Ahmed Haydory Akbar, Khan M Wasiqur Rahman
Department of Accounting, Economics, and Finance, Bill Munday School of Business, St. Edward's University, 3001 S Congress, Austin, TX 78704-6489 USA.
Department of Economics and Social Sciences, Brac University, 66 Mohakhali, Dhaka, 1212 Bangladesh.
SN Bus Econ. 2022;2(10):158. doi: 10.1007/s43546-022-00336-w. Epub 2022 Sep 30.
The yield curve is perceived to be an indicator of the future state of the economy. For example, an inverted yield curve is considered to be a signal of a forthcoming economic slowdown. Does risk explain the slope of the yield curve as well? In this paper, we explore the dynamics of short-term and long-term interest rate spread to changes in risk and government debt using time-series data. Government-issued bonds are perceived to be risk-free assets. Financial intermediaries consider government-issued securities as a secondary reserve, and they are also used during open market operations. We explore the dynamics while controlling for a potential long-run common trend between the interest rate spread and government debt. We employ the bounds test for cointegration in an auto-regressive distributed lag model and evaluate impulse responses to develop insights into the dynamics. The ARDL bounds test finds evidence of cointegration between the measures interest rate spreads and government debt. A shock to government-issued bonds indicates that the short-term spread decreases, whereas the long-term spread rises by a small margin. We conjecture an upward sloping yield curve resulting from a shock to government debt. A shock to the financial market risk index indicates that the short-term spread decreases for a brief period before returning to its pre-shock level, whereas the long-term spread more or less remains unchanged. We conjecture a downward sloping yield curve resulting from a shock to risk. This conjecture on the impact of risk on short-term and long-term interest rate spreads make the prediction about the inverted yield curve based on the expectation hypothesis and the segmented market theory somewhat weak.
收益率曲线被视为未来经济状况的一个指标。例如，收益率曲线倒挂被认为是即将出现经济放缓的信号。风险是否也能解释收益率曲线的斜率呢？在本文中，我们使用时间序列数据探究短期和长期利率利差随风险和政府债务变化的动态情况。政府发行的债券被视为无风险资产。金融中介机构将政府发行的证券作为二级储备，并且它们也在公开市场操作中被使用。我们在控制利率利差和政府债务之间潜在的长期共同趋势的同时探究这种动态情况。我们在自回归分布滞后模型中运用协整的边界检验，并评估脉冲响应以深入了解这种动态情况。自回归分布滞后边界检验发现了利率利差度量指标与政府债务之间存在协整的证据。对政府发行债券的一次冲击表明短期利差下降，而长期利差小幅上升。我们推测政府债务冲击会导致收益率曲线向上倾斜。对金融市场风险指数的一次冲击表明短期利差在短暂下降后回到冲击前水平，而长期利差或多或少保持不变。我们推测风险冲击会导致收益率曲线向下倾斜。这种关于风险对短期和长期利率利差影响的推测使得基于预期假说和市场分割理论对收益率曲线倒挂的预测略显乏力。
