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Determinants of long-term interest rates: an empirical study of several industrial countries


  • Howard Howe
  • Charles Pigott


Real interest rates on long-term financial assets play a central role in linking financial markets to the economy at large. Over the last fifteen years, these rates have risen steadily in the United States and some key foreign countries. The authors consider long-term forces contributing to this rise—the rate of return to capital, risk factors, and changes in financial structure—along with macroeconomic policies leading to short- and medium-term fluctuations in the rates.

Suggested Citation

  • Howard Howe & Charles Pigott, 1991. "Determinants of long-term interest rates: an empirical study of several industrial countries," Quarterly Review, Federal Reserve Bank of New York, issue Win, pages 12-28.
  • Handle: RePEc:fip:fednqr:y:1991:i:win:p:12-28:n:v.16no.4

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    References listed on IDEAS

    1. Ando, Albert & Auerbach, Alan J., 1988. "The cost of capital in the United States and Japan: A comparison," Journal of the Japanese and International Economies, Elsevier, vol. 2(2), pages 134-158, June.
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    Cited by:

    1. Klaas Knot & Jan Marc Berk, 1999. "Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations," IMF Working Papers 99/81, International Monetary Fund.
    2. Bruno Ducoudré, 2005. "Fiscal policy and interest rates," Documents de Travail de l'OFCE 2005-08, Observatoire Francais des Conjonctures Economiques (OFCE).
    3. Mervyn King & David Low, 2014. "Measuring the ''World'' Real Interest Rate," NBER Working Papers 19887, National Bureau of Economic Research, Inc.
    4. J T Kneeshaw, 1995. "A survey of non-financial sector balance sheets in industialised countries: implications for the monetary policy transmission mechanism," BIS Working Papers 25, Bank for International Settlements.
    5. Basil Dalamagas & Stefanos Tantos, 2016. "Optimal Versus Actual Maturity of Government Debt: The Case of Greece," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(3), pages 25-52, July-Sept.
    6. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 377-391, February.
    7. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
    8. Kelly R Eckhold, 1998. "Determinants of New Zealand bond yields," Reserve Bank of New Zealand Discussion Paper Series G98/1, Reserve Bank of New Zealand.
    9. repec:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0075-8 is not listed on IDEAS
    10. Eric Dubois, 1998. "Taux d'intérêt réels élevés dans le monde et crédibilité des autorités monétaires," Revue Française d'Économie, Programme National Persée, vol. 13(1), pages 89-122.
    11. Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 393-412, November.
    12. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    13. Moretti, Laura, 2014. "Monetary policy, long real yields and the financial crisis," CFS Working Paper Series 457, Center for Financial Studies (CFS).

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    Interest rates ; Monetary policy;


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