Determinants of the expected real long-term interest rates in the G7-countries

Arbeitspapier

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.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Year: 1996 ; Kiel: Institut für Weltwirtschaft (IfW)

Classification and Topics

• Classification: 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
• Subject: Realzins ; Zins ; Inflationserwartung ; Schätzung ; G-7-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Krämer, Jörg W.
• Event: Veröffentlichung
• (who): Kiel Institute of World Economics (IfW) ; ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel
• (when): 1996

Further information

• Handle: http://hdl.handle.net/10419/46847