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A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries

100%

Muzindutsi P. F., Mposelwa S.

Comparative Economic Research. Central and Eastern Europe

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2021

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vol. 24

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issue 2

87-102

PL

W artykule dokonano analizy zdolności predykcyjnej hipotezy oczekiwań struktury terminowej stóp procentowych w krajach BRICS i G7, porównując miesięczną stopę oprocentowania trzymiesięcznych bonów skarbowych każdego kraju ze stopami oprocentowania 10‑letnich obligacji skarbowych w okresie od maja 2003 do maja 2018. Model panelowy ARDL, wykorzystujący estymatory Mean Group (MG), Pooled Mean Group (PMG) i estymatory modelu dynamicznego z efektami stałymi (DFE), posłużył do porównywania krótko‑ i długookresowych relacji w obu grupach krajów. Wyniki pokazują, że hipoteza oczekiwań jest prawdziwa zarówno dla grupy krajów BRICS, jak i G7. W dłuższej perspektywie krótkoterminowa stopa procentowa pozwala przewidzieć długoterminową stopę procentową zarówno w krajach BRICS, jak i G7. Stopy procentowe w krajach BRICS wskazują na szybką korektę i powrót do długookresowej równowagi, podczas gdy w bloku G7 korekta następuje powoli. Powolne dostosowywanie się do równowagi w krajach grupy G7 sugeruje, że kryzys finansowy wpłynął na strukturę terminową stóp procentowych gdyż kraje G7 zostały bezpośrednio dotknięte kryzysem.

EN

This paper examines the predictive ability of the expectations hypothesis of the term structure of interest rates in the BRICS and G7 countries by relating each country’s monthly 3‑month Treasury bill rate to 10‑year government bond rates, from May 2003 to May 2018. The panel ARDL model, applying the mean group (MG), pooled mean group (PMG), and dynamic fixed effects (DFE) estimators, is employed to compare the short‑ and long‑run relationships in both groups of countries. The results show that the expectations hypothesis holds in both BRICS and G7 country groups. In the long run, the short‑term interest rate is able to predict the long-term interest rate in both the BRICS and G7 countries. Interest rates in BRICS indicate rapid adjustment back to the long‑run equilibrium, while the adjustment is sluggish in the G7 block. Based on the findings of the study, the sluggish adjustment to the equilibrium in the G7 gives the impression that the financial crisis had an impact on the term structure of interest rates as the G7 countries were directly affected by the crisis.

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Inflation and Public Debt Reversals in the G7 Countries

99%

Akitoby B., Binder A., Komatsuzaki T.

Journal of Banking and Financial Economics

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2017

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issue 1(7)

28-50

EN

This paper investigates the impact of low or high inflation on the public debt-to-GDP ratio in the G-7 countries. Our simulations suggest that if inflation were to fall to zero for five years, the average net debt-to-GDP ratio would increase by about 5 percentage points during that period. In contrast, raising inflation to 6 percent for the next five years would reduce the average net debtto-GDP ratio by about 11 percentage points under the full Fisher effect and about 14- percentage points under the partial Fisher effect. Thus higher inflation could help reduce the public debt-to-GDP ratio somewhat in advanced economies. However, it could hardly solve the debt problem on its own and would raise significant challenges and risks. First of all, it may be difficult to create higher inflation, as evidenced by Japan’s experience in the last few decades. In addition, an unanchoring of inflation expectations could increase long-term real interest rates, distort resource allocation, reduce economic growth, and hurt the lower–income households.

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WYMIARY BEZPIECZEŃSTWA MIĘDZYNARODOWEGO NA SZCZYTACH G7/G8

85%

Matera R.

Polityka i Społeczeństwo

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2015

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issue 2(13)

126-143 (18)

EN

In the article the origins of G7 and G8 were briefly presented. The author also char-acterized the ways of functioning (called the system) of these groups. The main stress was put on the numerous issues of international security. Therefore the different dimen-sions of this were emphasized, and the commitments made by the leaders during yearly summits to solving the problems in this area were analyzed. At the end of the paper the author tried to answer the question if such a specific international institution is still able to act effectively to influence the different dimensions of international security in the new political situation (especially as a result of Russia’s foreign policy in 2014) .

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1 Comparative Economic Research. Central and Eastern Europe

1 Journal of Banking and Financial Economics

1 Polityka i Społeczeństwo

1 2021

1 2017

1 2015

1 Akitoby B.

1 Binder A.

1 Komatsuzaki T.

1 Matera R.

1 Mposelwa S.

1 Muzindutsi P. F.

A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries

Inflation and Public Debt Reversals in the G7 Countries

WYMIARY BEZPIECZEŃSTWA MIĘDZYNARODOWEGO NA SZCZYTACH G7/G8