Hidden Bibliographic Details
Other authors / contributors: | Sola, Sergio.
International Monetary Fund.
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ISBN: | 1475517092 9781475517095 1484320794 9781484320792 1616355700 9781616355708 9781484394502 148439450X
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Notes: | "July 2013." Includes bibliographical references. English.
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Summary: | This paper reconsiders the effects of fiscal policy on long-term interest rates employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset of macroeconomic and fiscal variables for a panel of OECD countries for the period 1989-2012. We find that two global factors--the global monetary and fiscal policy stances--explain more than 60 percent of the variance in the long-term interest rates. Compared to the estimates from models which do not account for global factors, we find that the importance of domestic variables in explaining long-term interest rates is weakened. Moreover, the propagation of global fiscal shocks is larger in economies characterized by macroeconomic and institutional weaknesses.
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Standard no.: | 10.5089/9781475517095.001
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