Multifactor Keynesian models of the long-term interest rate

References

• Akram, T. 2021a. “A Note Concerning the Dynamics of Government Bond Yields.” The American Economist 66 (2): 323–339. doi:10.1177/0569434520988275.
   Google Scholar
• Akram, T. 2021b. “A Simple Model of the Long-Term Interest Rate.”Journal of Post Keynesian Economics: 1–15. (available online first). doi:10.1080/01603477.2021.1878906.
   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. 2017. “The Dynamics of Government Bond Yields in the Eurozone.” Annals of Financial Economics 12 (3): 1750011–1750018. September. doi:10.1142/S2010495217500117.
   Web of Science ®Google Scholar
• Akram, T., and A. Das. 2019. “The Long-Run Determinants of Indian Government Bond Yields.” Asian Development Review 35 (1): 168–295. doi:10.1162/adev_a_00127.
   Google Scholar
• Akram, T., and A. Das. 2020. “Australian Government Bonds’ Nominal Yields: A Keynesian Perspective.” Annals of Financial Economics 15 (1): 2050003–1 2050003-20. doi:10.1142/S2010495220500037.
   Google Scholar
• Akram, T., and H. Li. 2017. “What Keeps Long-Term U.S. Interest Rates So Low?” Economic Modelling 60 (January): 380–390. doi:10.1016/j.econmod.2016.09.017.
   Google Scholar
• Akram, T., and H. Li. 2020a. “An Inquiry Concerning Long-Term U.S. Interest Rates Using Monthly Data.” Applied Economics 52 (24): 2594–2621. doi:10.1080/00036846.2019.1693696.
   Web of Science ®Google Scholar
• Akram, T., and H. Li. 2020b. “JGBs’ Chronically Low Nominal Yields: A VEC Approach.” Applied Economics 52 (53): 5873–5893. doi:10.1080/00036846.2020.1776838.
   Web of Science ®Google Scholar
• Akram, T., and H. Li. 2020c. “The Empirics of UK Gilts’ Yields.” Levy Institute Working Paper, No. 969. http://www.levyinstitute.org/pubs/wp_969.pdf
   Google Scholar
• Akram, T., and H. Li. 2020d. “An Analysis of the Impact of the Bank of Japan’s Monetary Policy on Japanese Government Bonds’ Low Nominal Yields.” In Unconventional Monetary Policy and Financial Stability: The Case of Japan, edited by A. Stenfors and J. Toporowski, 88–109. London, UK: Routledge. doi:10.4324/9780429032479.
   Google Scholar
• Akram, T., and S. A. H. Uddin. 2021. “Analysis of Long-Term Brazilian Interest Rates.” PLOS ONE 16 (9): e0257313. doi:10.1371/journal.pone.0257313.
   PubMed Web of Science ®Google Scholar
• Akram, T., and S. A. H. Uddin. 2022. “The Empirics of Long-Term Mexican Government Bond Yields.”Macroeconomics and Finance in Emerging Market Economies: 1–23. (available online first). doi:10.1080/17520843.2021.2022875.
   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
• Black, F., E. Derman, and W. Toy. 1990. “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options.” Financial Analysts Journal 46 (1): 33–39. doi:10.2469/faj.v46.n1.33.
   Google Scholar
• Brace, A., D. Gatarek, and M. Musiela. 1997. “The Market Model of Interest Rate Dynamics.” Mathematical Finance 7 (2): 127–154. doi:10.1111/1467-9965.00028.
   Web of Science ®Google Scholar
• Chakraborty, L. 2012. “Determination of Interest Rate in India: Empirical Evidence on Fiscal Deficit-Interest Links and Financial Crowding Out.” Levy Institute Working Paper No. 744. https://www.levyinstitute.org/pubs/wp_744.pdf
   Google Scholar
• Chakraborty, L. 2016. Fiscal Consolidation, Budget Deficits and the Macro Economy. New Delhi, India: SAGE Publications.
   Google Scholar
• Chen, L. 1996. Interest Rate Dynamics, Derivatives Pricing, and Risk Management. New York, NY: Springer.
   Google Scholar
• Cox, J., J. Ingersoll Jr, and S. Ross. 1985. “A Theory of the Term Structure of Interest Rates.” Econometrica 53 (2): 385–467. doi:10.2307/1911242.
   Web of Science ®Google Scholar
• Das, A., and T. Akram. 2020. “A Keynesian Analysis of Canadian Government Securities’ Yields.” PSL Quarterly Review 73 (294): 241–260. doi:10.13133/2037-3643_73.294_3.
   Web of Science ®Google Scholar
• Deleidi, M., and E. S. Levrero. 2021. “Monetary Policy and Long‐term Interest Rates: Evidence from the US Economy.” Metroeconomica 72 (1): 121–147. doi:10.1111/meca.12313.
   Web of Science ®Google Scholar
• Dothan, L. U. 1978. “On the Term Structure of Interest Rates.” Journal of Financial Economics 6 (1): 59–65. doi:10.1016/0304-405X(78)90020-X.
   Web of Science ®Google Scholar
• Gabrisch, H. 2022. “Keynes Vs Kalecki: Risk and Uncertainty in Their Theories of the Rate of Interest.” Review of Keynesian Economics 10 (1): 46–62. doi:10.4337/roke.2022.01.03.
   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
• Heath, D., R. Jarrow, and A. Morton. 1992. “Bond Pricing and the Term Structure of the Interest Rates: A New Methodology.” Econometrica 60 (1): 77–105. doi:10.2307/2951677.
   Web of Science ®Google Scholar
• Heston, S. 1993. “A Closed-Form Solution for Options with Stochastic Volatility with Application to Bond and Currency Options.” Review of Financial Studies 6 (2): 327–343. doi:10.1093/rfs/6.2.327.
   Web of Science ®Google Scholar
• Ho, T. S. Y., and S. Lee. 1986. “Term Structure Movements and Pricing Interest Contingent Claims.” Journal of Finance 41 (5): 1011–1029. doi:10.1111/j.1540-6261.1986.tb02528.x.
   Web of Science ®Google Scholar
• Hoshi, T., and T. Ito. 2014. “Defying Gravity: Can Japanese Sovereign Debt Continue to Increase without a Crisis?” Economic Policy 29 (77): 5–44. January. doi:10.1111/1468-0327.12023.
   Web of Science ®Google Scholar
• Hull, J. C., and A. White. 1990. “Pricing Interest Rate Derivative Securities.” Review of Financial Studies 3 (4): 573–592. doi:10.1093/rfs/3.4.573.
   Web of Science ®Google Scholar
• Jamshidian, F. 1995. “A Simple Class of Square-Root Interest-Rate Models.” Applied Mathematical Finance 2 (1): 61–72. doi:10.1080/13504869500000004.
   Google Scholar
• Keynes, J. M. [1936] 2007. The General Theory of Employment, Interest, and Money. New York, NY: Palgrave Macmillan.
   Google Scholar
• Keynes, J. M. 1930. A Treatise on Money. Vol. I and II. London, UK: Macmillan.
   Google Scholar
• Kim, H. 2020. “The Relationship between Public Debt Accumulation and Default Risk under the ECB’s Conventional Vs. Non-Standard Monetary Policy: A Panel Data Analysis of 9 Eurozone Countries (2000–2015).” Journal of Post Keynesian Economics 43 (1): 112–130. doi:10.1080/01603477.2019.1673176.
   Web of Science ®Google Scholar
• Kim, H. 2021. “Sovereign Currency and Long-Term Interest Rates.” International Review of Applied Economics 35: 577–596. doi:10.1080/02692171.2021.1908237. (available online first).
   Web of Science ®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
• Li, H., and Y. Su. 2021. “The Nonlinear Causal Relationship between Short- and Long-term Interest Rates: An Empirical Assessment of the United States, the United Kingdom, and Japan.” International Finance 24 (3): 332–355. doi:10.1111/infi.12400.
   Web of Science ®Google Scholar
• Longstaff, F. A., and E. S. Schwartz. 1992. “Interest Rate Volatility and the Term Structure: A Two Factor General Equilibrium Model.” Journal of Finance 47 (4): 1259–1289. doi:10.1111/j.1540-6261.1992.tb04657.x.
   Web of Science ®Google Scholar
• Malliaropulos, D., and P. Migiakis. 2018. “Quantitative Easing and Sovereign Bond Yields: A Global Perspective.” Bank of Greece Working Paper No. 253. https://www.bankofgreece.gr/BogEkdoseis/Paper2018253.pdf
   Google Scholar
• Rahimi, A. 2014. “Essays on the Causal Relationship between Short-Term and Long-Term Interest Rates.” PhD dissertation. University of Ottawa, Ontario, Canada. https://ruor.uottawa.ca/handle/10393/31157
   Google Scholar
• Rahimi, A., B. M. Chu, and M. Lavoie. 2017. “Linear and Non‐Linear Granger Causality between Short‐Term and Long‐Term Interest Rates: A Rolling Window Strategy.” Metroeconomica 68 (4): 882–902. doi:10.1111/meca.12148.
   Web of Science ®Google Scholar
• Rahimi, A., M. Lavoie, and B. M. Chu. 2016. “Linear and Nonlinear Granger-causality between Short-term and Long-term Interest Rates during Business Cycles.” International Review of Applied Economics 30 (6): 714–728. doi:10.1080/02692171.2016.1208736.
   Web of Science ®Google Scholar
• Riefler, W. W. 1930. Money Rates and Money Markets in the United States. New York, NY: Harper & Brothers.
   Google Scholar
• Simoski, S. 2019. “A Keynesian Exploration of the Determinants of Government Bond Yields for Brazil, Colombia and Mexico.” Master of Science thesis. Levy Economics Institute of Bard College. https://digitalcommons.bard.edu/levy_ms/16
   Google Scholar
• Vasicek, O. A. 1977. “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics 5 (2): 177–188. doi:10.1016/0304-405X(77)90016-2.
   Web of Science ®Google Scholar
• Vinod, H. D., L. Chakraborty, and H. Karun. 2014. “If Deficits are Not the Culprit, What Determines Indian Interest Rates?” Levy Institute Working Papers No. 811. July. http://www.levyinstitute.org/pubs/wp_811.pdf
   Google Scholar