What moves OECD real interest rates?

Andrew Snell, J. Driffill

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

This paper conducts a structural time-series analysis of ex-ante real interest rates of the five major OECD economies. The relationships of rates to permanent and temporary real and nominal shocks appear to be qualitatively consistent with predictions of stochastic general equilibrium business cycle models. U.S. real and nominal shocks are found to be the most important causes of persistence in rates, but only nominal shocks cause dynamic movements that are coherent across all countries. The rise in real interest rates in the early 1980s was mainly due to nominal shocks; real shocks played little or no role.
Original languageEnglish
Pages (from-to)375-402
Number of pages27
JournalJournal of Money, Credit and Banking
Issue number3
Publication statusPublished - Jun 2003


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