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

Document Type

Article

Publication Date

6-1-2023

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.

DOI

https://doi.org/10.1080/00213624.2023.2201797

Original Citation

Mamun, K., Akram, T. (2023). U.S. Dollar Swap Yields: An Analysis of the Dynamics of Monthly Changes. Journal of Economic Issues, 57(2), 522-531. https://doi.org/10.1080/00213624.2023.2201797

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