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Staatsverschuldung und langfristiger Zinssatz in einem Modell effizienter Märkte und rationaler Erwartungen
Eine empirische Untersuchung für die Bundesrepublik Deutschland
Credit and Capital Markets – Kredit und Kapital, Vol. 19 (1986), Iss. 3 : pp. 366–384
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Gebhard Flaig, Augsburg
References
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Abstract
Public Debt and Long-term Interest Rate in a Model of Efficient Markets and Rational Expectations. An Empirical Study for the Federal Republic of Germany
This paper deals with the determinants of long-term interest rates. Especially the effect of public debt is analysed. Theoretical basis of this study is the theory of efficient markets and rational expectations: Only unexpected changes of causal factors produce interest rate variations. Unanticipated changes of gross national product, government expenditure, public debt, inflation, money supply and US interest rate are generated using uni- and multivariate autoregressive models. Empirically no significant effect of public debt on asset returns is found. The inflation rate and the Treasury bill rate in USA are the most important determinants of German interest rates.