IDEAS home Printed from https://ideas.repec.org/p/oec/ecoaaa/367-en.html
   My bibliography  Save this paper

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

Author

Listed:
  • Anne-Marie Brook

Abstract

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 ...

Suggested Citation

  • Anne-Marie Brook, 2003. "Recent and Prospective Trends in Real Long-Term Interest Rates: Fiscal Policy and other Drivers," OECD Economics Department Working Papers 367, OECD Publishing.
    • Handle: RePEc:oec:ecoaaa:367-en
    DOI: 10.1787/514820262776
    as

    Download full text from publisher

    File URL: https://doi.org/10.1787/514820262776
    Download Restriction: no
    File URL: https://libkey.io/10.1787/514820262776?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lukasz Rachel & Lawrence H. Summers, 2019. "On Secular Stagnation in the Industrialized World," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(1 (Spring), pages 1-76.
    2. Ricardo M. Sousa & António Afonso, 2008. "Fiscal Policy, Housing and Stock Prices," NIPE Working Papers 21/2008, NIPE - Universidade do Minho.
    3. Jérôme Creel & Bruno Ducoudré & Catherine Mathieu & Henri Sterdyniak, 2005. "Doit-on oublier la politique budgétaire ?. Une analyse critique de la nouvelle théorie anti-keynésienne des finances publiques," Revue de l'OFCE, Presses de Sciences-Po, vol. 92(1), pages 43-97.
    4. Iris Claus & Aaron Gill & Boram Lee & Nathan McLellan, 2006. "An empirical investigation of fiscal policy in New Zealand," Treasury Working Paper Series 06/08, New Zealand Treasury.
    5. Denise Côté & Christopher Graham, 2004. "Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization," Staff Working Papers 04-23, Bank of Canada.
    6. Ant Afonso & Ricardo M. Sousa, 2012. "The macroeconomic effects of fiscal policy," Applied Economics, Taylor & Francis Journals, vol. 44(34), pages 4439-4454, December.
    7. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    8. Bayer, Christian & Born, Benjamin & Luetticke, Ralph, 2023. "The liquidity channel of fiscal policy," Journal of Monetary Economics, Elsevier, vol. 134(C), pages 86-117.
    9. Lennart Erixon, 2015. "Can fiscal austerity be expansionary in present-day Europe? The lessons from Sweden," Review of Keynesian Economics, Edward Elgar Publishing, vol. 3(4), pages 567—601-5, October.
    10. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    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. Bruno Ducoudré, 2005. "Fiscal policy and interest rates," Documents de Travail de l'OFCE 2005-08, Observatoire Francais des Conjonctures Economiques (OFCE).
    13. António Afonso, 2011. "The Macroeconomic Effects of Fiscal Policy," Post-Print hal-00719484, HAL.
    14. William G. Gale & Peter R. Orszag, 2004. "Budget Deficits, National Saving, and Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 101-210.
    15. Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M., 2014. "Fiscal policy in the BRICs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 1-15, April.
    16. Afonso, António & Sousa, Ricardo M., 2011. "What are the effects of fiscal policy on asset markets?," Economic Modelling, Elsevier, vol. 28(4), pages 1871-1890, July.
    17. Mr. Serkan Arslanalp & Mr. Waikei R Lam, 2013. "Outlook for Interest Rates and Japanese Banks’ Risk Exposures under Abenomics," IMF Working Papers 2013/213, International Monetary Fund.
    18. repec:hal:spmain:info:hdl:2441/1769 is not listed on IDEAS
    19. Gilles Dufrénot & Fredj Jawadi & Zied Ftiti, 2022. "Sovereign bond market integration in the euro area: a new empirical conceptualization," Annals of Operations Research, Springer, vol. 318(1), pages 147-161, November.
    20. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Statistics Norway, Research Department.
    21. repec:spo:wpecon:info:hdl:2441/1769 is not listed on IDEAS
    22. repec:hal:wpspec:info:hdl:2441/1769 is not listed on IDEAS
    23. Michelle Lewis & Lauren Rosborough, 2013. "What in the world moves New Zealand bond yields?," Reserve Bank of New Zealand Analytical Notes series AN2013/08, Reserve Bank of New Zealand.
    24. Lillian Cheung & Chi-Sang Tam & Jessica Szeto, 2009. "Deteriorating Public Finances and Rising Government Debt: Implications for Monetary Policy," Working Papers 0915, Hong Kong Monetary Authority.
    25. Kiichi Tokuoka, 2010. "The Outlook for Financing Japan's Public Debt," IMF Working Papers 2010/019, International Monetary Fund.

    More about this item

    Keywords

    fiscal policy; international transmission; intérêt à long terme; long-term interest rates; positions budgétaires; transmission à l'échelon international;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:oec:ecoaaa:367-en. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/edoecfr.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.