An empirical analysis of the German long-term interest rate
AbstractThis paper estimates the short run and long run influences of the main determinants of the German long-term interest rate using quarterly data for the period 1982-1999. A major reason for our 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 intemational capital market. The specification of our interest rate equation encompasses various theories on interest formation. The short-term German interest rate and American and Japanese bond rates appear to be the most prominent determinants of the German (and hence Euro) rate but also the business cycle and the demand for capital play a role in explaining this interest rate.
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Bibliographic InfoPaper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0029.
Date of creation: 2001
Date of revision:
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German interest rate; interest formation at the capital market; Euro rate; co-integration;
Other versions of this item:
- Frank A. G. Den Butter & Pieter Jansen, 2004. "An empirical analysis of the German long-term interest rate," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 731-741.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-14 (All new papers)
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