A Comparative Study on Achievements in Negative Nominal Interest Rates Published in Literature in English and Chinese

Interest rates are the key to the resource allocations of financial markets.The frequent appearance of negative nominal interest rates(NNIR)may lead to a failure of the transmission mechanism and arouse system risks in the financial markets.Meanwhile,negative nominal interest rates is a new policy with no consensus reached by academia or policymakers.It is necessary to review the research results and promote consensus to reveal the nature and impact mechanisms of NNIR.Therefore,we retrieved original articles from the Web of Science(WoS)and China National Knowledge Infrastructure(CNKI)published from 1999 to 2020 on NNIR to determine the characteristics of current research results from various perspectives and compare literature in English and Chinese of highly productive institutions and researchers,hot topics,evolution contexts,research frontiers,and ecological characteristics.There are three major findings.In terms of research ecology,the ecological structure of the top research institutions,both domestic and abroad,remains steady,but the structure of the researchers is not stable.In terms of a research domain,NNIR is studied from many dimensions,and the early established research domains still have long-lasting impacts in English literature.In contrast,Chinese literature mainly focuses on discussing applicable policies with no highly focused domain and research topic with great influence yet.Finally,the focus in both English and Chinese literature has changed.Since the original research framework is insufficient in explanatory power,literature in English is beginning to pay attention to the empirical analyses of practical policies,and Chinese scholars are turning to theoretical study to enhance the in-depth understanding of this phenomenon.Researchers in China should focus on collecting high-quality research materials and pay more attention to the progress of empirical research in English literature to improve Chinese research efficiency and quality and then promote research progress in China.

The interaction between stock prices and interest rates in Turkey:empirical evidence from ARDL bounds test cointegration

This paper demonstrates a significant,long-running relationship between stock prices and domestic interest rates in Turkey’s financial markets for the period of 2001 M1-2017 M4.Cointegration analysis is investigated using the autoregressivedistributed lag bounds(ARDL Bounds)test and vector autoregressive cointegration.Additionally,cointegrating equations such as the fully modified ordinary least square,dynamic ordinary least squares,and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship.The ARDL Bounds and Johansen Cointegration test results show that,dynamically,both prices are significantly related to each other.The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs.Additionally,the same results are corroborated by the impulse response where all variables respond negatively to each other.

Market-Oriented Interest Rates

China＇s central bank cut interest rates for deposits and loans and adjusted their floating ranges on June 8.Yi Xianrong,a research fellow with the Institute of Finance and Bankingunder the Chinese Academy of Social Sciences, shared his views on the impact of the cut with Shanghai Securities News. Edited excerpts follow：

The Relationship between Interest Rates and Inflation:Examining the Fisher Effect in China

This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates(treasury bond rates)and inflation in China.The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship.To this aim,we apply Shin et al.'s(2014)nonlinear autoregressive distributed lag(NARDL)model with asymmetric dynamic multipliers for the sample period 2002M7-2018M4.The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China.Furthermore,we find that 20-year bond rates experience the lowest partial Fisher effect.

Interest Rate and Some of Its Applications

Interest rates are a fundamental aspect of the economy and have a significant impact on various financial decisions such as borrowing, investing, and saving. They are the cost of borrowing money or the return on investment and are determined by various factors such as the supply and demand for credit, inflation expectations, and monetary policy decisions made by central banks. Changes in interest rates can have a major effect on the economy and can influence consumer spending, business investment, and overall economic growth. This makes it crucial for individuals, businesses, and policymakers to have a clear understanding of the dynamics of interest rates. Interest rates play an important role in determining the cost of borrowing money for individuals and businesses. A rise in interest rates can increase the cost of borrowing and make it more difficult for people and companies to access credit. This can lead to a decrease in consumer spending and business investment, which can slow down economic growth. On the other hand, a decrease in interest rates can make it easier for individuals and businesses to access credit and increase consumer spending and business investment, boosting economic growth. Central banks, such as the Federal Reserve in the United States, play a key role in determining interest rates by setting monetary policy. They use interest rate changes to influence the economy and reach their goals of stable prices, maximum employment, and moderate long-term interest rates. In conclusion, understanding the dynamics of interest rates is essential for making informed financial decisions and assessing the overall health of the economy. The impact of interest rates on the economy and individual financial decisions is far-reaching and long-lasting, making it a crucial topic for continued study and discussion.

Macroeconomic effects of Mobile money:evidence from Uganda

This study examined the effects of mobile money-a recent innovation in Uganda’s financial-sector landscape-on aggregate economic activity and other macroeconomic variables.We first estimated the long-run mobile-money demand function using vector error correction(VEC)techniques,distinguishing between balances and transfers/transactions.We then estimated the short-run effects of mobile money on selected macroeconomic variables using structural vector autoregressive(SVAR)methods.The results showed that mobile money had moderate positive effects on monetary aggregates,consumer price index,private-sector credit,and aggregate economic activity.Mobile money balances responded to changes in monetary policy instruments,signaling possible ameliorating effects for the conduct of monetary policy.Finally,the results showed that transactional motives related to mobile money had stronger macroeconomic effects than savings motives.

Cointegration Test of Expectation Hypothesis in Multi-Interest-Rates System

The expectation hypothesis of interest rate term structure theory posits an implication: in a system of p interest rates of different maturity there should be one common trend driving interest rates, corresponding to p-1 cointegration vectors, and in each of these vectors the coefficients should sum to zero, giving stationary interest rate spreads.\;This paper analyses the cointegration implications of the expectation hypothesis on UK interest rates. Two types of tests have been carried out in the analysis. The first is the test of the implication that pairs of two interest rates cointegrate into stationary spreads. The second is the test of the cointegration implications on a full system of interest rates of different maturity. This analysis has been carried out using the VAR technique. The results in general favour the expectation hypothesis: the UK term structure of interest rate is driven by one common stochastic trend, and the interest rate spreads are generally found to be stationary. The validity of the expectation hypothesis suggests that the central bank can have a direct effect on long interest rates by operating at the short end of the market.

Closed-Form Formulae for European Options Under Three-Factor Models

In this paper,we derive new closed-form valuations to European options under three-factor hybrid models that include stochastic interest rates and stochastic volatility and incorporate a nonzero covariance structure between factors.We make novel use of the empirically proven 3/2 stochastic volatility model with a time-dependent drift inwhich we are free to choose the moving reversion target.Thismodel has been shown bymany authors to empirically outperform other volatility models in maximising model fit.We also improve the valuation of European options under the Heston volatility and Cox,Ingersoll,Ross interest rate model,recently published in the literature,by replacing open-form infinite series with closed-form analytic expressions.For completeness,we also add a fuller covariance structure in this setting and detail closed-form valuations for options.The inclusion of nonzero covariances amongst the factors can significantly improve option pricing by allowing for a wider variety of market behaviour.The solutions are derived by firstly formulating the price of a European call option in terms of the corresponding characteristic function of the underlying price and then determining a partial differential equation for the characteristic function.By including empirically proven models into our analysis,the options formulae could provide more realistic prices for investors and practitioners.