IDEAS home Printed from https://ideas.repec.org/p/ecb/ecbwps/2006656.html
   My bibliography  Save this paper

Public debt and long-term interest rates: the case of Germany, Italy and the USA

Author

Listed:
  • Strauch, Rolf
  • Paesani, Paolo
  • Kremer, Manfred

Abstract

The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983 JEL Classification: E6, H63

Suggested Citation

  • Strauch, Rolf & Paesani, Paolo & Kremer, Manfred, 2006. "Public debt and long-term interest rates: the case of Germany, Italy and the USA," Working Paper Series 656, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:2006656
    Note: 339130
    as

    Download full text from publisher

    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp656.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. von Hagen, Jürgen & Strauch, Rolf R., 1999. "Tumbling giant: Germany's experience with the Maastricht fiscal criteria," ZEI Working Papers B 05-1999, University of Bonn, ZEI - Center for European Integration Studies.
    2. Catherine Bruneau & Eric Jondeau, 1999. "Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    3. Cassola, Nuno & Morana, Claudio, 2004. "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 387-399, April.
    4. Evans, Charles L. & Marshall, David A., 2007. "Economic determinants of the nominal treasury yield curve," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1986-2003, October.
    5. 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.
    6. Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
    7. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
    8. Barassi, Marco R & Caporale, Guglielmo Maria & Hall, Stephen G, 2001. "Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 127-138, April.
    9. Marco Barassi & Guglielmo Maria Caporale & Stephen Hall, 2005. "Interest rate linkages: identifying structural relations," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 977-986.
    10. Missale, Alessandro, 1999. "Public Debt Management," OUP Catalogue, Oxford University Press, number 9780198290858.
    11. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    12. Laurence Ball & N. Gregory Mankiw, 1995. "What do budget deficits do?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 95-119.
    13. Fratianni, Michele & von Hagen, Jürgen & Waller, Christopher, 1992. "From EMS to EMU," CEPR Discussion Papers 618, C.E.P.R. Discussion Papers.
    14. Ardagna, Silvia, 2004. "Fiscal stabilizations: When do they work and why," European Economic Review, Elsevier, vol. 48(5), pages 1047-1074, October.
    15. Eric M. Engen & R. Glenn Hubbard, 2005. "Federal Government Debt and Interest Rates," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 83-160, National Bureau of Economic Research, Inc.
    16. 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.
    17. R. Glenn Hubbard & Eric M. Engen, 2004. "Federal Government Debt and Interest Rates," AEI Economics Working Papers 50018, American Enterprise Institute.
    18. Karl Brunner, 1986. "Deficits, Interest Rates, and Monetary Policy," Cato Journal, Cato Journal, Cato Institute, vol. 5(3), pages 709-731, Winter.
    19. Yash P. Mehra, 1994. "An error-correction model of the long-term bond rate," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-68.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. L. Marattin & P. Paesani & S. Salotti, 2011. "Fiscal shocks, public debt, and long-term interest rate dynamics," Working Papers wp740, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. Piotr Ciżkowicz & Grzegorz Parosa & Andrzej Rzońca, 2022. "Fiscal tensions and risk premium," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 833-896, August.
    3. Claeys, Peter & Moreno, Rosina & Suriñach, Jordi, 2012. "Debt, interest rates, and integration of financial markets," Economic Modelling, Elsevier, vol. 29(1), pages 48-59.
    4. Caravaggio, Nicola & Carnazza, Giovanni, 2022. "The Italian nominal interest rate conundrum: A problem of growth or public finance?," Structural Change and Economic Dynamics, Elsevier, vol. 62(C), pages 313-326.
    5. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
    6. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    7. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Fiscal Policy And the Nominal Term Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
    8. John A. Tatom, 2005. "Deficits and the Economy: All Deficits Are Not Created Equal," NFI Working Papers 2005-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
    9. Sinai, Allen, 2006. "Deficits, expected deficits, financial markets, and the economy," The North American Journal of Economics and Finance, Elsevier, vol. 17(1), pages 79-101, March.
    10. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
    11. Edward Gamber & John Seliski, 2019. "The Effect of Government Debt on Interest Rates: Working Paper 2019-01," Working Papers 55018, Congressional Budget Office.
    12. Teplova, Tamara V. & Rodina, Victoria A., 2021. "The reinvestment risk premium in the valuation of British and Russian government bonds," Research in International Business and Finance, Elsevier, vol. 55(C).
    13. Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
    14. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Statistics Norway, Research Department.
    15. Mwankemwa, Lusajo P. & Ndanshau, Michael O.A., 2021. "Asymmetric Effects of Fiscal Deficit on Monetary Policy Transmission in Tanzania," African Journal of Economic Review, African Journal of Economic Review, vol. 9(4), September.
    16. Pooja Joshi & Arun Kumar Giri, 2015. "Fiscal Deficits and Stock Prices in India: Empirical Evidence," IJFS, MDPI, vol. 3(3), pages 1-18, August.
    17. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Fiscal spillovers in the Euro area," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 84.1-84.16.
    18. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
    19. Olivier Coibion & Yuriy Gorodnichenko & Michael Weber & Michael Weber, 2021. "Fiscal Policy and Households' Inflation Expectations: Evidence from a Randomized Control Trial," CESifo Working Paper Series 8905, CESifo.
    20. L. Marattin & S. Salotti, 2010. "The Euro-dividend: public debt and interest rates in the Monetary Union," Working Papers 695, Dipartimento Scienze Economiche, Universita' di Bologna.

    More about this item

    Keywords

    cointegration; Common Trends; long-term interest rates; public debt;
    All these keywords.

    JEL classification:

    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:2006656. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Official Publications (email available below). General contact details of provider: https://edirc.repec.org/data/emieude.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.