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Staatsverschuldung und langfristiger Zinssatz in einem Modell effizienter Märkte und rationaler Erwartungen: eine empirische Untersuchung für die Bundesrepublik Deutschland

  • Public Debt and Long-term Interest Rate in a Model of Efficient Markets and Rational Expectations. An Empirical Study for the Federal Republic of Germany This paper deals with the determinants of long-term interest rates. Especially the effect of public debt is analysed. Theoretical basis of this study is the theory of efficient markets and rational expectations: Only unexpected changes of causal factors produce interest rate variations. Unanticipated changes of gross national product, government expenditure, public debt, inflation, money supply and US interest rate are generated using uni- and multivariate autoregressive models. Empirically no significant effect of public debt on asset returns is found. The inflation rate and the Treasury bill rate in USA are the most important determinants of German interest rates.

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Metadaten
Author:Gebhard FlaigGND
URN:urn:nbn:de:bvb:384-opus4-82847
Frontdoor URLhttps://opus.bibliothek.uni-augsburg.de/opus4/8284
ISSN:0023-4591OPAC
Parent Title (German):Kredit und Kapital
Publisher:Duncker & Humblot
Place of publication:Berlin
Type:Article
Language:German
Year of first Publication:1986
Publishing Institution:Universität Augsburg
Release Date:2017/07/21
Volume:19
Issue:3
First Page:366
Last Page:385
DOI:https://doi.org/10.3790/ccm.19.3.366
Institutes:Wirtschaftswissenschaftliche Fakultät
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):CC-BY 4.0: Creative Commons: Namensnennung (mit Print on Demand)