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| Author: | Driffill, J. Snell, A. |
| Title: | What moves OECD real interest rates? |
| Journal: | Journal of Money, Credit and Banking
2003 : JUN, VOL. 35:3, p. 375-402 |
| Index terms: | Economic shocks Interest rates OECD |
| Language: | eng |
| Abstract: | A structural time-series analysis is conducted of ex-ante real interest rates of the five major OECD economies. The relationships of rates to permanent and temporary real and nominal shocks appear to be qualitatively consistent with predictions of stochastic general equilibrium business cycle models. U.S. real and nominal shocks are found to be the most important causes of persistence in rates, but only nominal shocks cause dynamic movements that are coherent across all countries. |
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