Arbeitspapier
Determinants of the expected real long-term interest rates in the G7-countries
The paper investigates which factors determine the expected real long-term interest rates of the G7-countries as a whole within a single equation error correction model. Inflationary expectations are generated using the low frequency component of inflation provided by the Hodrick-Prescott filter. A comparision of the calculated expected inflation rates with those resulting from index-linked and conventional UK bonds suggests this approach to be appropriate. Expected real long-term interest rates turn out to be influenced positively by real short-term interest rates, capacity utilization and structural public borrowing.
- Sprache
-
Englisch
- Erschienen in
-
Year: 1996 ; Kiel: Institut für Weltwirtschaft (IfW)
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
Realzins
Zins
Inflationserwartung
Schätzung
G-7-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Krämer, Jörg W.
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute of World Economics (IfW)
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Krämer, Jörg W.
- Kiel Institute of World Economics (IfW)
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 1996
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