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Journal articles on the topic 'Nominal interest rates'

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Published: 4 June 2021
Last updated: 20 February 2023

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1

Bassetto, Marco. "Negative Nominal Interest Rates." American Economic Review 94, no. 2 (April 1, 2004): 104–8. http://dx.doi.org/10.1257/0002828041302064.

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2

Shi, Shouyong. "NOMINAL BONDS AND INTEREST RATES*." International Economic Review 46, no. 2 (May 2005): 579–612. http://dx.doi.org/10.1111/j.1468-2354.2005.00335.x.

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3

Cerrato, Mario, Hyunsok Kim, and Ronald MacDonald. "Nominal interest rates and stationarity." Review of Quantitative Finance and Accounting 40, no. 4 (June 22, 2012): 741–45. http://dx.doi.org/10.1007/s11156-012-0296-x.

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4

Nadal-De Simone, Francisco, and Weshah Razzak. "Nominal Exchange Rates and Nominal Interest Rate Differentials." IMF Working Papers 99, no. 141 (1999): 1. http://dx.doi.org/10.5089/9781451856163.001.

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5

BAUER, MICHAEL D. "Nominal Interest Rates and the News." Journal of Money, Credit and Banking 47, no. 2-3 (March 2015): 295–332. http://dx.doi.org/10.1111/jmcb.12177.

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6

Erol, Umit, James A. Richardson, and Thomas R. Gulledge. "Spectral analysis of nominal interest rates." Journal of Economic Dynamics and Control 11, no. 2 (June 1987): 275–81. http://dx.doi.org/10.1016/0165-1889(87)90020-0.

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7

Lioui, Abraham, and Patrice Poncet. "General equilibrium real and nominal interest rates." Journal of Banking & Finance 28, no. 7 (July 2004): 1569–95. http://dx.doi.org/10.1016/s0378-4266(03)00137-7.

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8

Maitra, Biswajit. "Determinants of Nominal Interest Rates in India." Journal of Quantitative Economics 16, no. 1 (February 6, 2017): 265–88. http://dx.doi.org/10.1007/s40953-017-0079-2.

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9

Hirose, Yasuo. "Sunspot fluctuations ulnder zero nominal interest rates." Economics Letters 97, no. 1 (October 2007): 39–45. http://dx.doi.org/10.1016/j.econlet.2007.02.015.

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10

Podkaminer, Leon. "Inflationary Effects of High Nominal Interest Rates." Journal of Post Keynesian Economics 20, no. 4 (July 1998): 583–96. http://dx.doi.org/10.1080/01603477.1998.11490169.

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11

Evans, Paul. "Do budget deficits raise nominal interest rates?" Journal of Monetary Economics 20, no. 2 (September 1987): 281–300. http://dx.doi.org/10.1016/0304-3932(87)90017-1.

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12

Redding, Lee S. "Negative nominal interest rates and the liquidity premium." Economics Letters 62, no. 2 (February 1999): 213–16. http://dx.doi.org/10.1016/s0165-1765(98)00225-0.

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13

Caporale, Guglielmo Maria, and Geoffrey Williams. "Long-term nominal interest rates and domestic fundamentals." Review of Financial Economics 11, no. 2 (January 2002): 119–30. http://dx.doi.org/10.1016/s1058-3300(02)00038-1.

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14

Soderlind, Paul. "Nominal Interest Rates as Indicators of Inflation Expectations." Scandinavian Journal of Economics 100, no. 2 (June 1998): 457–72. http://dx.doi.org/10.1111/1467-9442.00114.

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15

Ilgmann, Cordelius, and Martin Menner. "Negative nominal interest rates: history and current proposals." International Economics and Economic Policy 8, no. 4 (April 5, 2011): 383–405. http://dx.doi.org/10.1007/s10368-011-0186-z.

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16

ALANGAR, SADHANA M., and SCOTT E. HEIN. "Nominal interest rates, expected inflation and varying marginal income tax rates." Applied Financial Economics 9, no. 2 (April 1999): 209–14. http://dx.doi.org/10.1080/096031099332474.

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17

Nchor, Dennis, and Samuel Antwi Darkwah. "Inflation, Exchange Rates and Interest Rates in Ghana: an Autoregressive Distributed Lag Model." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 3 (2015): 969–77. http://dx.doi.org/10.11118/actaun201563030969.

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This paper investigates the impact of exchange rate movement and the nominal interest rate on inflation in Ghana. It also looks at the presence of the Fisher Effect and the International Fisher Effect scenarios. It makes use of an autoregressive distributed lag model and an unrestricted error correction model. Ordinary Least Squares regression methods were also employed to determine the presence of the Fischer Effect and the International Fisher Effect. The results from the study show that in the short run a percentage point increase in the level of depreciation of the Ghana cedi leads to an increase in the rate of inflation by 0.20%. A percentage point increase in the level of nominal interest rates however results in a decrease in inflation by 0.98%. Inflation increases by 1.33% for every percentage point increase in the nominal interest rate in the long run. An increase in inflation on the other hand increases the nominal interest rate by 0.51% which demonstrates the partial Fisher effect. A 1% increase in the interest rate differential leads to a depreciation of the Ghana cedi by approximately 1% which indicates the full International Fisher effect.
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18

Chadha, Bankim, and Daniel Tsiddon. "Inflation, Nominal Interest Rates, and the Variability of Output." IMF Working Papers 96, no. 109 (1996): i. http://dx.doi.org/10.5089/9781451853162.001.

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19

Roll, Richard. "Nominal Interest Rates and Loan Volume with Heterogeneous Beliefs." Financial Markets, Institutions and Instruments 6, no. 3 (August 1997): 1–58. http://dx.doi.org/10.1111/1468-0416.00011.

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20

Chadha, Bankim, and Daniel Tsiddon. "Inflation, nominal interest rates and the variability of output." Journal of Monetary Economics 42, no. 3 (October 1998): 547–73. http://dx.doi.org/10.1016/s0304-3932(98)00034-8.

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21

Nesterova, Kristina. "Monetary policy special features in the context of low interest rates." Socium i vlast 2 (2020): 50–64. http://dx.doi.org/10.22394/1996-0522-2020-2-50-64.

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Introduction. The paper considers a wide range of monetary policy rules: integral stabilization, NGDP targeting, price level targeting, raising the inflation target, introducing negative nominal interest rates etc. The author also considers discretionary policy used by central banks when the nominal rate is close to zero, such as dramatic preventive cut of the key interest rate and interventions in the open markets with the aim of cutting long-term interest rates. The relevance of this problem is supported by global long-term macroeconomic and demographic factors, such as the dynamics of oil prices and the aging of the population. The aim of the paper is to identify the most effective monetary policy rules in order to reduce the risk of a nominal interest rate falling to zero. Methods. Analysis of the background and the results of general equilibrium models modeling monetary policy is carried out. Analysis of the role of current global trends (based on statistics) in aggravating the problem of declining interest rates. Scientific novelty of the research. The author systematizes the conclusions of modern macroeconomic theory, which offers a number of monetary rules making it possible to reduce the likelihood of falling into the zero bound of interest rate. Results. The effectiveness of monetary rules such as targeting nominal GDP and price levels in preventing the nominal interest rate from falling to zero is shown, primarily due to more efficient public expectations management which is a weak point of discretionary intervention. Conclusions. Under the current global factors for many developed countries and some oil-exporters, the downward trend in nominal rates persists. Combined with slowdown in economic growth, such threat may have negative consequences for the Russian economy. In this case, it seems reasonable to stick to the inflation target above 2% per year and in the future to consider switching to targeting the price level or nominal GDP.
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22

Akkizidis, Ioannis. "Managing the Risks of Negative Interest Rates." Risk Management Magazine 16, no. 3 (December 2021): 4–8. http://dx.doi.org/10.47473/2020rmm0094.

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The acceleration in the issuance of government debt since the global financial crisis has led central bankers to engineer interest rates that are historically low in nominal terms and consistently lower than inflation rates. Although the ostensible aim of this policy is to stimulate economic growth, maintaining negative real rates also goes a long way so that government debt is manageable and will decline in the long run, relative to the size of the economy. Financial institutions hold the great majority of government debt, and their books of retail and corporate loans are expanding briskly at a time when ultra-low interest rates make borrowing especially attractive. Rates paid on deposits are low, in advanced economies, even negative in the euro zone in nominal terms. That helps to offset the reduction in income that banks earn on their lending. Even so, the extreme and unique conditions resulting from persistent negative real interest rates mean that banks must take particular care to manage their interest-rate risk in the context of other risk types and the banks’ profit-and-loss analysis.
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23

Bodenstein, Martin, Luca Guerrieri, and Christopher J. Gust. "Oil Shocks and the Zero Bound on Nominal Interest Rates." International Finance Discussion Paper 2010, no. 1009 (September 2010): 1–47. http://dx.doi.org/10.17016/ifdp.2010.1009.

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24

Allen, Stuart D. "Government borrowing and tax-adjusted real and nominal interest rates." Applied Economics 23, no. 1 (January 1991): 31–39. http://dx.doi.org/10.1080/00036849108841045.

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25

Wright, Stephen. "Monetary Policy, Nominal Interest Rates, and Long-Horizon Inflation Uncertainty." Scottish Journal of Political Economy 49, no. 1 (February 2002): 61–90. http://dx.doi.org/10.1111/1467-9485.00221.

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26

Weber, Warren E. "COMMENTS ON "NOMINAL BONDS AND INTEREST RATES" BY SHOUYONG SHI*." International Economic Review 46, no. 2 (May 2005): 613–18. http://dx.doi.org/10.1111/j.1468-2354.2005.00336.x.

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27

Wolman, Alexander L. "Real Implications of the Zero Bound on Nominal Interest Rates." Journal of Money, Credit, and Banking 37, no. 2 (2005): 273–96. http://dx.doi.org/10.1353/mcb.2005.0026.

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28

Bodenstein, Martin, Luca Guerrieri, and Christopher J. Gust. "Oil shocks and the zero bound on nominal interest rates." Journal of International Money and Finance 32 (February 2013): 941–67. http://dx.doi.org/10.1016/j.jimonfin.2012.08.002.

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29

Fujiwara, Ippei. "Evaluating monetary policy when nominal interest rates are almost zero." Journal of the Japanese and International Economies 20, no. 3 (September 2006): 434–53. http://dx.doi.org/10.1016/j.jjie.2006.02.001.

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30

Constantinides, George M. "A Theory of the Nominal Term Structure of Interest Rates." Review of Financial Studies 5, no. 4 (October 1992): 531–52. http://dx.doi.org/10.1093/rfs/5.4.531.

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31

Booth, G. Geoffrey, and Cetin Ciner. "The relationship between nominal interest rates and inflation: international evidence." Journal of Multinational Financial Management 11, no. 3 (July 2001): 269–80. http://dx.doi.org/10.1016/s1042-444x(01)00030-5.

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32

Al‐Khazali, Osamah. "Nominal interest rates and inflation in the Pacific‐Basin countries." Management Decision 37, no. 6 (August 1999): 491–98. http://dx.doi.org/10.1108/00251749910277989.

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33

Fendel, Ralf, and Michael Frenkel. "Deflation and the zero lower bound on nominal interest rates." Financial Markets and Portfolio Management 18, no. 2 (June 2004): 160–81. http://dx.doi.org/10.1007/s11408-004-0204-z.

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34

Jaman, Md Samsur. "Seigniorage Revenue, Inflation Tax and Indian Economy: A Cointegration Analysis." Journal of Global Economy 12, no. 1 (March 22, 2016): 3–15. http://dx.doi.org/10.1956/jge.v12i1.425.

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The aim of this paper is to test the relationship between seigniorage revenue, inflation tax and interest rates for Indian Economy. For this purpose, we estimate the Mankiw’s optimal seigniorage model by using time series dataset for the time period 1970-2015 for Indian Economy with the cointegration and vector error correction methods (VECM). According to estimated econometric results, there is a significant relationship between inflation, nominal interest rates and tax revenue in the long run. However, in short run there is a causality relationship from nominal interest rates and inflation to tax revenue and tax revenue to nominal interest rates. Thus, this study suggests that in the long run higher tax rates are associated with lower inflation rates and lower nominal interest rates for Indian Economy
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35

AHN, Chang Mo, and Howard E. Thompson. "The impact of jump risks on nominal interest rates and foreign exchange rates." Review of Quantitative Finance and Accounting 2, no. 1 (March 1992): 17–31. http://dx.doi.org/10.1007/bf00243982.

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36

Zhang, Xiaoyu, and Fanghui Pan. "The Dependence of China’s Monetary Policy Rules on Interest Rate Regimes: Empirical Analysis Based on a Pseudo Output Gap." Sustainability 11, no. 9 (May 2, 2019): 2557. http://dx.doi.org/10.3390/su11092557.

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Although a large number of scholars have studied the policy preferences and monetary policy rules of China’s central bank, most have found no evidence that China’s central bank has adjusted the nominal interest rates against the output gap. By constructing the pseudo output gap defined by the deviation of the real output growth rate and the target growth rate, this paper finds that China’s central bank prefers to adjust the nominal interest rates against the pseudo output gap. The monetary policy preferences and rules of China’s central bank in different interest rate regimes are investigated based on the threshold Taylor rule model. It is found that, in the high-interest-rate regime, the central bank adjusts the nominal interest against the inflation gap and the pseudo output gap, while in the low-interest-rate regime, there is no evidence that the central bank adjusts the nominal interest rates against the pseudo output gap. The lower bound of interest rate reduction and the weakening of interest rate policy effects caused by the liquidity trap of the interest rate are the possible reasons for China’s central bank not to adjust the nominal interest rates against the pseudo output gap.
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37

Schaling, Eric, Willem Verhagen, and Sylvester Eiffinger. "The term structure of interest rates and inflation forecast targeting." South African Journal of Economic and Management Sciences 12, no. 2 (August 22, 2011): 162–79. http://dx.doi.org/10.4102/sajems.v12i2.274.

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This paper examines the implications of the expectations theory of the term structure of interest rates for the implementation of inflation targeting. We show that the responsiveness of the central bank’s instrument to the underlying state of the economy is increasing in the duration of the long-term bond. On the other hand, an increase in duration will make long-term inflationary expectations - and therefore also the long-term nominal interest rate - less responsive to the state of the economy. The extent to which the central bank is concerned with output stabilisation will exert a moderating influence on the central bank’s response to leading indicators of future inflation. However, the effect of an increase in this parameter on the long-term nominal interest rate turns out to be ambiguous. Next, we show that both the sensitivity of the nominal term spread to economic fundamentals and the extent to which the spread predicts future output, are increasing in the duration of the long bond and the degree of structural output persistence. However, if the central bank becomes relatively less concerned about inflation stabilisation the term spread will be less successful in predicting real economic activity.
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38

Miller, Norman G., Michael A. Sklarz, and Thomas Thibodeau. "International Real Estate Review." International Real Estate Review 8, no. 1 (June 30, 2005): 27–43. http://dx.doi.org/10.53383/100059.

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This research examines how well nominal income, nominal interest rates and employment explain temporal variation in nominal metropolitan area house prices. Rather than use a traditional model of real house prices, we explain nominal house prices with a measure of "intrinsic" house value that combines local economic factors with an affordable price based upon what the local median income household could afford to pay at prevailing interest rates. The affordable price variable captures local household income trends and current interest rates. We then relate temporal variation in observed house prices to "intrinsic" value and estimate the parameters of separate autoregressive house price models for 316 cities. We observe that the coastal markets exhibit much greater appreciation/ depreciation rates and much more volatility than cities in the central portions of the country. Here we focus primarily on the impact of interest rates on nominal prices in various MSAs, a factor that many housing analyst have pointed to when debating the existence of housing bubbles. Some markets are much more or less responsive to interest rates than others. Supply constraints may explain some of this increased responsiveness.
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39

Piya-Oui, Panita, O. Felix Ayadi, and Walter J. Mayer. "The Puzzling Effect Of Money Shocks On Interest Rates." Journal of Applied Business Research (JABR) 12, no. 2 (September 12, 2011): 46. http://dx.doi.org/10.19030/jabr.v12i2.5826.

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This study reexamines the controversial impact of changes in the growth rate of money supply on short-term nominal interest rates. Most of the early studies consistently find evidence that support a negative relationship between money shocks and interest rates. This relationship reflects the hypothesized liquidity effect. When the Fed accelerates the growth rate in money supply at given prices, output and inflation, the LM curve shifts, and real balances increase. Consequently, nominal an real interest rates are reduced. The results of the finite lag methods vary from one technique to another. However, the general trend points toward the vanishing liquidity effect. An infinite lag method which assumes a quadratic polynomial lag structure is also applied to data from 1972 through 1989. The results show a slight presence of the liquidity effect. The overall results also indicate that inflation rate as well as the variance of inflation rate slightly influence the relationship described above.
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40

Ajello, Andrea, Luca Benzoni, and Olena Chyruk. "Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates." Review of Financial Studies 33, no. 8 (September 25, 2019): 3719–65. http://dx.doi.org/10.1093/rfs/hhz094.

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Abstract We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants’ expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
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41

McCallum, Bennett T. "Theoretical Analysis Regarding a Zero Lower Bound on Nominal Interest Rates." Journal of Money, Credit and Banking 32, no. 4 (November 2000): 870. http://dx.doi.org/10.2307/2601148.

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42

Coenen, Günter, and Volker W. Wieland. "Exchange-Rate Policy and the Zero Bound on Nominal Interest Rates." American Economic Review 94, no. 2 (April 1, 2004): 80–84. http://dx.doi.org/10.1257/0002828041302226.

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43

Reschreiter, Andreas. "Real and nominal UK interest rates, ERM membership, and inflation targeting." Empirical Economics 40, no. 3 (February 6, 2010): 559–79. http://dx.doi.org/10.1007/s00181-010-0345-z.

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44

AMANO, ROBERT, and MALIK SHUKAYEV. "Risk Premium Shocks and the Zero Bound on Nominal Interest Rates." Journal of Money, Credit and Banking 44, no. 8 (November 28, 2012): 1475–505. http://dx.doi.org/10.1111/j.1538-4616.2012.00541.x.

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45

Tarhan, Vefa. "Unanticipated interest rates, bank stock returns and the nominal contracting hypothesis." Journal of Banking & Finance 11, no. 1 (March 1987): 99–115. http://dx.doi.org/10.1016/0378-4266(87)90024-0.

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46

Weale, Martin. "Interest Rates and Business Returns." National Institute Economic Review 201 (July 2007): 4–7. http://dx.doi.org/10.1177/0027950107083040.

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The July interest rate increase has taken the Bank of England's Base Rate to the highest value for six years. In figure 1 we show the forward estimates for the nominal short-term interest rate taken from the Bank of England's yield curve tables for both government debt and liabilities of commercial banks. These are in effect market forecasts of the short-term rate produced in the past. The graph shows that the market has been taken somewhat by surprise by rising short-term interest rates. Two years ago the market was forecasting a rate of around 4 per cent per annum for July 2007. Nor were the probabilities the market gave to an interest rate of 5.75 per cent per annum very high. Twelve months ago the market in financial options implied that the chance of the rate exceeding 5.66 per cent per annum was only 15 per cent. Even in January of this year the chance of it reaching its current level or higher was put at less than 25 per cent. The National Institute cannot claim a substantially better record at forecasting interest rates. We normally use market expectations, as calculated from the yield curve, to provide exogenous forecasts as input into our model in the short term.
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47

Buiter, Willem H., and Nikolaos Panigirtzoglou. "Overcoming the Zero Bound on Nominal interest Rates with Negative Interest on Currency: Gesell's Solution." Economic Journal 113, no. 490 (September 29, 2003): 723–46. http://dx.doi.org/10.1111/1468-0297.t01-1-00162.

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48

Layton, Allan P. "Australian monetary growth and short-term nominal interest rates: an interest parity efficient markets approach." Applied Economics 22, no. 8 (August 1990): 1119–26. http://dx.doi.org/10.1080/00036849000000139.

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49

Yaya, Keho. "Testing the Long-Run Fisher Effect in Selected African Countries: Evidence from ARDL Bounds Test." International Journal of Economics and Finance 7, no. 12 (November 24, 2015): 168. http://dx.doi.org/10.5539/ijef.v7n12p168.

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<p>This paper tests the validity of the Fisher hypothesis for a sample of ten African countries. Recognizing the possibility of spurious regression results, we undertook unit root and cointegration tests. We found nominal interest rates to be I(1) series while inflation rates are I(0) series. Hence, we employed the bounds test to cointegration. The results provide evidence supporting the full Fisher effect only in Kenya. In Cote d’Ivoire and Gabon, we found a positive but less than one-for-one reaction of nominal interest rates to changes in inflation rates, lending support to the partial Fisher effect. For the other seven countries, the results suggest no evidence of long-run relationship between nominal interest rates and inflation.</p>
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50

Chowdhury, Sanjida Akter, Md Yousuf, Md Nezum Uddin, and Mohammed Jashim Uddin. "Nominal Interest Rate, Inflation Money and Market Link in Bangladesh: An Econometric Analysis." Asian Journal of Humanity, Art and Literature 7, no. 1 (May 11, 2020): 59–68. http://dx.doi.org/10.18034/ajhal.v7i1.501.

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This paper pursues to establish a connection among the nominal interest rate, the money market, and the inflation rate in Bangladesh using monthly time series data from June 2005 to March 2019. Because some data are stationary at the level and others are stationary at the 1st difference, the ARDL model is applicable for checking the link. There is a strong positive short-term and long-term relationship between inflation and nominal interest rates, suggesting that Bangladeshi data support the Fisher hypothesis for that time. For this study, the T bill, the call money rate is used as a measure of the money market. The research indicates that regulators should concentrate on call money rates in short-term and T-bill and call money rates in the long-term to control Bangladesh's nominal interest rate.
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