期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：The disconnect between rising short and low long interest rates has been a distinctive
feature of the 2000s. Both research and policy circles have argued that international
forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles
(e.g. Borio and Filardo, 2007); or a global savings glut (e.g Bernanke, 2005) may be
responsible. In this paper, we employ recent advances in panel data econometrics to
document the disconnect and link it explicitly to the existence of a global latent factor
that dominates the long end of the term spread for the recent period; the saving glut story
emerges as the most likely contender for the global factor
关键词：Short and Long Interest Rates, Financial Globalization, Panel Data, Factor
Models
