A contemporary investigation of causality between the primary government budget deficit and the ex ante real long term interest rate in the US
Using error-correction model (ECM) estimation, this study empirically examines, for theUS, the causality relationship between the federal government budget deficitand the ex ante real long term interest rate. The system includes personal federal income tax rates, the M2 money supply, the unemployment rate, an ex ante realshort term interest rate and net international capital inflows. To clarify thedeficit/interest rate relationship, the budget deficit is measured by the primarydeficit, which excludes net interest payments by the Treasury. The ECM estimates in this study provide results that suggest a bi-directional relationship between theprimary budget deficit and the ex ante real long term interest rate yield.
Volume (Year): 55 (2002)
Issue (Month): 223 ()
|Contact details of provider:|| Web page: http://www.economiacivile.it|
|Order Information:||Web: http://www.economiacivile.it|
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.:
- Richard J. Cebula, 2000. "The Impact of Structural Budget Deficits on Commercial Bank Interest Rates: Reply," Public Finance Review, , vol. 28(3), pages 195-198, May.
- P. A. V. B. Swamy & Bharat R. Kolluri & Rao N. Singamesetti, 1988. "What do regressions of interest rates on deficits imply?," Finance and Economics Discussion Series 3, Board of Governors of the Federal Reserve System (U.S.).
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Keith M. Carlson & Roger W. Spencer, 1975. "Crowding out and its critics," Review, Federal Reserve Bank of St. Louis, issue Dec, pages 2-17.
- McMillin, W. Douglas, 1986. "Federal deficits and short-term interest rates," Journal of Macroeconomics, Elsevier, vol. 8(4), pages 403-422.
- Hoelscher, Gregory, 1986. "New Evidence on Deficits and Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 1-17, February.
- Ali F. Darrat, 2000. "Do Structural Federal Budget Deficits Impact Commercial Bank Interest Rates? A Comment," Public Finance Review, , vol. 28(3), pages 187-194, May.
- Cebula, Richard, 1996. "An Empirical Analysis of the Impact of Government Tax and Auditing Policies on the Size of the Underground Economy: The Case of the United States, 1973-94," MPRA Paper 49810, University Library of Munich, Germany.
- Vito Tanzi, 1985. "Fiscal Deficits and Interest Rates in the United States: An Empirical Analysis, 1960-84 (DÃ©ficits budgÃ©taires et taux d'intÃ©rÃªt aux Etats-Unis: analyse empirique, 1960-84) (El dÃ©ficit fiscal y la," IMF Staff Papers, Palgrave Macmillan, vol. 32(4), pages 551-576, December.
- Feige, Edgar L, 1994.
"The Underground Economy and the Currency Enigma,"
Public Finance = Finances publiques,
, vol. 49(Supplemen), pages 119-136.
- Edgar L. Feige, 2005. "The Underground Economy And The Currency Enigma," Macroeconomics 0502004, EconWPA.
- James R. Barth & George Iden & Frank S. Russek, 1984. "Do Federal Deficits Really Matter?," Contemporary Economic Policy, Western Economic Association International, vol. 3(1), pages 79-95, 09.
- Evans, Paul, 1985. "Do Large Deficits Produce High Interest Rates?," American Economic Review, American Economic Association, vol. 75(1), pages 68-87, March.
- R.J. Cebula, 1997. "Government deficit, ex post real long-term interest rates and causality," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 50(202), pages 325-336.
- R.J. Cebula, 1997. "Government deficit, ex post real long-term interest rates and causality," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 50(202), pages 325-336.
- Cebula, Richard J & Belton, Willie J, 1993. "Government Budget Deficits and Interest Rates in the United States: Evidence for Closed and Open Systems Put into Perspective, 1955-1989," Public Finance = Finances publiques, , vol. 48(2), pages 188-209.
- Mascaro, Angelo & Meltzer, Allan H., 1983. "Long- and short-term interest rates in a risky world," Journal of Monetary Economics, Elsevier, vol. 12(4), pages 485-518, November.
- Evans, Paul, 1987. "Interest Rates and Expected Future Budget Deficits in the United States," Journal of Political Economy, University of Chicago Press, vol. 95(1), pages 34-58, February.
- Cebula, Richard J. & Rhodd, Rupert G., 1993. "A note on budget deficits, debt service payments, and interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 33(4), pages 439-445.
- Cukierman, Alex & Meltzer, Allan H, 1989. "A Political Theory of Government Debt and Deficits in a Neo-Ricardian Framework," American Economic Review, American Economic Association, vol. 79(4), pages 713-732, September.
- Feldstein, Martin S & Eckstein, Otto, 1970. "The Fundamental Determinants of the Interest Rate," The Review of Economics and Statistics, MIT Press, vol. 52(4), pages 363-375, November. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:psl:bnlqrr:2002:44. 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: (Carlo D'Ippoliti)
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.