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|z 9781484394502
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|a 1018-5941
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|a Dell'Erba, Salvatore.
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|a Does Fiscal Policy Affect Interest Rates? :
|b Evidence from a Factor-Augmented Panel /
|c Salvatore Dell'Erba, Sergio Sola.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2013.
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|a 1 online resource (44 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Sola, Sergio.
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|a IMF Working Papers; Working Paper ;
|v No. 2013/159
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2013/159/001.2013.issue-159-en.xml
|z IMF e-Library
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