期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2004
出版社：European Central Bank
摘要：We use a panel of 16 OECD countries over several decades to investigate the effects of gov- ernment debts and deÞcits on long-term interest rates. In simple static speciÞcations, a one-percentage-point increase in the primary deÞcit relative to GDP increases contempora- neous long-term interest rates by about 10 basis points. In a vector autoregression (VAR), the same shock leads to a cumulative increase of almost 150 basis points after 10 years. The effect of debt on interest rates is non-linear: only for countries with above-average levels of debt does an increase in debt affect the interest rate. World Þscal policy is also important: an increase in total OECD-government borrowing increases each countrys interest rates. How- ever, domestic Þscal policy continues to affect domestic interest rates even after controlling for worldwide debts and deÞcits.
关键词：Government deÞcit; public debt; long-term interest rates.
