The Determinants of Real Long-Term Interest Rates : 17 Country Pooled-Time-Series Evidence
In: 1995; (1995)
Online
Elektronische Ressource
Zugriff:
In this paper a model is presented and estimated that explains real long-term interest rates in terms of developments in low-frequency and high-frequency economic factors in a multi-country framework, using a data set covering 17 OECD countries since the early-1980s. A simultaneous estimation procedure is adopted (using instrumental variables), with an error correction framework for each country separating the low-frequency fundamental influences on real rates from the higher-frequency short-term dynamics. Parameters of the low-frequency variables are constrained to be equal across countries, which imposes the requirement that they have consistent effects both on behaviour through time and in explaining cross-country interest differentials. The results indicate that the low-frequency component of real rates is determined by fundamentals such as the rate of return on business capital, portfolio risk, inflation uncertainty, and indicators of future saving and investment
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The Determinants of Real Long-Term Interest Rates : 17 Country Pooled-Time-Series Evidence
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Autor/in / Beteiligte Person: | Orr, Adrian ; Edey, Malcolm ; Kennedy, Michael |
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Quelle: | 1995; (1995) |
Veröffentlichung: | Paris: OECD Publishing, 1995 |
Medientyp: | Elektronische Ressource |
DOI: | 10.1787/375710201525 |
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