Coverart for item
The Resource Does fiscal policy affect interest rates? : evidence from a factor-augmented panel, Salvatore Dell'Erba and Sergio Sola

Does fiscal policy affect interest rates? : evidence from a factor-augmented panel, Salvatore Dell'Erba and Sergio Sola

Label
Does fiscal policy affect interest rates? : evidence from a factor-augmented panel
Title
Does fiscal policy affect interest rates?
Title remainder
evidence from a factor-augmented panel
Statement of responsibility
Salvatore Dell'Erba and Sergio Sola
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
This paper reconsiders the effects of fiscal policy on long-term interest rates employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset of macroeconomic and fiscal variables for a panel of OECD countries for the period 1989-2012. We find that two global factors--the global monetary and fiscal policy stances--explain more than 60 percent of the variance in the long-term interest rates. Compared to the estimates from models which do not account for global factors, we find that the importance of domestic variables in explaining long-term interest rates is weakened. Moreover, the propagation of global fiscal shocks is larger in economies characterized by macroeconomic and institutional weaknesses
Member of
Cataloging source
AU@
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Dell'Erba, Salvatore
Government publication
international or intergovernmental publication
Index
no index present
Language note
English
LC call number
HB539
LC item number
.D45 2013 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Sola, Sergio
  • International Monetary Fund
http://library.link/vocab/subjectName
  • Fiscal policy
  • Interest rates
  • Fiscal policy
  • Interest rates
Label
Does fiscal policy affect interest rates? : evidence from a factor-augmented panel, Salvatore Dell'Erba and Sergio Sola
Instantiates
Publication
Note
"July 2013."
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; Contents; I. Introduction; II. Literature Review; III. Data Description and Properties; A. Data; B. Properties; IV. Econometric Specification and Estimation Strategy; A. The Econometric Model; B. Estimation Strategy; V. Estimation Results; A. Baseline Model; B. Time Variation in the Idiosyncratic Components; C. Discussion; VI. Effects of Global Shocks; VII. Results From Different Specifications; VIII. Robustness Checks; IX. Concluding Remarks; Appendices; A. Extraction of the Factors; B. Variables; Tables; 1. Summary Statistics; 2. Cross Sectional Dependence Test; C. Tables and Figures
  • 3. Panel Unit Root Tests4. Principal Component Analysis; 5. Baseline Estimation -- Long-term Interest Rates; 6: Effects of Global Deficit Shock -- Long-term Interest Rates; 7. Baseline Estimation -- Real Interest Rates and Sovereign Spreads; 8. Factors' Interpretation -- Long-Term Interest Rates; 9. Cross Validation -- Long-Term Interest Rates; 10. Baseline Estimation -- Alternative Estimation Techniques: CCE-MG; 11. Non-Linearity with Crises -- Long-Term Interest Rates; 12. Non-Linearity with Public Debt -- Long-Term Interest Rates; 13. Interpretation of the Global Factors -- Long-term Interest Rates
  • Figures1. Long-Term Interest Rates 1989-2012; 2. Rolling Window Estimates -- Long-Term Interest Rates; 3. Country Specific Effects of an Increase in Global Deficit; 4. Determinants of the Cross-Country Dispersion of the Effects of Global Deficit; 5. Global Factors and their Macroeconomic Interpretation; References
Control code
854835288
Dimensions
unknown
Extent
1 online resource (43 pages)
Form of item
online
Isbn
9781484320792
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475517095.001
Specific material designation
remote
System control number
  • imfWPIEA2013159
  • (IMF)WPIEA2013159
  • (OCoLC)854835288
Label
Does fiscal policy affect interest rates? : evidence from a factor-augmented panel, Salvatore Dell'Erba and Sergio Sola
Publication
Note
"July 2013."
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; Contents; I. Introduction; II. Literature Review; III. Data Description and Properties; A. Data; B. Properties; IV. Econometric Specification and Estimation Strategy; A. The Econometric Model; B. Estimation Strategy; V. Estimation Results; A. Baseline Model; B. Time Variation in the Idiosyncratic Components; C. Discussion; VI. Effects of Global Shocks; VII. Results From Different Specifications; VIII. Robustness Checks; IX. Concluding Remarks; Appendices; A. Extraction of the Factors; B. Variables; Tables; 1. Summary Statistics; 2. Cross Sectional Dependence Test; C. Tables and Figures
  • 3. Panel Unit Root Tests4. Principal Component Analysis; 5. Baseline Estimation -- Long-term Interest Rates; 6: Effects of Global Deficit Shock -- Long-term Interest Rates; 7. Baseline Estimation -- Real Interest Rates and Sovereign Spreads; 8. Factors' Interpretation -- Long-Term Interest Rates; 9. Cross Validation -- Long-Term Interest Rates; 10. Baseline Estimation -- Alternative Estimation Techniques: CCE-MG; 11. Non-Linearity with Crises -- Long-Term Interest Rates; 12. Non-Linearity with Public Debt -- Long-Term Interest Rates; 13. Interpretation of the Global Factors -- Long-term Interest Rates
  • Figures1. Long-Term Interest Rates 1989-2012; 2. Rolling Window Estimates -- Long-Term Interest Rates; 3. Country Specific Effects of an Increase in Global Deficit; 4. Determinants of the Cross-Country Dispersion of the Effects of Global Deficit; 5. Global Factors and their Macroeconomic Interpretation; References
Control code
854835288
Dimensions
unknown
Extent
1 online resource (43 pages)
Form of item
online
Isbn
9781484320792
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475517095.001
Specific material designation
remote
System control number
  • imfWPIEA2013159
  • (IMF)WPIEA2013159
  • (OCoLC)854835288

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