An inquiry concerning long-term U.S. interest rates using monthly data

Abstract

and Economics. The authors thank the participants of various seminars for their valuable suggestions. Disclaimer: The authors' institutional affiliations are provided solely for identification purposes. Views expressed are solely those of the authors and the standard disclaimer applies. The views are not necessarily those of Thrivent Financial, Thrivent Investment Management, or any affiliates. This is for information purposes only and should not be construed as an offer to buy or sell any investment product or service. Disclosure: Tanweer Akram's employer, Thrivent Financial, invests in a wide range of securities, including U.S. Treasury securities. Asset management services are provided by Thrivent Asset Management, LLC, a wholly owned subsidiary of Thrivent Financial for Lutherans.

An empirical analysis of long-term Brazilian interest rates

“…The vector error correction model (VECM) is used to test the hypothesis and estimate coefficients. The specification of the behavioral equations presented here are consistent with Keynesian models of government bonds yields, such as [29][30][31][32][33][34][35][36][37][38][39]. These behavioral equations are convenient and readily render themselves to empirical modeling.…”

“…The Keynesian approach to interest rate is represented in [1,[29][30][31][32][33][34][35][36][37][38][39][40][41][42][43][44][45]. The Keynesian approach on the dynamics of government bond market draws on a wide range of theoretical arguments in the literature, such as [46][47][48][49][50][51][52][53].…”

Some Empirical Models of Japanese Government Bond Yields Using Daily Data

“…This is a part of a broader research agenda of modeling the dynamics of government bond yields as being primarily driven by the central bank's actions. This view is articulated in Akram and Das (2015, Akram and Li (2016, 2019a, 2019b, Simoski (2019), Vinod, Chakraborty, and Karun (2014), and others. These authors have examined the dynamics of government bonds for several countries and regions, including advanced countries and regions, such as the United States and the eurozone, and emerging markets, such as India, Brazil, and Mexico.…”

“…The structure of empirical section is similar to that ofAkram and Li (2018 and2019b). However, a key difference is that this paper uses daily data.…”

A Keynesian Approach to Modeling the Long-Term Interest Rate

“…The Keynesian approach to modeling long-term government bond yields has been revamped in recent years in several empirical studies, such as Akram and Das (2015, 2017, 2019, Akram and Li (2020a, 2020b, 2020c, 2020d, Akram andUddin (2020, 2021), Chakraborty (2016), Das and Akram (2020), Gabrisch (2021), Levrero and Deleidi (2020), Rahimi (2014), Rahimi, Chu, and Lavoie (2017), Simoski (2019), andVinod, Chakraborty, andKarun (2014). There are also a few theoretical studies, such as Akram (2021aAkram ( , 2021b and Wray (1992), that have advanced the Keynesian approach to interest rate modeling, building on Keynes's approach to interest rate dynamics, as reflected in Keynes (1937) and Robinson (1951), and money and credit as articulated in Keynes (1930Keynes ( , [19362007) and the works of Keynesians, such as Lavoie (1984).…”