U.S. Dollar Swap Yields: An Analysis of the Dynamics of Monthly Changes

Document Type

Peer-Reviewed Article

Publication Date

2023

Abstract

John Maynard Keynes asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes’s conjecture holds for long-term Treasury yields in the United States. This article investigates whether Keynes’s claim also holds for the monthly changes in U.S.-dollar-denominated long-term swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach. The econometric modeling reveals that there is a statistically significant effect of the monthly changes in the Treasury bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic and financial control variables. The findings from the econometric models that are estimated render a perspicacious Keynesian perspective on key policy questions and contemporary debates in macroeconomics and finance.

Comments

JEL Classification Codes: E43, E50, E58, E60, G10, G12

Data Set available here as an additional file.

DOI

10.1080/00213624.2023.2201797

Additional Files
USA SWAP Dataset.xlsx (37 kB)
DATA SET
Link to Full Text


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