Advanced Search
MyIDEAS: Login to save this paper or follow this series

Effects of government debt on interest rates: evidence from causality tests in johansen-type models

Contents:

Author Info

  • Pene Kalulumia

    ()
    (Département d'économique, Université de Sherbrooke)

Registered author(s):

    Abstract

    This paper examines the impact of government debt on interest rates in the United States, Germany, the United Kingdom and Canada, using the sequential causality test procedures suggested by Toda and Phillips (1994) in the Johansen error-correction model (ECM). The general portfolio balance model, which allows for both direct and indirect tests of the link between public debt and interest rates, is used as the economic framework. Indirect tests in this model consist of investigating the debt impact on interest rates through the effects of debt on the exchange rate and money demand. The evidence generally indicates the absence of causality in the long-run, between government debt and interest-rate related variables for all four countries under study. This suggests the neutrality of public debt on interest rates and is consistent with the Ricardian equivalence hypothesis.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://gredi.recherche.usherbrooke.ca/wpapers/02_07_pk.pdf
    File Function: First version, 2002
    Download Restriction: no

    Bibliographic Info

    Paper provided by Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke in its series Cahiers de recherche with number 02-07.

    as in new window
    Length: 28 pages
    Date of creation: 2002
    Date of revision:
    Handle: RePEc:shr:wpaper:02-07

    Contact details of provider:
    Postal: Sherbrooke, Québec, J1K 2R1
    Phone: (819) 821-7233
    Fax: (819) 821-6930
    Email:
    Web page: http://www.gredi.org/home/documents-de-travail
    More information through EDIRC

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Duclos, Jean-Yves & Makdissi, Paul & Wodon, Quentin, 2002. "Socially-Efficient Tax Reforms," Cahiers de recherche 0201, Université Laval - Département d'économique.
    2. Daniel Parent, 1995. "Matching, Human Capital, and the Covariance Structure of Earnings," Working Papers 730, Princeton University, Department of Economics, Industrial Relations Section..
    3. Téjédo, Cyril & Truchon, Michel, 2001. "Serial Cost Sharing in Multidimensional Contexts," Cahiers de recherche 0108, Université Laval - Département d'économique.
    4. Parent, D., 1995. "Industry-Specific Capiatl and the Wage Profile: Evidence from the NLSY and the PSID," Cahiers de recherche 9508, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. repec:ebl:ecbull:v:10:y:2003:i:2:p:1-9 is not listed on IDEAS
    6. Cyril Téjédo & Michel Truchon, 2002. "Monotonicity and Bounds for Cost Shares under the Path Serial Rule," CIRANO Working Papers 2002s-43, CIRANO.
    7. AndrÈ Leclerc & Mario Fortin, 2003. "Production et rationalisation des intermÈdiaires financiers: LeÁons ý tirer de l'expÈrience des Caisses Populaires Acadiennes," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 74(3), pages 397-432, 09.
    8. Petr Hanel & Sofiene Zorgati, 2000. "Technology Spillovers and Trade:Empirical Evidence for the G7 Industrial Countries," Cahiers de recherche 00-07, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    9. St-Pierre, A & Hanel, P, 1996. "Les effets directs et indirects de l'activite de R&D sur la profitabilite de la firme," Cahiers de recherche 96-01, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    10. Daniel Parent, 1995. "Wages and Mobility: The Impact of Employer-Provided Training," CIRANO Working Papers 95s-27, CIRANO.
    11. Hanel, P., 1995. "Analyse de la performance a exporter des industries manufacturieres du Quebec," Cahiers de recherche 95-02, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    12. Paul Makdissi & Quentin Wodon, 2004. "Fuzzy Targeting Indices and Orderings," Bulletin of Economic Research, Wiley Blackwell, vol. 56(1), pages 41-51, 01.
    13. Daniel Parent, 1997. "Methods of Pay and Earnings: A Longitudinal Analysis," CIRANO Working Papers 97s-14, CIRANO.
    14. W. Bentley MacLeod & Daniel Parent, 1998. "Job Characteristics and the Form of Compensation," CIRANO Working Papers 98s-08, CIRANO.
    15. Paul Makdissi & Jean-Yves Duclos, 2001. "Restricted Inequality and Relative Poverty," Cahiers de recherche 01-06, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    16. Paul Makdissi & Nguyen Mahn Hung, 2003. "Infantile mortality and fertility decisions in a stochastic environment," Economics Bulletin, AccessEcon, vol. 10(2), pages 1-9.
    17. Petr Hanel, 2001. "Current Intellectual Protection practices by Manufacturing firms in Canada," Cahiers de recherche 01-09, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    18. Makdissi, Paul & Groleau, Yves, 2002. "Que pouvons-nous apprendre des profils de pauvreté canadiens?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(2), pages 257-286, Juin.
    19. Paul Makdissi & Quentin Wodon, 2002. "Can Safety Nets Offset the Impact of Risk on Wage Inequality and Social Welfare?," Cahiers de recherche 02-08, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised 2002.
    20. Paul Makdissi & Quentin Wodon, 2001. "Fuel Poverty and Access to Electricity:\\ Comparing Households When They Differ in Needs," Cahiers de recherche 01-03, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised 2004.
    21. Bilodeau, Marc & Slivinski, Al, 1996. "Toilet cleaning and department chairing: Volunteering a public service," Journal of Public Economics, Elsevier, vol. 59(2), pages 299-308, February.
    22. Duclos, Jean-Yves & Makdissi, Paul & Wodon, Quentin, 2003. "Poverty-Reducing Tax Reforms with Heterogeneous Agents," Cahiers de recherche 0313, CIRPEE.
    23. Paul Makdissi & Quentin Wodon, 2001. "Measuring Poverty Reduction and Targeting Performance Under Multiple Government Programs," Cahiers de recherche 01-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    24. Paul Makdissi & Quentin Wodon, 2000. "Consumption Dominance Curves: Testing for the Impact of Tax Reforms on Poverty," Cahiers de recherche 00-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    25. Mario Fortin & André Leclerc, 2000. "Demographic Changes and Real Housing Prices in Canada," Cahiers de recherche 00-06, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    26. Duclos, Jean-Yves & Makdissi, Paul & Wodon, Quentin, 2003. "Poverty-Efficient Transfer Programs: The Role of Targeting and Allocation Rules," Cahiers de recherche 0305, CIRPEE.
    27. Paul Makdissi & Quentin Wodon, 2006. "Fuel poverty and access to electricity: comparing households when they differ in needs," Applied Economics, Taylor & Francis Journals, vol. 38(9), pages 1071-1078.
    28. Bilodeau, Marc & Slivinski, Al, 1996. "Volunteering nonprofit entrepreneurial services," Journal of Economic Behavior & Organization, Elsevier, vol. 31(1), pages 117-127, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Petr Hanel, 2003. "Impact Of Government Support Programs On Innovation By Canadian Manufacturing Firms," Cahiers de recherche 04-02, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
    2. Pene Kalulumia & Denis Bolduc, 2004. "Generalized Mixed Estimation Of A Multinomial Discretecontinuous Choice Model For Electricity Demand," Cahiers de recherche 04-01, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:shr:wpaper:02-07. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luc Savard).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.