Inflation Risk? A Sector Level Examination of the Response to Unanticipated Nominal, Real Interest and Inflation Rate Shocks

The key question asked by standard monetary models used for policy analysis is, How do changes in short-term interest rates affect the economy? All of the standard models imply that such changes in interest rates affect the economy by altering the conditional means of the macroeconomic aggregates and have no effect on the conditional variances of these aggregates. We argue that the data on exchange rates imply nearly the opposite: the observation that exchange rates are approximately random walks implies that fluctuations in interest rates are associated with nearly one-for-one changes in conditional variances and nearly no changes in conditional means. In this sense, standard monetary models capture essentially none of what is going on in the data. We thus argue that almost everything we say about monetary policy using these models is wrong.

The key question asked by standard monetary models used for policy analysis is, How do changes in short-term interest rates affect the economy? All of the standard models imply that such changes in interest rates affect the economy by altering the conditional means of the macroeconomic aggregates and have no effect on the conditional variances of these aggregates. We argue that the data on exchange rates imply nearly the opposite: the observation that exchange rates are approximately random walks implies that fluctuations in interest rates are associated with nearly one-for-one changes in conditional variances and nearly no changes in conditional means. In this sense, standard monetary models capture essentially none of what is going on in the data. We thus argue that almost everything we say about monetary policy using these models is wrong.

This paper studies the transmission of changes in short-term interest rates to longer-term government bond yields when interest rates are at very low levels or negative. We focus on Switzerland, where short-term interest rates have been at zero since late 2008 and negative since the beginning of 2015. The expectations hypothesis of the term structure implies that as nominal interest rates approach their lower bound, the effect of short-term rates on longer-term yields should decline, and positive short rate changes should have larger absolute effects than negative short rate changes. Contrary to studies of other countries, we find no evidence for a decline in the effect of short rate changes for the low-interest rate period using Swiss data. However, we do find evidence for the predicted asymmetric effect for positive and negative short rate changes during the period when short-term rates are close to zero. This asymmetry normalized again after the introduction of negative interest rates.

Purpose: The aim of the study was to assess the effect of interest rate changes on stock market volatility in Congo. Methodology: This study adopted a desk methodology. A desk study research design is commonly known as secondary data collection. This is basically collecting data from existing resources preferably because of its low cost advantage as compared to a field research. Our current study looked into already published studies and reports as the data was easily accessed through online journals and libraries. Findings: Changes in interest rates have a notable impact on stock market volatility. When central banks adjust interest rates, it influences investor sentiment and economic forecasts. Typically, an increase in interest rates makes borrowing more expensive, which can dampen corporate profits and economic growth, leading to higher market volatility as investors reassess the value of stocks. Conversely, a decrease in interest rates generally lowers borrowing costs, potentially boosting corporate earnings and economic expansion, which can initially reduce market volatility. However, the long-term effects might differ as lower rates can also lead to overvaluation concerns, eventually increasing volatility. Additionally, interest rate changes signal monetary policy shifts and broader economic conditions, further influencing investor behavior and stock market dynamics. Overall, interest rate fluctuations are a critical factor contributing to stock market volatility through their direct and indirect effects on economic activities and investor perceptions. Implications to Theory, Practice and Policy: Efficient market hypothesis, portfolio theory and behavioral finance theory may be used to anchor future studies on assessing the effect of interest rate changes on stock market volatility in Congo. For practical implications, investors and financial institutions should develop risk management strategies that account for the short-term volatility spikes following interest rate announcements. From a policy perspective, policymakers should consider the lagged effects of interest rate changes when formulating monetary policy to ensure smoother market transitions.