The empirics of UK gilts' yields

Arbeitspapier

This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light the complex dynamics relating the nominal yields on gilts to the short-term interest rate, inflation, the growth of industrial production, and the government debt ratio. The results show that the short-term interest rate has a crucial influence on the nominal yields on gilts, even after controlling for various factors. Contrary to widely held views, a higher government debt ratio does not lead to higher nominal yields.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 969

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Central Banks and Their Policies ; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: UK Gilt-Edged Securities ; Government Bonds ; Long-Term Interest Rates ; Nominal Bond Yields ; Government Debt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Akram, Tanweer ; Li, Huiqing
• Ereignis: Veröffentlichung
• (wer): Levy Economics Institute of Bard College
• (wo): Annandale-on-Hudson, NY
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/238659
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ