Determinants of long-term interest rates in the United States and the euro area: A multivariate approach
This article looks at the factors explaining the level of US and European long-term interest rates between 1986 and 2005. We begin by selecting the structural determinants of long-term interest rates, dealing with the US and European cases separately. However, a univariate framework cannot capture market integration and suffers from a number of statistical limitations. Switching to a multivariate setting reveals spillover from US to euro area long-term yields, with no reciprocal effect. The model allows us to draw up a timeline of events affecting the level of US and European long-term interest rates. Accordingly, the bursting of the internet bubble, purchases by foreign agents, both official and private, and the increase in global liquidity all seemingly exerted downward pressure on US long-term interest rates and, indirectly, on euro area long rates.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.banque-france.fr/
More information through EDIRC
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.:
- Thomas Laubach, 2003.
"New evidence on the interest rate effects of budget deficits and debt,"
Finance and Economics Discussion Series
2003-12, Board of Governors of the Federal Reserve System (U.S.).
- Thomas Laubach, 2009. "New Evidence on the Interest Rate Effects of Budget Deficits and Debt," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 858-885, 06.
- Francis E. Warnock & Veronica Cacdac Warnock, 2006.
"International Capital Flows and U.S. Interest Rates,"
NBER Working Papers
12560, National Bureau of Economic Research, Inc.
- Francis E. Warnock & Veronica C. Warnock, 2005. "International capital flows and U.S. interest rates," International Finance Discussion Papers 840, Board of Governors of the Federal Reserve System (U.S.).
- Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS.
- Chinn, Menzie David & Frankel, Jeffrey A., 2003.
"The Euro Area and World Interest Rates,"
Santa Cruz Department of Economics, Working Paper Series
qt2nb2h4zr, Department of Economics, UC Santa Cruz.
- Chinn, Menzie & Frankel, Jeffrey A., 2003. "The Euro Area and World Interest Rates," Santa Cruz Department of Economics, Working Paper Series qt9823140f, Department of Economics, UC Santa Cruz.
- Chinn, Menzie & Frankel, Jeffrey A., 2003. "The Euro Area and World Interest Rates," Santa Cruz Center for International Economics, Working Paper Series qt9823140f, Center for International Economics, UC Santa Cruz.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004.
"Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
- Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary policy alternatives at the zero bound: an empirical assessment," Finance and Economics Discussion Series 2004-48, Board of Governors of the Federal Reserve System (U.S.).
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics,
MIT Press, vol. 53(4), pages 372-75, November.
- Tom Doan, . "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Tom Doan, . "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:170. 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: (Michael brassart)
If references are entirely missing, you can add them using this form.