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dc.contributor.authorGroth, Charlottaen
dc.contributor.authorZampolli, Fabrizioen
dc.date.accessioned2010-11-08-
dc.date.accessioned2011-10-24T07:51:09Z-
dc.date.available2011-10-24T07:51:09Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aBank of England, External Monetary Policy Committee Unit |cLondonen
dc.relation.ispartofseries|aExternal MPC Unit Discussion Paper |x30en
dc.subject.ddc330en
dc.subject.stwZinsen
dc.subject.stwWechselkursen
dc.subject.stwWirtschaftswachstumen
dc.subject.stwVolatilitäten
dc.subject.stwRisikoprämieen
dc.subject.stwWelten
dc.titleMacroeconomic stability and the real interest rate: A cross-country analysis-
dc.typeWorking Paperen
dc.identifier.ppn638654416en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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