Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46847
Authors: 
Krämer, Jörg W.
Year of Publication: 
1996
Series/Report no.: 
Kiel Working Paper 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

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