سیاست های پولی و مالی، تفاوت ریسک حق بیمه مشروط در نرخ بهره کوتاه مدت : استفاده از تئوری پرتفوی توبین
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26112||2007||12 صفحه PDF||سفارش دهید||4983 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Economics & Finance, Volume 16, Issue 1, 2007, Pages 101–112
This paper proposes a Multivariate-Arch in Mean model to analyze the potential channels through which domestic fiscal and monetary policy as well as changes in the international economic environment may affect interest rate differentials across countries. This technique is illustrated by analyzing the behavior of short-term interest rates in a number of European countries prior to the introduction of the common currency. The key feature of our results is that macroeconomic variables exert both a direct and indirect influence on the short-term interest rate differential. This indirect effect is captured through the conditional volatility of the differential, which is itself a statistically significant determinant of the level of the differential. This relationship is likely to be overlooked by more traditional models that focus solely on the first order moments of the process.
differentials across countries. These differentials also tend to vary over time, telling us that some factor, or set of factors, is causing this variation. These time-varying differentials are most usually explained in terms of a (conditional)1 risk premium attached to the debt instruments of one country above another, either due to economic or political uncertainty.2 However, until we have a better understanding about the source of the risk premium, attempts to adequately explain its existence and predict its future movements will prove difficult to achieve. The aim of this paper is to analyze the potential channels through which macroeconomic variables may affect interest rate differentials across countries. We identify a set of potentially important variables from the work of Tobin and examine their importance for explaining short interest rate differentials within Europe during the period of the EMS. There will undoubtedly be other candidate variables but this work offers a first attempt to model the link between interest rate differentials and the wider macroeconomic environment.3 Portfolio theory implies a risk- return trade-off and therefore investors have to be compensated for holding more risk by earning a higher return on government debt instruments. Asset risk is usually measured in terms of the (conditional) volatility of its return but it is our conjecture that other risk sources may also contribute to the overall risk of an asset. Consequently, volatility in the wider economic environment may be transmitted to government bonds. Such contagion effects will cause any potential investor to seek even more compensation in the form of a greater required return. Tobin's work on portfolio selection provides some insight to identify potential sources of the risk premium. These factors have both a direct and indirect impact on the level of the differential. The indirect or second-order effect stems from the impact of the conditional volatility on the risk premium. Our methodology investigates the empirical evidence of such effects. Kim and Kim (2003) have already noted their importance from a theoretical modeling perspective. They stress the potential influence of second-order effects as a stimulus for monetary policy theorists. The presence of a conditional risk premium for currency markets has already been documented by Hodrick (1987) and for futures markets by Hess and Kamara (2002). In order to analyze and identify the potential channels by which macroeconomic variability may influence both the conditional mean and conditional volatility processes of the short-term interest rate differentials, we propose a Multivariate Autoregressive Conditional Heteroscedasticity (M-ARCH) in-mean model. This family of models has been extensively applied to assessing the impact of macroeconomic sources of risk in currency markets (Wickens & Smith, 2002), in currency futures markets (Baum & Barkoulas, 1996) and in Treasury bill futures markets (Hess & Kamara, 2002). The factors we employ can be loosely interpreted as being proxies for monetary and fiscal policy as well as changes in the international economic environment. By jointly modeling the financial asset returns and the macroeconomic variables, we can immediately assess the influence of these variables on both the conditional mean and conditional second-order moments of the interest rate differential. The paper is structured in the following way: the second section provides a sketch of the theoretical framework. The third section contains a description of the empirical model. The fourth section presents and discusses the empirical results while the final section provides some concluding remarks
نتیجه گیری انگلیسی
The aim of this analysis was to understand the channels by which fiscal and monetary policies as well as changes in foreign economies influence interest rate differentials across countries. Using Tobin's portfolio theory we identify potential transmission mechanisms through which these factors may impact the differential. We propose a M-ARCH in-mean model to capture both the effects of macroeconomic variables, intended as proxies for those policies, on the conditional mean and conditional second-order moments of the interest rate differential process. As an illustration we consider a set of European countries prior to the introduction of the common currency and analyze how useful our model is in providing explanations of the short-term interest rate differentials between each country and Germany. Our empirical results offer evidence that indeed the variables identified play a major role in the determination of the short-term interest rate differential. These variables exert both a direct impact through the conditional mean equation and an indirect impact through the ARCH-in-mean effect. The indirect influence is exerted through the conditional variance, which contains covariance effects with each of the macro variables. The volatility is seen to be at its peak in the approach to the major realignments of the early 1980's for all countries, though the conditional volatility for the UK is significantly lower than the others. This suggests that in the case of the UK, it was its exchange rate with Germany that absorbed economic volatility. This relationship is likely to be overlooked by more traditional models that focus solely on the first order moments of the process. Kim and Kim (2003) also stress the importance of second-order effects in theoretical modeling of monetary policy adding further significance to our empirical findings.