Beetsma, R., Giuliodori, M. and Sakalauskaite, I. (2017). Long-Term Interest Rates and Public Debt Maturity Economica, 84(335):541--558.
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Affiliated authors
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Publication year2017
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JournalEconomica
This paper adds to the literature studying how fiscal variables affect long-term interest rates. Using a sample of sixteen OECD countries over the period 1980{\textendash}2007, we show that a one-year increase in the maturity of the public debt lowers the long-term interest rate by on average 20{\textendash}30 basis points. This negative effect is found for both static and panel vector autoregressive specifications. Country sample splits suggest that it is present in particular for low-maturity or high-inflation countries.