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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