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Do Domestic Macroeconomic Factors Play a Role in Determining Long-Term Nominal Interest Rates? Application in the Case of a Small Open-Economy

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  • Celine Gauthier

    (Bank of Canada, David Tessier)

  • Virginie Traclet

    (Bank of Canada)

Abstract

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  • Celine Gauthier & Virginie Traclet, 2004. "Do Domestic Macroeconomic Factors Play a Role in Determining Long-Term Nominal Interest Rates? Application in the Case of a Small Open-Economy," Money Macro and Finance (MMF) Research Group Conference 2004 90, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc04:90
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    References listed on IDEAS

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    1. Laopodis, Nikiforos T., 2004. "Monetary policy implications of comovements among long-term interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 135-164, April.
    2. Laopodis, Nikiforos T, 2002. "Volatility Linkages among Interest Rates: Implications for Global Monetary Policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 215-233, July.
    3. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    4. 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, June.
    5. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
    6. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October.
    7. Shamik Dhar & Darren Pain & Ryland Thomas, 2000. "A small structural empirical model of the UK monetary transmission mechanism," Bank of England working papers 113, Bank of England.
    8. Thomas Laubach & John C. Williams, 2003. "Measuring the Natural Rate of Interest," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November.
    9. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    10. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
    11. Celine Gauthier & Fu Chun Li, 2004. "Linking Real Activity and Financial Markets: BEAM model 1," Money Macro and Finance (MMF) Research Group Conference 2004 52, Money Macro and Finance Research Group.
    12. David F. Hendry & Katarina Juselius, 2001. "Explaining Cointegration Analysis: Part II," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
    13. Thomas Jordan, 1997. "Disinflation costs, accelerating inflation gains, and central bank independence," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(1), pages 1-21, March.
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    Cited by:

    1. Laurence Booth & George Georgopoulos & Walid Hejazi, 2007. "What drives provincial‐Canada yield spreads?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 1008-1032, August.

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