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What drives the global official/policy interest rate?
journal contribution
posted on 2023-05-20, 05:50 authored by Ratti, RA, Joaquin VespignaniJoaquin VespignaniWe 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.
History
Publication title
Applied EconomicsVolume
51Issue
47Pagination
5185-5190ISSN
0003-6846Department/School
TSBEPublisher
Routledge Taylor & Francis LtdPlace of publication
4 Park Square, Milton Park, Abingdon, England, Oxfordshire, Ox14 4RnRights statement
Copyright 2019 Informa UK Limited, trading as Taylor & Francis GroupRepository Status
- Restricted