| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4533 |
| DP4533 Interpolation and Backdating with A Large Information Set | |
| Jerome Henry; Massimiliano Marcellino; Elena Angelini | |
| 发表日期 | 2004-10-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We use a panel of 16 OECD countries over several decades to investigate the effects of government debts and deficits on long-term interest rates. In simple static specifications, a one-percentage-point increase in the primary deficit relative to GDP increases contemporaneous long-term interest rates by about 10 basis points. In a vector autoregression (VAR), the same shock leads to a cumulative increase of almost 150 basis points after 10 years. The effect of debt on interest rates is non-linear: only for countries with above-average levels of debt does an increase in debt affect the interest rate. World fiscal policy is also important: an increase in total OECD-government borrowing increases each country?s interest rates. Domestic fiscal policy continues to affect domestic interest rates, however, even after controlling for worldwide debts and deficits. |
| 主题 | International Macroeconomics ; Public Economics |
| 关键词 | Government deficit Public debt Long-term interest rates |
| URL | https://cepr.org/publications/dp4533 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533570 |
| 推荐引用方式 GB/T 7714 | Jerome Henry,Massimiliano Marcellino,Elena Angelini. DP4533 Interpolation and Backdating with A Large Information Set. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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