publication . Preprint . 2000

GOVERNMENT DEBT, INTEREST RATES AND INTERNATIONAL CAPITAL FLOWS: EVIDENCE FROM COINTEGRATION

Name: GOVERNMENT DEBT, INTEREST RATES AND INTERNATIONAL CAPITAL FLOWS: EVIDENCE FROM COINTEGRATION
Creator: Pene Kalulumia

Pene Kalulumia;

Open Access

Published: 01 Jan 2000

Summary
references
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Abstract

This paper examines the impact of government debt on interest rates in the United States, Germany, the United Kingdom and Canada. It builds on the general portfolio balance framework which allows for both direct and indirect tests of the link between public debt and interest rates, and uses the Johansen-Juselius multivariate cointegration techniques to perform these tests. Indirect tests in this model consist of investigating the debt impact on interest rates through the effects of debt on the exchange rate and money demand. The evidence indicates that both transitory and permanent changes in the level of government debt cause higher domestic interest rates and ...

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free text keywords: jel:E62, jel:E63

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Research Papers in Economics

Preprint . 2000

Provider: Research Papers in Economics

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