文章基本信息

标题：The Determinants of Real Long-Term Interest Rates
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作者：Adrian Orr ; Malcolm Edey ; Michael Kennedy 等
期刊名称：Economics Department Working Papers / OECD
印刷版ISSN：0259-4633
出版年度：1995
卷号：1995
DOI：10.1787/375710201525
出版社：Organisation for Economic Co-operation and Development (OECD)
摘要：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 ...