کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083989 1477841 2007 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fiscal, monetary policy and the conditional risk premium in short-term interest rate differentials: an application of Tobin's portfolio theory
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Fiscal, monetary policy and the conditional risk premium in short-term interest rate differentials: an application of Tobin's portfolio theory
چکیده انگلیسی
This paper proposes a Multivariate-Arch in Mean model to analyze the potential channels through which domestic fiscal and monetary policy as well as changes in the international economic environment may affect interest rate differentials across countries. This technique is illustrated by analyzing the behavior of short-term interest rates in a number of European countries prior to the introduction of the common currency. The key feature of our results is that macroeconomic variables exert both a direct and indirect influence on the short-term interest rate differential. This indirect effect is captured through the conditional volatility of the differential, which is itself a statistically significant determinant of the level of the differential. This relationship is likely to be overlooked by more traditional models that focus solely on the first order moments of the process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 16, Issue 1, 2007, Pages 101-112
نویسندگان
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