DÁVID HOJDAN

https://doi.org/10.53465/EDAMBA.2021.9788022549301.166-175

 

Abstract: In this paper, I have tried to answer whether higher public debt in advanced economies leads to rising long-term interest rates. First, I estimated the impact of public debt on long-term nominal interest rates on a sample of 18 advanced economies in the years 1950-2017 using a fixed effects model in various specifications. The effect of debt remained insignificant in all specifications. Second, with the help of a novel way of visualizing rolling-window regression inspired by [12], I have shown that the impact of public debt is in fact time-varying, and a positive significant effect is rather a hallmark of recent decades.

Keywords: long-term interest rates, public debt, panel estimation, rolling-window regression

JEL classification: H63, E43

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Online publication date: 12 May 2022

 

To cite this article (APA style): 

Hojdan, D. (2022). Impact of Public Debt on Long-Term Interest Rates. Proceedings from the EDAMBA 2021 conference, 166 – 175. https://doi.org/10.53465/EDAMBA.2021.9788022549301.166-175