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http://hdl.handle.net/10419/46847
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| Title: | | Determinants of the expected real long-term interest rates in the G7-countries  |
| Authors: | | Krämer, Jörg W. |
| Issue Date: | | 1996 |
| Series/Report no.: | | Kiel Working Papers 751 |
| Abstract: | | 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. |
| JEL: | | C22 E43 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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