Long‐term Interest Rates and Public Debt Maturity
Bibliographic Data
| ID | 9727497 |
|---|---|
| Authors | Roel Beetsma (0000-0002-6954-8774, University of Amsterdam MN Chair in Pension Economics CEPR CESifo and Tinbergen Institute), Massimo Giuliodori (0000-0002-2171-3857, University of Amsterdam and Tinbergen Institute), Ieva Sakalauskaite (University of Amsterdam and Tinbergen Institute) |
| Year | 2017 |
| Volume | 84 |
| Issue | 335 |
| Pages | 541-558 |
| Publication date | 2017-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/ecca.12178 |
| OpenAlex | W2157698433 |
| Language | EN |
| References cited | 12 |
This paper adds to the literature studying how fiscal variables affect long‐term interest rates. Using a sample of sixteen OECD countries over the period 1980–2007, we show that a one‐year increase in the maturity of the public debt lowers the long‐term interest rate by on average 20–30 basis points. This negative effect is found for both static and panel vector autoregressive specifications. Country sample splits suggest that it is present in particular for low‐maturity or high‐inflation countries
Autoregressive model · Basis point · Debt · Debt ratio · Econometrics · Economics · Inflation (cosmology) · Interest rate · Macroeconomics · Maturity (psychological) · Monetary economics · Sample (material) · Term (time) · Fiscal Policies and Political Economy · Fiscal Policy and Economic Growth · Monetary Policy and Economic Impact
| Citation velocity | historical |
|---|---|
| Highly cited | No |