United States Interest Rates Research Articles

아파트 매매가격, 전세가격, 월세가격 변동성 결정요인

In this study, the financial time series trend is predicted using Hamilton's Markov regime-switching model to observe the factors of apartment sales, jeonse, and monthly rent prices that change from time to time from a Markov perspective. Inflation since the coronavirus pandemic has pushed the United States interest rate higher, and South Korea is also raising its benchmark interest rate to stabilize the economy. Due to the impact of this increase in the base rate, the mortgage interest rate has also risen, which has a chain effect on the sale price of apartments, the price of jeonse, and the price of monthly rent. Changes in the trend over the long term can be interpreted as exogenous shocks, economic measures, or structural changes. As a result of the Markov model analysis, apartment sales prices, jeonse prices, and monthly rent prices all showed a higher probability of maintaining a recession period, and among them, the recession period for apartment sales price, and jeonse prices was relatively more likely to last longer. In the case of the expected duration period, the duration of the depression phase of apartment sales prices and jeonse prices was similar, while the duration of the depression phase of apartment monthly rent prices was short and highly volatile. As a cause of volatility, loan interest rates were found to be a determinant.

Impact of sentiment and monetary policy on Mexican tourism stock returns: the domestic and US role

PurposeThis paper focuses on the role of sentiment and monetary policy (both domestic and the United States (US)) in explaining the changes in the Mexican tourism firms' stock returns for the period 1998M03–2019M12.Design/methodology/approachThe authors conducted the ordinary least square regression estimations using various models to investigate the impact of sentiment and monetary policy changes on tourism firms' stock returns. Furthermore, to provide a robust check, the authors run all regression models based on the capital asset pricing model by regressing the excess returns of tourism firms' stocks on all independent variables.FindingsEmpirical findings reveal that the changes in Mexican consumer sentiment have a stronger positive effect on tourism firms' stock returns than Mexican business sentiment changes. However, the US consumer and business sentiment are irrelevant to tourism firms' stock returns. Moreover, this study’s results indicate that changes in the US interest rates positively influence tourism firms' stock returns. This study’s findings show that as the monetary divergence between Mexico and the US (differential real interest rates) widens, the lower is the tourism firms' stock returns.Originality/valueThis study is the first to extend the prior studies by examining the effects of sentiment and monetary policy (both domestic and US role) on Mexican tourism stock return.

Interest Rate Trends in a Global Context

Long-term interest rates have been falling globally since the early 1980s and have reached historically low levels. Past forecasts largely missed this secular decline. This paper reviews methodologies for making long-term interest rate projections. We synthesize results from studies that use long historical series and cross-country data to estimate the trend and decompose it into components. We then construct a set of economic indicators that are potentially useful in interest rate forecasting. We add international, forward-looking economic indicators as explanatory variables in a standard macrofinance forecasting model. We find that the model with international variables can outperform the other models by better tracking the falling trajectory of United States interest rates in the post-2008 period, a trend missed by domestic variables. Further, we find that global economic indicators, especially the composite leading indicator for the European Union, are capable of accounting for a large portion of yield variance not only in the U.S. but in other advanced economies as well.

A regression and comparative study of United States and South African yield curves using principal component analysis

Volatile markets and economic environments can significantly distort the shape and smoothness of yield curve movements. This study explores the influence of movements in United States interest rates on South African interest rates. This study aims to identify the main underlying movements present in the United States and South African yield curves and to further determine the dominant factors that are responsible for driving South African interest rate movements. The principal settings for the study were the United States and South African markets representing, respectively, a developed and developing market. Principal component analysis was used to discern the major drivers of developing and developed market interest rates. The findings show that the principal component analysis technique is able to effectively classify and quantify the movements of yield curves across both markets in terms of three main factors, namely level, slope and curvature shifts. During certain periods, South African yield curve changes were largely driven by variations in United States interest rates and the rand/dollar exchange rate. Results also demonstrated that a volatile market and economic environment can significantly distort the shape and smoothness of yield curve movements.

Dependence Structure between Oil Prices, Exchange Rates, and Interest Rates

This article unveils the dependence structure between crude oil prices, exchange rates, and the United States interest rates. We begin by using asymmetric GARCH models to examine the marginal behavior of the returns, and then various copulas are used to understand extreme market co-movements. We also investigate the causal relationship and the spillover effects by using the Granger causality test and the BEKK representation of a multivariate GARCH process. Over the 1998-2017 period, we find evidence of an inverse relationship between the U.S. interest rates and the crude oil prices. Oil-exchange rate linkages become stronger for most of the oil dependent countries considered in this article in the aftermath of the global financial crisis. There is also asymmetric tail dependence for almost all of the oil-exchange rate pairs. The results of Granger causality tests mainly indicate that crude oil prices Granger cause exchange rates. We also find that there are unidirectional volatility spillovers from WTI to exchange rates for oil exporting countries and to the U.S. interest rates. These findings provide important implications for investors to hedge the possible risk with international portfolio diversification.

Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile

Fecha de recepcion: enero de 2015 Fecha de aceptacion: enero de 2016 revista de economia del caribe n°. 17 issn: 2011-2106 (impreso) issn: 2145-9363 (on line) * Economista, Universidad del Valle (Colombia). Integrante del Grupo de Macroeconomia Aplicada y Economia Financiera de esa misma universidad. El trabajo de grado para optar por el titulo de economista de este autor fue realizado en el marco del proyecto de investigacion del que surgio este articulo. carlos.daza.moreno@correounivalle.edu.co ** Profesor del Departamento de Economia de la Universidad del Valle (Colombia). Director del grupo de Macroeconomia Aplicada y Economia Financiera de esa misma universidad. El autor agradece el apoyo de la Universidad del Valle en tiempo y recursos. jorge.uribe@correounivalle.edu.co articulo de investigacion

Spillovers of United States and People's Republic of China Shocks on Small Open Economies: The Case of Indonesia

This paper examines the impact of certain external shocks originating from the United States (US) and People’s Republic of China (PRC) on Indonesia as a small open economy. The spillover effects of tapering off, an interest rate hike, exchange rate devaluation, and real gross domestic product (GDP) are analyzed. Two versions of the global vector autoregression model are employed, which covers 33 countries and considers both financial and trade relations among countries. Spillover assessments are conducted through impulse responses with 1,000 bootstrap replications, and compared to the responses of peer countries.The results suggest that the main risk for Indonesia’s real GDP is a shock to the PRC's real GDP, while a US interest rate hike is the greatest risk to Indonesia’s exchange rate depreciation in the short term, especially compared to the US tapering off. Moreover, the dominant transmission channel of US monetary tightening is through finance, dampening economic growth in small open economies.

Determinant of Foreign Direct Investment in Indonesia Plantation Sector

Realization of investment in Indonesia is dominated by foreign investors where capital intensive sector such as mining industry is the primary focus. To strengthen their roles in national economies, foreign investors should be directed to plantation sector since it has huge role in labor absorption and positive trade balance. According to MP3EI, realization of investment in plantation sector has reached 2.29 percent in march 2013 which was still below of target. This research aimed to analyze determinants of foreign direct investment conducted vector error correction model analysis and formulated strategies by using SWOT matrix to increase Indonesia plantation sector. Variables used in this model were foreign direct investment, exports value, exchange rates, domestic interest rates, interest rates in United State of America, consumer price index, gross domestic product and crisis as dummy variable. The strategy alternatives were formulated by SWOT model based on the questionnaire and respondents interview designed in analytical hierarchy process framework. The result from model suggested that in the short term exchange rate, value of exports, United States interest rates, gross domestic product and consumer price index had positive impact to foreign direct investment. On the other side crisis had negative impact. Meanwhile in long term, domestic interest rates, gross domestic product and consumer price index had positive impact but crisis had negative contribution. The strategy priority to increase foreign direct investment in Indoensia plantation sector can be undertaken through harmonization between central and local governments regulations. Keywords: Foreign Direct Investment, Vector Error Correction Model, SWOT Matrix

US Long-Term Interest Rates and Capital Flows to Emerging Economies

This paper studies the association between United States (US) long-term interest rates and cycles of capital flows to emerging market economies (EMEs). It finds that cycles in capital flows to EMEs are linked to global conditions, including interest rates in the US. In particular, higher US long-term interest rates are associated with lower levels of gross capital flows to EMEs, and to a higher probability of observing sharp reversals in those flows. Episodes of sharp reversals of net capital flows, on the other hand, are mostly associated with domestic macroeconomic conditions and not necessarily with global factors such as US interest rates.

Trilemma Challenges for the People's Republic of China

This paper first reviews recent developments in exchange rate regimes, capital account liberalization, interest rate liberalization, and monetary policymaking in the People's Republic of China (PRC). It then observes that the PRC's monetary policy autonomy may have been reduced with falling capital control effectiveness and a rigid exchange regime that is still tightly managed against the United States (US) dollar. This hypothesis is investigated empirically using both the Taylor rule and a McCallum-like rule to test whether the PRC's money market interest rate and/or quantity of money supply are being increasingly influenced by the US interest rate or reserve accumulation. The paper concludes that there is considerable evidence suggesting diminishing monetary policy autonomy in the PRC. To regain policy autonomy, the monetary authority needs to substantially increase exchange rate flexibility of the renminbi as long as it continues to pursue capital account opening.

Trilemma Challenges for the People's Republic of China

This paper first reviews recent developments in exchange rate regimes, capital account liberalization, interest rate liberalization, and monetary policymaking in the People's Republic of China (PRC). It then observes that the PRC's monetary policy autonomy may have been reduced with falling capital control effectiveness and a rigid exchange regime that is still tightly managed against the United States (US) dollar. This hypothesis is investigated empirically using both the Taylor rule and the McCallum-like rule to test whether the PRC's money market interest rate and/or quantity of money supply are being increasingly influenced by the US interest rate or reserve accumulation. The paper concludes that there is considerable evidence suggesting diminishing monetary policy autonomy in the PRC. To regain policy autonomy, the monetary authority needs to substantially increase exchange rate flexibility of the renminbi as long as it continues to pursue capital account opening.

Multivariate functional-coefficient regression models for nonlinear vector time series data

SUMMARY Vector time series data are widely found in practice. In this paper we propose a multivariate functional-coefficient regression model with heteroscedasticity for modeling such data. The local linear smoother is employed to estimate the unknown coefficient matrices. Asymptotic normality 10 of the proposed estimators is established, and bandwidth selection is considered. To deal with cointegration widely observed in financial markets, we propose an error-corrected multivariate functional-coefficient model. Simulations show that the proposed estimation procedures capture nonlinear structures of coefficients well. Analysis of United States interest rates illustrates the proposed methodology. 15

International monetary transmission in East Asia: Floaters, non-floaters, and capital controls

This paper analyzes the impacts of the United States (US) monetary shocks on East Asian countries using structural vector-autoregression (VAR) model. We find that the impacts of the US monetary shocks on East Asian domestic interest rates and exchange rates contradict conventional wisdom. The conventional exchange rate channel is unlikely to play much role in the transmission of the US monetary policy shocks to floaters in East Asian countries, excluding Japan. In these countries, the domestic interest rates respond strongly to the US interest rate changes, by giving up monetary autonomy, probably because of fear of floating. However, the domestic interest rate does not respond much in countries with fixed exchange rate regimes and capital account restrictions, such as China and Malaysia. This may suggest that the countries with fixed exchange rate regimes enjoy a higher degree of monetary autonomy, most likely with the help of capital account restrictions.

International Monetary Transmission and Exchange Rate Regimes: Floaters vs. Non-Floaters

This paper analyzes the impact of United States (US) monetary shocks on the economies of selected East Asian countries using a structural vector autoregression model. We found that the impacts of the US monetary shocks on domestic interest rates and exchange rates contradict conventional wisdom. The conventional exchange rate channel is unlikely to play much role in the transmission of US monetary policy shocks to floating exchange rate regimes in East Asian countries, excluding Japan. In these countries, the domestic interest rate responds strongly to US interest rate changes, largely by authorities giving up monetary autonomy due to fear of floating. On the other hand, the domestic interest rate does not respond much to changes in US rates in the countries with a fixed exchange rate regime and capital account restrictions, such as the People’s Republic of China and Malaysia. This may suggest that the countries with a fixed exchange rate regime enjoy a higher degree of monetary autonomy, probably with the help of capital account restrictions.

United States interest rates, Latin American debt and financial contagion

This article analyses the way in which Latin American bond spreads were affected by the changes in United States interest rates in the second half of the 1990s. Empirical analysis shows that, contrary to theory, in this period the spreads of emerging market bonds and United States interest rates moved in opposite directions; that there was financial contagion; that contraction of liquidity and financial contagion can offset the effects of those interest rates on the spreads of emerging market bonds at times of economic and financial turbulence and thus become the most important factors in the evolution of those spreads; and that the increased financial integration associated with the current globalization process has heightened the vulnerability of the developing economies to external shocks.

Realignment expectations and the US dollar, 1890–1897: Was there a ‘Peso problem’?

We investigate dollar–sterling exchange rate expectations during the period 1890–1908. We show that the dollar faced a ‘Peso problem’ in that for much of the period financial markets expected it to depreciate against sterling, but this never in fact happened – i.e. expectations were persistently biased. Drawing on the economic history of the period we identify 11 ‘events’ which probably gave rise to realignment expectations. Once the dollar's adherence to the gold standard was settled as a political matter in the 1896 Presidential Election expectations of dollar realignment abruptly subsided and United States interest rates fell relative to British rates.