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International Linkages Between Short Term Real Interest Rates
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Book Synopsis International Linkages Between Short-Term Real Interest Rates by : Mbodja Mougoue
Download or read book International Linkages Between Short-Term Real Interest Rates written by Mbodja Mougoue and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whereas previous studies have focused on the causal relation between nominal interest rates, this paper examines causal relationships between real rates for the United States and six other countries. Based on evidence from our full sample, we find that U.S. and foreign interest rates are not highly informative for one another. This would suggest that even if the United States is regarded as a large player in international financial markets, this does not necessarily translate into the transmission of U.S. real interest rates to other countries. However, an examination of various sub- periods of our sample reveals that this conclusion may be sensitive to the U.S. monetary policy regime. We also report results for linkages between European countries which indicate that Germany provides some information on real interest rates in France and the United Kingdom but not in Italy. An analysis of various sub-periods for the European countries show that the result for France is not robust, with German rates having an impact only in the first period through March 1983. This latter evidence does not provide strong support for the hypothesis that Germany's monetary policy plays a dominant role in the European Monetary System. In general, we would argue that domestic factors play a prominent role in determining real interest rates, quite independently from the influence of interest rates from abroad.
Book Synopsis The International Linkage of Real Interest Rates by : Robert E. Cumby
Download or read book The International Linkage of Real Interest Rates written by Robert E. Cumby and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Casual observation indicates that in recent years real interest rates in the United States appear to have risen sharply and have remained high relative to historical standards. Many observers have claimed that these high real rates have been transmitted abroad and have lead to high real rates in the rest of the industrialized countries. Concern over the level of real rates has been widespread in the analyses by economic policymakers both in Europe and in the United States. In this paper we present evidence on several questions regarding the movement in short term real interest rates in eight countries that have been raised by the recent policy debates in Europe and the United States: Have ex ante real rates in the United States and Europe been high during recent years? Has there been a link between U.S. real rates and those in other countries? Can this link be quantified?The basic finding in this paper is that real rates have climbed dramatically from the 1970s to the 1980s in both the European countries and the United States. Indeed, real interest rates in the United States are currently at high levels unprecedented in the post war period, which rival the levels that occurred during the Great Depression. Complaints that real interest rates in the United States are exceedingly high seem to be well justified. There is also strong evidence that there is a positive association between movements in U.S. real rates and those in Europe. However,European real rates typically do not move one-for-one with U.S. real rates,still leaving open the possibility that European monetary policy can influence domestic economic activity.
Book Synopsis International Linkages in Short and Long-term Interest Rates by : Guglielmo Maria Caporale
Download or read book International Linkages in Short and Long-term Interest Rates written by Guglielmo Maria Caporale and published by . This book was released on 1998 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short-term Interest Rate Linkages Between the United States and Europe by : Stefano Micossi
Download or read book Short-term Interest Rate Linkages Between the United States and Europe written by Stefano Micossi and published by . This book was released on 1984 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in International Money and Finance by : James R Lothian
Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.
Book Synopsis International Linkages and Macroeconomic News Effects on Interest Rate Volatility by : Suk-Joong Kim
Download or read book International Linkages and Macroeconomic News Effects on Interest Rate Volatility written by Suk-Joong Kim and published by . This book was released on 1998 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Macroeconomics in the Wake of the Global Financial Crisis by : Laurent Ferrara
Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Book Synopsis International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates by :
Download or read book International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates written by and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In an open economy, the scope for activist stabilization policy depends on the nature of the linkages between domestic and international markets for goods and assets. Two important relationships--purchasing power parity and uncovered interest-rate parity--have received extensive empirical attention in recent years and are fundamental building blocks of several empirical ex- change rate models. This paper reviews and extends recent econometric findings on these two classical parity relationships and on their corollary, the international equality of expected real interest rates. Econometric tests assuming rationality of expectations are on the whole unfavorable to the classical parity relationships: with few exceptions, they are strongly rejected. A central theme in the review of empirical work is the conditional heteroskedasticity of inflation and exchange rate forecast errors and the bias this statistical problem may impart to tests of inter- national parity relationships. The paper proposes and implements a test for conditional heteroskedasticity which in many cases produces strong evidence that the problem is indeed important.
Book Synopsis The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China by : Mr.Zhongxia Jin
Download or read book The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China written by Mr.Zhongxia Jin and published by International Monetary Fund. This book was released on 2003-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on China's experience between 1980 and 2002, a cointegrated vector autoregression model was established to explore the relationships among real interest rates, real exchange rates and balance of payments in China. Taking into account institutional changes, the empirical study shows that significant and usually non-monotonic interactions exist between these three variables. The paper discusses theoretical and policy implications of the empirical result.
Book Synopsis Estimating Parameters of Short-Term Real Interest Rate Models by : Mr.Vadim Khramov
Download or read book Estimating Parameters of Short-Term Real Interest Rate Models written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2013-10-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Book Synopsis Real Interest Rate Linkages in the Asian-Pacific Region by : Kiyotaka Sato
Download or read book Real Interest Rate Linkages in the Asian-Pacific Region written by Kiyotaka Sato and published by . This book was released on 2004 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-term International Capital Mobility by : Michael M. Hutchison
Download or read book Long-term International Capital Mobility written by Michael M. Hutchison and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Low Long-term Interest Rates as a Global Phenomenon by : Peter Hördahl
Download or read book Low Long-term Interest Rates as a Global Phenomenon written by Peter Hördahl and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The International Linkage of Real Interest Rates : the European-US Condition by : Robert E. Cumby
Download or read book The International Linkage of Real Interest Rates : the European-US Condition written by Robert E. Cumby and published by . This book was released on 1984 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Interest Rate Relationships by : J. T. Kneeshaw
Download or read book International Interest Rate Relationships written by J. T. Kneeshaw and published by . This book was released on 1985 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Dynamics and International Linkages by : Günter Coenen
Download or read book Inflation Dynamics and International Linkages written by Günter Coenen and published by . This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The International Linkage of Real Interest Rates by : Frederic S. Mishkin
Download or read book The International Linkage of Real Interest Rates written by Frederic S. Mishkin and published by . This book was released on 1986 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Casual observation indicates that in recent years real interest rates in the United States appear to have risen sharply and have remained high relative to historical standards. Many observers have claimed that these high real rates have been transmitted abroad and have lead to high real rates in the rest of the industrialized countries. Concern over the level of real rates has been widespread in the analyses by economic policymakers both in Europe and in the United States. In this paper we present evidence on several questions regarding the movement in short term real interest rates in eight countries that have been raised by the recent policy debates in Europe and the United States: Have ex ante real rates in the United States and Europe been high during recent years? Has there been a link between U.S. real rates and those in other countries? Can this link be quantified?The basic finding in this paper is that real rates have climbed dramatically from the 1970s to the 1980s in both the European countries and the United States. Indeed, real interest rates in the United States are currently at high levels unprecedented in the post war period, which rival the levels that occurred during the Great Depression. Complaints that real interest rates in the United States are exceedingly high seem to be well justified. There is also strong evidence that there is a positive association between movements in U.S. real rates and those in Europe. However, European real rates typically do not move one-for-one with U.S. real rates, still leaving open the possibility that European monetary policy can influence domestic economic activity
