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Recent and Prospective Trends in Real Long-Term Interest Rates: Fiscal Policy and other Drivers

  • Anne-Marie Brook
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    This paper documents some features of recent trends in bond yields and discusses the drivers of these trends. This includes a discussion of the relationship between fiscal balances and interest rates -- with a summary of key empirical results from the literature provided in the Appendix. The main points to emerge from this analysis are as follows. First , cyclical and portfolio-allocation factors seem to have been the main driving forces behind the decline in long-term real interest rates over 2000-2003. However, in some European countries, declining (inflation, exchange-rate, and sovereign) risk premia suggest that the equilibrium real interest rate may now be somewhat lower. Second , the weight of recent evidence suggests a causal relationship from fiscal positions to long-term interest rates, at least for the United States. Thus, the actual and projected deterioration in US fiscal positions might have contributed to the recent rise in bond yields, although part of the ... Évolution récente et perspectives des taux d'intérêt à long terme réels : Politique budgétaire et autres moteurs Ce document présente quelques caractéristiques des évolutions récentes des rendements obligataires et étudie les moteurs de ces évolutions. Cela comprend un débat sur la relation entre le solde budgétaire et les taux d’intérêt – avec un résumé des principaux résultats empiriques des études en la matière présentées à l’Appendice. Les points essentiels qui ressortent de cette analyse sont les suivants : Premièrement , que les facteurs conjoncturels et liés à l’allocation de portefeuille semblent avoir été les principaux moteurs de la baisse des taux d’intérêt à long terme réels entre 2000 et 2003. Dans certains pays européens, toutefois, la baisse des primes de risque (d’inflation, de change et souverain) semble indiquer que le taux d’intérêt réel d’équilibre se situe aujourd’hui un peu plus bas. Deuxièmement , les données récentes semblent pencher en faveur d’une relation de causalité entre les positions budgétaires et les taux d’intérêt à long terme, au moins pour les États-Unis ...

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    File URL: http://dx.doi.org/10.1787/514820262776
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    Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 367.

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    Date of creation: 29 Sep 2003
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    Handle: RePEc:oec:ecoaaa:367-en
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