Les déterminants des taux d'intérêt à long terme aux États-Unis et dans la zone euro: une approche multivariée

Julien Idier, Caroline Jardet () and Aymeric de Loubens

Economie & Prévision, 2008, vol. n° 185, issue 4, 13-32

Abstract: This article analyzes the determinants of U.S. and European long-term interest rates between 1986 and 2005. The selection of separate structural determinants of long-term rates for the U.S. and Europe in a univariate approach fails to take account of market integration and suffers from certain limitations. By switching to a multivariate approach, we can show an unreciprocated knock-on effect of the U.S. long-term rate on the euro-zone long-term rate. The multivariate model accordingly enables us to compile a time-line of events influencing U.S. and European long-term interest rates: the bursting of the Internet bubble, purchases by official and private non-residents, and the growth of ?global liquidity.?

Date: 2008
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Journal Article: Les déterminants des taux d’intérêt à long terme aux États-Unis et dans la zone euro: une approche multivariée (2008)
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