| By: |
Ratti, Ronald (School of Business, University of Western Sydney);
Vespignani, Joaquin (Tasmanian School of Business & Economics, University of Tasmania) |
| 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 |
| JEL: |
E44 E50 Q43 |
| Date: |
2015 |
| URL: |
http://d.repec.org/n?u=RePEc:tas:wpaper:22666&r=ifn |