On the Determination of Real Interest Rates in Europe
AbstractIn this paper a loanable funds model is estimated over the period 1959-90 for the determination of after-tax expected real interest rates using aggregated data for four European countries under the assumption that high capital mobility in Europe implies a common capital market. It is concluded that real interest rates in the European Community were mainly driven by movements in temporary income, expected inflation, lagged investment, money growth, and the oil price. Moreover, our aggregate model appears to be reasonably stable. Finally, individual country rates are shown to depend on the European rate as well as some country-specific variables, suggesting a limited degree of isolation from international financial markets for the countries concerned.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 20 (1995)
Issue (Month): 3 ()
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- Javier Nievas López & Eduardo Pozo Remiro, 1996. "Determinantes del tipo de interés a largo plazo: Un estudio VAR," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 6, pages 149-170, Diciembre.
- Ignacio Mauleón & Mª Mar Sánchez, 2000. "Fundamentals Of The Us And The Uk Interest Rates Under The Rational Expectation Scheme," Working Papers. Serie AD 2000-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Groeneveld, J.M. & Koedijk, C.G. & Kool, C.J.M., 1998.
"Credibility of European economic convergence,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3108730, Tilburg University.
- Johannes Groeneveld & Kees Koedijk & Clemens Kool, 1998. "Credibility of European economic convergence," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 134(1), pages 1-24, March.
- Mª Mar Sánchez, 2002. "Interest-Rate Models For Us And Uk With Mixed Inflationary Expectations. A Comparison With The Rational And The Adaptive Scheme," Working Papers. Serie AD 2002-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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