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Long-Term Interest Rates in Globalised Markets

  • Hans Christiansen
  • Charles Pigott
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    This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framework based on the standard parity relations among country interest rates is described, and it is argued that historical trends in interest rates and their relations across countries can be understood reasonably well under this framework as the result of changing fundamentals and shifts in (internationally-priced) risk premia. The main empirical findings are that bilateral covariation of long-term interest rates has gone up in the 1990s among some European countries but there is no evidence of any substantial increase for countries with floating exchange rates. Variance decompositions and country-specific interest rate equations show little evidence of increasing interdependence of domestic ... Cet article étudie dans quelle mesure la covariation des taux d’intérêt à long terme dans les pays du G10 a augmenté ces dernières années et si, en conséquence, les taux d’intérêt sont devenus moins perméables à l’influence des autorités monétaires nationales et aux évolutions fondamentales internes. Après la description du cadre conceptuel basé sur les relations habituelles de parité des taux d’intérêt entre pays, il est démontré que, dans ce cadre, les évolutions historiques des taux d’intérêt et de leurs relations entre pays s’interprètent assez bien comme le résultat d’un changement des évolutions économiques fondamentales et des primes de risque (sur les marchés internationaux). Les principales conclusions empiriques sont que la covariation bilatérale des taux d’intérêt à long terme, s’est accrue dans les années 90 parmi quelques pays européens mais qu’il n’y a aucun signe d’accroissement pour les pays à taux de change flottants. Les décompositions de la variance et des ...

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    File URL: http://dx.doi.org/10.1787/688612588580
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    Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 175.

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    Date of creation: 1997
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    Handle: RePEc:oec:ecoaaa:175-en
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