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

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  • Julien Idier
  • Caroline Jardet
  • Aymeric de Loubens

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.?

Suggested Citation

  • Julien Idier & Caroline Jardet & Aymeric de Loubens, 2008. "Les déterminants des taux d'intérêt à long terme aux États-Unis et dans la zone euro : une approche multivariée," Economie & Prévision, La Documentation Française, vol. 0(4), pages 13-32.
    • Handle: RePEc:cai:ecoldc:ecop_185_0013
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    Cited by:

    1. Clerc, L., 2007. "Understanding Asset Prices: Determinants and Policy Implications," Working papers 168, Banque de France.

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