دانلود مقاله ISI انگلیسی شماره 90213
ترجمه فارسی عنوان مقاله

تعامل منحنی عملکرد با عوامل اقتصاد کلان در طی بحران مالی جهانی در بازارهای آسیا

عنوان انگلیسی
Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
90213 2018 15 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Economics & Finance, Volume 54, March 2018, Pages 178-192

پیش نمایش مقاله
پیش نمایش مقاله  تعامل منحنی عملکرد با عوامل اقتصاد کلان در طی بحران مالی جهانی در بازارهای آسیا

چکیده انگلیسی

This study examines the interaction between the yield curve movements and the macro economic factors among the nine Asian sovereign bond markets. The yield curve and macro-economic variables were jointly modelled in the dynamic Nelson Siegel model framework and are fitted in the vector auto regressive (VAR) process in a state space framework. The results indicate the existence of a bi-directional relationship between the yield curve and macro factors in the Asian economies. The study found that both the policy rate and the inflation rate influence the short end of the yield curve, reflecting an effective management of the monetary policy. While output growth strongly leads the long term rates in the region, steepening of the yield curve causes increase in Inflation. The depreciation of exchange rates led to increase the level factor in emerging economies and the increase in slope factor appreciated the exchange rates in developed Asian markets.