The Determinants of Real Long-Term Interest Rates : 17 Country Pooled-Time-Series Evidence / Adrian Orr, Malcolm Edey and Michael Kennedy.

Format:

Book

Government document

Author/Creator:

Orr, Adrian, author.

Contributor:

Edey, Malcolm.

Kennedy, Michael, 1949-

SourceOECD (Online service)

Series:

OECD Economics Department Working Papers 18151973 ; no.155.

OECD Economics Department Working Papers 18151973 ; no.155

Language:

English

Subjects (All):

Economics.

Physical Description:

1 online resource (44 pages).

Place of Publication:

Paris : OECD Publishing, 1995.

System Details:

text file

Summary:

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 ...

Notes:

Title from title screen (viewed May 1, 2017).

Access Restriction:

Restricted for use by site license.