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What Moves OECD Real Interest Rates?

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Author Info

  • Driffill, John
  • Snell, Andrew

Abstract

This paper conducts a structural time-series analysis of ex-ante real interest rates of the five major OECD economies. The relationships of rates to permanent and temporary real and nominal shocks appear to be qualitatively consistent with predictions of stochastic general equilibrium business cycle models. U.S. real and nominal shocks are found to be the most important causes of persistence in rates, but only nominal shocks cause dynamic movements that are coherent across all countries. The rise in real interest rates in the early 1980s was mainly due to nominal shocks; real shocks played little or no role.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 35 (2003)
Issue (Month): 3 (June)
Pages: 375-402

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Handle: RePEc:mcb:jmoncb:v:35:y:2003:i:3:p:375-402

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Ari Aisen & David Hauner, 2008. "Budget Deficits and Interest Rates," IMF Working Papers 08/42, International Monetary Fund.
  2. Boewer Böwer, Uwe, 2006. "Risk Sharing, Financial integration, and "Mundell II" in the Enlarged European Union," Institute of European Studies, Working Paper Series qt2xz37086, Institute of European Studies, UC Berkeley.
  3. Marcus Miller & Lei Zhang, 2006. "Capital Flows, Interest Rates and Precautionary Behaviour: a model of "global imbalances"," WEF Working Papers 0014, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
  4. Cour-Thimann, Philippine & Pilegaard, Rasmus & Stracca, Livio, 2006. "The output gap and the real interest rate gap in the euro area, 1960-2003," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 775-790, October.
  5. Marcus Miller & Lei Zhang, 2007. "Fear and Market Failure: Global Imbalances and “Self-Insurance”," Research Department Publications 4498, Inter-American Development Bank, Research Department.
  6. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
  7. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006,04, Christian-Albrechts-University of Kiel, Department of Economics.

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