文章基本信息

标题：The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates
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作者：Riza Emekter ; John Geppert ; Benjamas Jirasakuldech 等
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2011
卷号：5
期号：1
语种：English
出版社：The Clute Institute for Academic Research
摘要：In this paper, the effect of the maturity composition of marketable public debt on the term structure of interest rate is explored. The research has shown that this effect is relatively small. Unlike previous research, the yield changes around the quantity shocks are analyzed in relation to these shocks. Our results show that yields respond significantly to the auctioning of new bonds. The announcements of auctions do not have any impact on yields. A two-factor affine yield model is used to explain the relationship between quantity shocks in public debt and term structure of interest rates. The parameters are estimated using Generalized Method of Moments. While the relationship between quantities and yields is weak, yields can be related to the event of the auctioning process.