Research Catalog

Title

Long-Term Interest Rates in Globalised Markets [electronic resource] / Hans Christiansen and Charles Pigott

Author

Christiansen, Hans.

Publication

Paris : OECD Publishing, 1997.

Details

Additional Authors

Pigott, Charles.

Description

45 p.; 21 x 29.7cm.

Summary

This paper addresses the issue of whether covariation of long-term interest rates across G10 countries has increased in recent years and whether, as a consequence, interest rates have become less subject to the influence of national monetary authorities and domestic fundamentals. A conceptual framework based on the standard parity relations among country interest rates is described, and it is argued that historical trends in interest rates and their relations across countries can be understood reasonably well under this framework as the result of changing fundamentals and shifts in (internationally-priced) risk premia. The main empirical findings are that bilateral covariation of long-term interest rates has gone up in the 1990s among some European countries but there is no evidence of any substantial increase for countries with floating exchange rates. Variance decompositions and country-specific interest rate equations show little evidence of increasing interdependence of domestic ...

Series Statement

OECD Economics Department Working Papers, 1815-1973 ; no.175

Uniform Title

OECD Economics Department Working Papers, no.175.

Subject

Economics

LCCN

10.1787/688612588580

OCLC

oecd-lib-001621

Author

Christiansen, Hans.

Title

Long-Term Interest Rates in Globalised Markets [electronic resource] / Hans Christiansen and Charles Pigott

Imprint

Paris : OECD Publishing, 1997.

Series

OECD Economics Department Working Papers, 1815-1973 ; no.175

OECD Economics Department Working Papers, 1815-1973 ; no.175.

Connect to:

http://dx.doi.org/10.1787/688612588580

Indexed Term

Economics

Added Author

Pigott, Charles.

Other Standard Identifier

10.1787/688612588580 doi