Long-Term Interest Rates in Globalised Markets:
This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framew...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
1997
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Online-Zugang: | kostenfrei |
| Zusammenfassung: | This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framework based on the standard parity relations among country interest rates is described, and it is argued that historical trends in interest rates and their relations across countries can be understood reasonably well under this framework as the result of changing fundamentals and shifts in (internationally-priced) risk premia. The main empirical findings are that bilateral covariation of long-term interest rates has gone up in the 1990s among some European countries but there is no evidence of any substantial increase for countries with floating exchange rates. Variance decompositions and country-specific interest rate equations show little evidence of increasing interdependence of domestic ... |
| Beschreibung: | 1 Online-Ressource (44 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/688612588580 |
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| 520 | |a This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framework based on the standard parity relations among country interest rates is described, and it is argued that historical trends in interest rates and their relations across countries can be understood reasonably well under this framework as the result of changing fundamentals and shifts in (internationally-priced) risk premia. The main empirical findings are that bilateral covariation of long-term interest rates has gone up in the 1990s among some European countries but there is no evidence of any substantial increase for countries with floating exchange rates. Variance decompositions and country-specific interest rate equations show little evidence of increasing interdependence of domestic ... | ||
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Datensatz im Suchindex
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| doi_str_mv | 10.1787/688612588580 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:35:05Z |
| indexdate | 2024-12-18T19:04:37Z |
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| language | English |
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| spelling | Christiansen, Hans Verfasser aut Long-Term Interest Rates in Globalised Markets Hans Christiansen and Charles Pigott Paris OECD Publishing 1997 1 Online-Ressource (44 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framework based on the standard parity relations among country interest rates is described, and it is argued that historical trends in interest rates and their relations across countries can be understood reasonably well under this framework as the result of changing fundamentals and shifts in (internationally-priced) risk premia. The main empirical findings are that bilateral covariation of long-term interest rates has gone up in the 1990s among some European countries but there is no evidence of any substantial increase for countries with floating exchange rates. Variance decompositions and country-specific interest rate equations show little evidence of increasing interdependence of domestic ... Economics Pigott, Charles ctb https://doi.org/10.1787/688612588580 Verlag kostenfrei Volltext |
| spellingShingle | Christiansen, Hans Long-Term Interest Rates in Globalised Markets Economics |
| title | Long-Term Interest Rates in Globalised Markets |
| title_auth | Long-Term Interest Rates in Globalised Markets |
| title_exact_search | Long-Term Interest Rates in Globalised Markets |
| title_exact_search_txtP | Long-Term Interest Rates in Globalised Markets |
| title_full | Long-Term Interest Rates in Globalised Markets Hans Christiansen and Charles Pigott |
| title_fullStr | Long-Term Interest Rates in Globalised Markets Hans Christiansen and Charles Pigott |
| title_full_unstemmed | Long-Term Interest Rates in Globalised Markets Hans Christiansen and Charles Pigott |
| title_short | Long-Term Interest Rates in Globalised Markets |
| title_sort | long term interest rates in globalised markets |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/688612588580 |
| work_keys_str_mv | AT christiansenhans longterminterestratesinglobalisedmarkets AT pigottcharles longterminterestratesinglobalisedmarkets |