Document Type
White Paper
Publication Date
5-2024
Abstract
This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic variables. It presents several autoregressive distributive lag (ARDL) models of the dynamics of EUR swap yields. The estimated econometric models of EUR swap yields of different maturity tenors imply that the European Central Bank (ECB) exerts substantial influence on interest rate swap yields, primarily through the effect of its actions on the current short-term interest rate. Examining the case of EUR interest rate swaps, the findings of the paper lend additional credence to John Maynard Keynes’s hypothesis concerning the ability of a central bank to influence long-term market interest rates.
Recommended Citation
Mamun, K. (2024). Euro interest rate swap yields: Some ARDL models (Levy Economics Institute Working Papers No. 1051). https://www.levyinstitute.org/pubs/wp_1051.pdf
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Comments
JEL CLASSIFICATIONS: E43; E50; E60; G10; G12
Levy Economicsof Bard College Working Paper No. 1051. The Levy Economics Institute Working Paper Collection presents research in progress by Levy Institute scholars and conference participants. The purpose of the series is to disseminate ideas to and elicit comments from academics and professionals.