The Dynamics of Monthly Changes in US Swap Yields: A Keynesian Perspective(22.9月)/Tanweer Akram外.Levy
John Maynard Keynes (1930) 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
paper investigates whether Keynes’s conjecture also holds for the monthly changes in US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed
lag (ARDL) approach. The econometric modeling reveals that there is statistically significant
effect on 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.