AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE

Tanweer Akram and Anupam Das ()
Additional contact information
Tanweer Akram: General Motors, 300 Renaissance Center, Detroit, MI 48243, USA
Anupam Das: Department of Economics, Justice, and Policy Studies, Mount Royal University, 4825 Mount Royal Gate SW, Calgary, Alberta, Canada T3E 6K6, Canada

Annals of Financial Economics (AFE), 2020, vol. 15, issue 01, 1-20

Abstract: This paper empirically models the dynamics of Australian government bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian government bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian government bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on government bond yields.

Keywords: Government bond yields; long-term interest rate; monetary policy; Australia (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010495220500037
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:15:y:2020:i:01:n:s2010495220500037

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010495220500037

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().