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

References

• Akram, T. 2014. “The Economics of Japan’s Stagnation.” Business Economics 49 (3): 156–175. doi:10.1057/be.2014.19.
   Google Scholar
• Akram, T., and A. Das. 2014. “Understanding the Low Yields of the Long-Term Japanese Sovereign Debt.” Journal of Economic Issues 48 (2): 331–340. doi:10.2753/JEI0021-3624480206.
   Web of Science ®Google Scholar
• Akram, T., and A. Das. 2015. “A Keynesian Explanation of Indian Government Bond Yields.” Journal of Post Keynesian Economics 38 (4): 565–587. doi:10.1080/01603477.2015.1090294.
   Web of Science ®Google Scholar
• Akram, T., and A. Das. 2017a. “The Long-Run Determinants of Indian Government Bond Yields.” Levy Economics Institute Working Paper No. 881. http://www.levyinstitute.org/pubs/wp_881.pdf
   Google Scholar
• Akram, T., and A. Das. 2017b. “The Dynamics of Government Bond Yields in the Eurozone.” Annals of Financial Economics 12 (3): (September) 1750011-1-1750011-18. doi:10.1142/S2010495217500117.
   Web of Science ®Google Scholar
• Akram, T., and H. Li. 2016. “The Empirics of Long-Term US Interest Rates.” Levy Economics Institute Working Paper No. 863. http://www.levyinstitute.org/pubs/wp_863.pdf
   Google Scholar
• Akram, T., and H. Li. 2017a. “What Keeps Long-Term U.S. Interest Rates So Low?” Economic Modelling 60: 380–390. doi:10.1016/j.econmod.2016.09.017.
   Web of Science ®Google Scholar
• Akram, T., and H. Li. 2017b. “An Inquiry Concerning Long-term US Interest Rates Using Monthly Data.” Levy Economics Institute Working Paper No. 894 (August). http://www.levyinstitute.org/pubs/wp_894.pdf
   Google Scholar
• Akram, T., and H. Li. 2018. “The Dynamics of JGBs’ Nominal Yields.” Levy Economics Institute Working Paper No. 906 (May). http://www.levyinstitute.org/pubs/wp_906.pdf
   Google Scholar
• Baldacci, E., and M. Kumar. 2010. “Fiscal Deficits, Public Debt, and Sovereign Bond Yields.” IMF Working Paper No. 10/184. Washington, DC: International Monetary Fund. doi: 10.5089/9781455202188.001.
   Google Scholar
• Bindseil, U. 2004. Monetary Policy Implementation: Theory, Past, and Present. Oxford, UK and New York: Oxford University Press.
   Google Scholar
• Brown, R. L., J. Durbin, and J. M. Evans. 1975. “Techniques for Testing the Constancy of Regression Relationships over Time.” Journal of the Royal Statistical Society, Series B 37 (2): 149–192. http://www.jstor.org/stable/2984889
   Google Scholar
• Davidson, P. 2011. Post Keynesian Macroeconomic Theory. second ed. Cheltenham, UK and Northampton, MA: Edward Elgar.
   Google Scholar
• Davidson, P. 2015. Post Keynesian Theory and Policy: A Realistic Analysis of the Market Oriented Capitalist Economy. Cheltenham, UK and Northampton, MA: Edward Elgar.
   Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74 (366): 427–431. doi:10.1080/01621459.1979.10482531.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49 (4): 1057–1072. http://www.jstor.org/stable/1912517
   Web of Science ®Google Scholar
• Engle, R. F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55 (2): 251–276. http://www.jstor.org/stable/1913236
   Web of Science ®Google Scholar
• Fullwiler, S. T. 2016. “The Debt Ratio and Sustainable Macroeconomic Policy.” World Economic Review 7: 12–42. http://wer.worldeconomicsassociation.org/files/WEA-WER-7-Fullwiler.pdf
   Google Scholar
• Gregory, A. W., and B. E. Hansen. 1996. “Residual-Based Tests for Cointegration in Models with Regime Shifts.” Journal of Econometrics 70 (1): 99–126. doi:10.1016/0304-4076(69)41685-7.
   Web of Science ®Google Scholar
• Gregory, A. W., J. M. Nason, and D. G. Watt. 1996. “Testing for Structural Breaks in Cointegrated Relationships.” Journal of Econometrics 71 (1–2): 321–341. doi:10.1016/0304-4076(96)84508-8.
   Web of Science ®Google Scholar
• Gruber, J. W., and S. B. Kamin. 2012. “Fiscal Positions and Government Bond Yields in OECD Countries.” Journal of Money, Credit, and Banking 44 (8): 1563–1587. doi:10.1111/j.1538-4616.2012.00544.x.
   Web of Science ®Google Scholar
• Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12 (2): 231–254. doi:10.1016/0165-1889(88)90041-3.
   Web of Science ®Google Scholar
• Johansen, S. 1991. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica 59 (6): 1551–1580. http://www.jstor.org/stable/2938278
   Web of Science ®Google Scholar
• Johansen, S. 1995. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford, UK: Clarendon Press.
   Google Scholar
• Johansen, S., and K. Juselius. 1990. “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52 (2): 169–210. doi:10.1111/j.1468-0084.1990.mp52002003.x.
   Web of Science ®Google Scholar
• Keynes, J. M. 1930. A Treatise on Money, Vol. II: The Applied Theory of Money. London: Macmillan.
   Google Scholar
• Keynes, J. M. 2007 [1936]. The General Theory of Employment, Interest, and Money. New York: Palgrave Macmillan.
   Google Scholar
• Kregel, J. 2011. “Was Keynes’ Monetary Policy, À Outrance in the Treatise, A Forerunner of ZIRP and QE? Did He Change His Mind in the General Theory?” Levy Economics Institute, Policy Note No. 2011/4. http://www.levyinstitute.org/pubs/pn_11_04.pdf
   Google Scholar
• Lam, R. W., and K. Tokuoka. 2013. “Assessing the Risks to the Japanese Government Bond (JGB) Market.” Journal of International Commerce, Economics and Policy 4 (1): 1350002-1–1350002-15. doi:10.1142/S1793993313500026.
   Google Scholar
• Lavoie, M. 2009 [2007]. Introduction to Post-Keynesian Economics, Paperback Edition. Hampshire, UK: Palgrave Macmillan.
   Google Scholar
• Lavoie, M. 2014. Post-Keynesian Economics: New Foundations. Cheltenham, UK and Northampton, MA: Edward Elgar.
   Google Scholar
• MacKinnon, J. G. 1991. “Critical Values for Cointegration Tests.” In Long-Run Economic Relationships: Readings in Cointegration, edited by R. F. Engle and C. W. J. Granger, 267–276. Oxford, UK: Oxford University Press.
   Google Scholar
• Macrobond. Various years. Macrobond subscription services. Accessed 30 December 2018. https://www.macrobond.com
   Google Scholar
• Paccagnini, A. 2016. “The Macroeconomic Determinants of the US Term Structure during the Great Moderation.” Economic Modelling 52 (A): 216–225. doi:10.1016/j.econmod.2014.11.013.
   Web of Science ®Google Scholar
• Pesaran, M. H., and Y. Shin. 1999. “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis.” In Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, edited by S. Strom, 371–413. Cambridge, UK: Cambridge University Press.
   Google Scholar
• Pesaran, M. H., Y. Shin, and R. J. Smith. 1999. “Bounds Testing Approaches to the Analysis of Long Run Relationships.” Edinburgh School of Economics, Discussion Paper Series No. 46. Edinburgh: Edinburgh School of Economics. http://www.econ.ed.ac.uk/papers/id46_esedps.pdf
   Google Scholar
• Pesaran, M. H., Y. Shin, and R. J. Smith. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16 (3): 289–326. doi:10.1002/jae.616.
   Web of Science ®Google Scholar
• Phillips, P. C. B., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–346. doi:10.1093/biomet/75.2.335.
   Web of Science ®Google Scholar
• Poghosyan, T. 2014. “Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies.” Economic Systems 38 (1): 100–114. doi:10.1016/j.ecosys.2013.07.008.
   Web of Science ®Google Scholar
• Reinhart, C. M., and K. S. Rogoff. 2009. This Time Is Different: Eight Centuries of Financial Folly. Princeton, NJ: Princeton University Press.
   Google Scholar
• Riefler, W. W. 1930. Money Rates and Money Markets in the United States. New York, NY and London, UK: Harper & Brothers.
   Google Scholar
• Shehata, E. A. E. 2011. “CHOWREG: Stata Module to Estimate Structural Change Regressions and Compute Chow Test.” Giza, Egypt: Agricultural Research Center, Agricultural Economics Research Institute. http://fmwww.bc.edu/repec/bocode/c/chowreg.ado
   Google Scholar
• Shrestha, M. B., and K. Chowdhury. 2005. “ARDL Modelling Approach to Testing the Financial Liberalisation Hypothesis.” Working Paper 05-15. Wollongong, New South Wales: Department of Economics, University of Wollongong. http://ro.uow.edu.au/cgi/viewcontent.cgi?article=1122&context=commwkpapers
   Google Scholar
• Sims, C. 2013. “Paper Money.” American Economic Review 103 (2): 563–584. doi:10.1257/aer.103.2.563.
   Web of Science ®Google Scholar
• Tcherneva, P. R. 2011. “Bernanke’s Paradox: Can He Reconcile His Position on the Federal Budget with His Recent Charge to Prevent Deflation?” Journal of Post Keynesian Economics 33 (3): 411–434. doi:10.2753/PKE0160-3477330301.
   Web of Science ®Google Scholar
• Tokuoka, K. 2012. “Intergenerational Implications of Fiscal Consolidation in Japan.” IMF Working Paper No. 12/197. http://www.imf.org/external/pubs/ft/wp/2012/wp12197.pdf
   Google Scholar
• Woodford, M. 2001. “Fiscal Requirements for Price Stability.” Journal of Money, Credit and Banking 33 (3): 669–728. http://www.jstor.org/stable/2673890
   Web of Science ®Google Scholar
• Wray, L. R. 2003 [1998]. Understanding Modern Money: The Key to Full Employment and Price Stability, Paperback Edition. Cheltenham, UK and Northampton, MA: Edward Elgar.
   Google Scholar
• Wray, L. R. 2012. Modern Money Theory: A Primer on Macroeconomics for Sovereign Monetary Systems. New York: Palgrave Macmillan.
   Google Scholar