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What drives the global official/policy interest rate?


Ratti, RA and Vespignani, JL, What drives the global official/policy interest rate?, Applied Economics, 51, (47) pp. 5185-5190. ISSN 0003-6846 (2019) [Refereed Article]

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Copyright 2019 Informa UK Limited, trading as Taylor & Francis Group

DOI: doi:10.1080/00036846.2019.1610716


We construct a GFAVAR model with newly released global data from the Federal Reserve Bank of Dallas to investigate the drivers of global official/policy interest rate. We find that 66% of movement in global official/policy interest rates is attributed to changes in global monetary aggregates (23%), oil prices (19%), global output (16%) and global prices (8%). Global official/policy interest rates respond significantly to increases in global output, inflation 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.

Item Details

Item Type:Refereed Article
Keywords:global interest rate, global monetary aggregates, oil prices, GFAVAR
Research Division:Economics
Research Group:Applied economics
Research Field:International economics
Objective Division:Economic Framework
Objective Group:International trade policy
Objective Field:International trade policy not elsewhere classified
UTAS Author:Vespignani, JL (Associate Professor Joaquin Vespignani)
ID Code:134080
Year Published:2019
Deposited By:Economics and Finance
Deposited On:2019-07-25
Last Modified:2020-01-10

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