An empirical analysis of the German long-term interest rate
AbstractThe short run and long run influences of the main determinants of the German long-term interest rate are estimated using quarterly data for the period 1982-2001. A major reason for the focus on the German interest rate is that this rate, and hence its determinants, will be dominant in explaining the developments of the long-term Euro-rate in the international capital market. The specification of the interest rate equation encompasses various theories on interest rate formation. Four of the analysed interest rate theories partially explain interest rate movement, and therefore together form an encompassing model in which the four theories are incorporated. The short-term German interest rate, the US and Japanese bond rates and the government balance appear to be the most prominent determinants of the German (and hence Euro) rate, but also the business cycle and the oil price have explanatory power of this interest rate.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 14 (2004)
Issue (Month): 10 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
Other versions of this item:
- Butter, Frank A.G. den & Jansen, Pieter W., 2001. "An empirical analysis of the German long-term interest rate," Serie Research Memoranda 0029, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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