The Determinants of Real Long-Term Interest Rates: 17 Country Pooled-Time-Series Evidence
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 proced...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
1995
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 ... |
| Beschreibung: | 1 Online-Ressource (44 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/375710201525 |
Internformat
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| 520 | |a 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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| spelling | Orr, Adrian Verfasser aut The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence Adrian Orr, Malcolm Edey and Michael Kennedy Paris OECD Publishing 1995 1 Online-Ressource (44 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers 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 ... Economics Edey, Malcolm ctb Kennedy, Michael ctb https://doi.org/10.1787/375710201525 Verlag kostenfrei Volltext |
| spellingShingle | Orr, Adrian The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence Economics |
| title | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence |
| title_auth | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence |
| title_exact_search | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence |
| title_exact_search_txtP | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence |
| title_full | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence Adrian Orr, Malcolm Edey and Michael Kennedy |
| title_fullStr | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence Adrian Orr, Malcolm Edey and Michael Kennedy |
| title_full_unstemmed | The Determinants of Real Long-Term Interest Rates 17 Country Pooled-Time-Series Evidence Adrian Orr, Malcolm Edey and Michael Kennedy |
| title_short | The Determinants of Real Long-Term Interest Rates |
| title_sort | the determinants of real long term interest rates 17 country pooled time series evidence |
| title_sub | 17 Country Pooled-Time-Series Evidence |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/375710201525 |
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