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Public debt and long-term interest rates: the case of Germany, Italy and the USA
In: Working paper series 656
Vicarelli, Keynes, and the unstable nexus between investment, liquidity, and finance
In: Journal of post-Keynesian economics, Band 41, Heft 1, S. 16-35
ISSN: 1557-7821
How speculation became respectable: early theories on financial and commodity markets
In: The European journal of the history of economic thought, Band 28, Heft 2, S. 273-291
ISSN: 1469-5936
Monetary policy and price stability in British post-war debate: restatement of evidence from economists' papers presented to the Radcliffe Committee
In: The European journal of the history of economic thought, Band 25, Heft 6, S. 1311-1341
ISSN: 1469-5936
Price Stability and the Origins and Early Influence of the Phillips Curve on British Policy Debates
In: History of political economy, Band 50, Heft 3, S. 483-509
ISSN: 1527-1919
On the Difficulty of Interpreting Market Behavior in an Uncertain World: The Case of Oil Futures Pricing between 2003 and 2016
In: DISEI, Working Papers-Economics, Working Paper No. 16/2017
SSRN
Working paper
Speculative pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists from the 1920s
In: Cliometrica: journal of historical economics and econometric history, Band 10, Heft 1, S. 31-54
ISSN: 1863-2513
Structural Reforms and Fiscal Discipline in Europe
In: Journal transition studies review: JTSR, Band 15, Heft 2, S. 389-402
ISSN: 1614-4015
Transparency in the European Bond Market
In: Journal transition studies review: JTSR, Band 14, Heft 1, S. 3-21
ISSN: 1614-4015
Fiscal shocks, public debt, and long-term interest rate dynamics
Public finances worldwide have been severely hit by the 2008-2009 Great Recession, stimulating the debate on the consequences of growing fiscal imbalances. Building on Paesani et al. (2006), this paper focuses on the USA, Germany and Italy over the 1983-2009 period and studies the effects of fiscal shocks and government debt accumulation on long-term interest rates, both nationally and across borders. Based on a theoretical framework, the empirical analysis disentangles permanent and transitory components of interest rates dynamics finding that sustained debt accumulation leads, at least temporarily, to higher long-term interest rates. This is particularly true for the Italian case. There is also evidence of significant cross-country linkages, mainly between Italy and the USA.
BASE
Fiscal shocks, public debt, and long-term interest rate dynamics
Public finances worldwide have been severely hit by the 2008-2009 Great Recession, stimulating the debate on the consequences of growing fiscal imbalances. Building on Paesani et al. (2006), this paper focuses on the USA, Germany and Italy over the 1983-2009 period and studies the effects of fiscal shocks and government debt accumulation on long-term interest rates, both nationally and across borders. Based on a theoretical framework, the empirical analysis disentangles permanent and transitory components of interest rates dynamics finding that sustained debt accumulation leads, at least temporarily, to higher long-term interest rates. This is particularly true for the Italian case. There is also evidence of significant cross-country linkages, mainly between Italy and the USA.
BASE
Public debt and long-term interest rates: the case of Germany, Italy and the USA
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the accumulation of government debt affects long-term interest rates, both nationally and across borders. The analysis is based on a small, multivariate econometric model, which allows us to disentangle the more permanent and transitory components of interest rate developments. Empirical evidence shows that in all cases a more sustained debt accumulation leads at least temporarily to higher long-term interest rates. This transitory impact also spills-over into other countries, mainly from the US to the two European countries.
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