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|a MAIN
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| 050 |
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4 |
|a HB539
|b .D45 2013
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| 100 |
1 |
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|a Dell'Erba, Salvatore.
|
| 245 |
1 |
0 |
|a Does fiscal policy affect interest rates? :
|b evidence from a factor-augmented panel /
|c Salvatore Dell'Erba and Sergio Sola.
|
| 260 |
|
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2013.
|
| 300 |
|
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|a 1 online resource (43 pages)
|
| 336 |
|
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|a text
|b txt
|2 rdacontent
|
| 337 |
|
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|a computer
|b c
|2 rdamedia
|
| 338 |
|
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|a online resource
|b cr
|2 rdacarrier
|
| 500 |
|
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|a "July 2013."
|
| 504 |
|
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|a Includes bibliographical references.
|
| 520 |
3 |
|
|a 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.
|
| 505 |
0 |
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|a Cover; Contents; I. Introduction; II. Literature Review; III. Data Description and Properties; A. Data; B. Properties; IV. Econometric Specification and Estimation Strategy; A. The Econometric Model; B. Estimation Strategy; V. Estimation Results; A. Baseline Model; B. Time Variation in the Idiosyncratic Components; C. Discussion; VI. Effects of Global Shocks; VII. Results From Different Specifications; VIII. Robustness Checks; IX. Concluding Remarks; Appendices; A. Extraction of the Factors; B. Variables; Tables; 1. Summary Statistics; 2. Cross Sectional Dependence Test; C. Tables and Figures.
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| 505 |
8 |
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|a 3. Panel Unit Root Tests4. Principal Component Analysis; 5. Baseline Estimation -- Long-term Interest Rates; 6: Effects of Global Deficit Shock -- Long-term Interest Rates; 7. Baseline Estimation -- Real Interest Rates and Sovereign Spreads; 8. Factors' Interpretation -- Long-Term Interest Rates; 9. Cross Validation -- Long-Term Interest Rates; 10. Baseline Estimation -- Alternative Estimation Techniques: CCE-MG; 11. Non-Linearity with Crises -- Long-Term Interest Rates; 12. Non-Linearity with Public Debt -- Long-Term Interest Rates; 13. Interpretation of the Global Factors -- Long-term Interest Rates.
|
| 505 |
8 |
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|a Figures1. Long-Term Interest Rates 1989-2012; 2. Rolling Window Estimates -- Long-Term Interest Rates; 3. Country Specific Effects of an Increase in Global Deficit; 4. Determinants of the Cross-Country Dispersion of the Effects of Global Deficit; 5. Global Factors and their Macroeconomic Interpretation; References.
|
| 546 |
|
|
|a English.
|
| 650 |
|
0 |
|a Interest rates.
|0 http://id.loc.gov/authorities/subjects/sh85067247
|
| 650 |
|
0 |
|a Fiscal policy.
|0 http://id.loc.gov/authorities/subjects/sh85048601
|
| 650 |
|
6 |
|a Taux d'intérêt.
|
| 650 |
|
6 |
|a Politique fiscale.
|
| 650 |
|
7 |
|a Fiscal policy.
|2 fast
|0 (OCoLC)fst00925806
|
| 650 |
|
7 |
|a Interest rates.
|2 fast
|0 (OCoLC)fst00976178
|
| 655 |
|
4 |
|a Electronic books.
|
| 700 |
1 |
|
|a Sola, Sergio.
|
| 710 |
2 |
|
|a International Monetary Fund.
|0 http://id.loc.gov/authorities/names/n81052755
|
| 830 |
|
0 |
|a IMF working paper ;
|v WP/13/159.
|0 http://id.loc.gov/authorities/names/no89010263
|
| 856 |
4 |
0 |
|u http://elibrary.imf.org/view/journals/001/2013/159/001.2013.issue-159-en.xml
|y INTERNATIONAL MONETARY FUND
|
| 929 |
|
|
|a oclccm
|
| 999 |
f |
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|s 9ad3ebba-6cd3-5610-ba00-1787fc0da6eb
|
| 928 |
|
|
|t Library of Congress classification
|a HB539.D45 2013
|l Online
|c UC-FullText
|u http://elibrary.imf.org/view/journals/001/2013/159/001.2013.issue-159-en.xml
|z INTERNATIONAL MONETARY FUND
|g ebooks
|i 12146237
|
