EconStor >
Bank of England, London >
External Monetary Policy Committee Unit, Bank of England >
External MPC Unit Discussion Papers, Bank of England >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/50648
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorGroth, Charlottaen_US
dc.contributor.authorZampolli, Fabrizioen_US
dc.date.accessioned2010-11-08en_US
dc.date.accessioned2011-10-24T07:51:09Z-
dc.date.available2011-10-24T07:51:09Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/50648-
dc.description.abstractWe construct a measure of the short-term world interest rate using principal component analysis. Drawing on real interest rate data for 18 OECD countries for the period 1985 - 2008, persistent deviations from the world interest rate that cannot be explained by movements in the real exchange rate are documented. A theoretical model predicts that these unexplained deviations capture foreign exchange rate risk premia. Using panel data techniques, we test the theoretical prediction that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange rate risk premia and, therefore, the real interest rate. Our main result is that wie find a robust and signicant negative relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate, supporting this hypothesis. We also look at the relation between real interest rates and the net foreign asset position. We test the hypothesis that the empirical negative relation between the two variables captures the relation between real interest rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the other hand. Wie are not able to reject this hypothesis.en_US
dc.language.isoengen_US
dc.publisherBank of England, Monetary Policy Committee Londonen_US
dc.relation.ispartofseriesExternal MPC unit discussion paper 30en_US
dc.subject.ddc330en_US
dc.subject.stwZinsen_US
dc.subject.stwWechselkursen_US
dc.subject.stwWirtschaftswachstumen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwWelten_US
dc.titleMacroeconomic stability and the real interest rate: A cross-country analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn638654416en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:External MPC Unit Discussion Papers, Bank of England

Files in This Item:
File Description SizeFormat
638654416.pdf417.37 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.