What drives the global official/policy interest rate?

Ronald Ratti and Joaquin Vespignani

No 2015-09, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: We construct a GFAVAR model with newly released global data from the Federal Reserve Bank of Dallas to investigate the drivers of official/policy interest rate. We find that 62% of movement in global official/policy interest rates is attributed to changes in global monetary aggregates (21%), oil prices (18%), global output (15%) and global prices (8%). Global official/policy interest rates respond significantly to increases in global output and prices and oil prices. Increases in global policy interest rates are associated with reductions in global prices and global output. The response in official/policy interest rate for the emerging countries is more to global inflation, for the advanced countries (excluding the U.S.) is more to global output, and for the U.S. is to both global output and inflation.

Keywords: Global interest rate; global monetary aggregates; oil prices; GFAVAR (search for similar items in EconPapers)
JEL-codes: E44 E50 Q43 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published by the University of Tasmania. Discussion paper 2015-09

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Related works:
Journal Article: What drives the global official/policy interest rate? (2019)
Working Paper: What drives the global official/policy interest rate? (2015)
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