BIROn - Birkbeck Institutional Research Online

    Government debt, deficits and interest rates 1870-2016

    Smith, Ron P. (2020) Government debt, deficits and interest rates 1870-2016. Advances in Econometrics 44 , ISSN 0731-9053. (In Press)

    [img] Text
    SmithDebts.pdf - Author's Accepted Manuscript
    Restricted to Repository staff only until 9 July 2022.

    Download (141kB) | Request a copy

    Abstract

    This paper examines the effect of changes in the public debt-GDP ratio on long, 10 year, interest rates in a panel of 17 countries over the period 1870-2016 controlling for other variables, in particular the world interest rate. Over this long period one can argue that most of the big changes in public debt were the product of factors largely exogenous to national interest rate determination, such as war, depression or financial crisis.The issue is of current relevance since the covid-19 pandemic has caused large increases in the ratio of public debt to GDP in many countries. The estimates suggest that it is the change in debt, rather than the level of debt or the deficit, that matters for long interest rates. World interest rates have long and short run effects on interest rates which are very well determined and close to one. Current inflation has a small but significant effect.

    Metadata

    Item Type: Article
    Additional Information: Special Issue "Essays in Honor of M. Hashem Pesaran", Advances in Econometrics Vol 44.
    Keyword(s) / Subject(s): Public debt, Government deficits, interest rates, world interest rates, macro-history
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centres and Institutes: Political Economy and Institutional Studies, Birkbeck Centre for
    Depositing User: Ron Smith
    Date Deposited: 09 Jul 2020 14:10
    Last Modified: 26 Jun 2021 01:53
    URI: https://eprints.bbk.ac.uk/id/eprint/32514

    Statistics

    Downloads
    Activity Overview
    2Downloads
    157Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item