利率的决定因素和国际传导：外汇储备和主权债务重要吗？

IF 1 4区经济学 Q3 ECONOMICS Review of International Economics Pub Date : 2024-08-22 DOI:10.1111/roie.12776

António Afonso, Florence Huart, João Tovar Jalles, Piotr Stanek

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引用次数: 0

摘要

我们分析了国际储备和主权债务在利率决定和国际传导中的作用。我们建立了一个模型来描述资本账户开放下的货币市场均衡。该模型预测，国际储备水平越高，利率越低，而政府债务水平越高，利率越低。然后，我们对 1985-2019 年间 128 个国家的面板数据进行了实证检验。我们发现(i) 就短期利率（STIR）而言，美国利率对国内利率的传导在新兴市场经济体（EMEs）比发达经济体（AEs）更强，反之亦然；(ii) 国际储备有助于抵消美国政策利率对新兴市场经济体 STIR 的传导；(iii) 较高的主权债务水平与新兴市场经济体的较低利率（流动性效应）相关，但与发展中经济体的较高利率（风险溢价效应）相关。

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Determinants and international transmission of interest rates: Do foreign reserves and sovereign debt matter?

We analyze the role of international reserves and sovereign debt in the determination and international transmission of interest rates. We develop a model that describes the money market equilibrium with capital account openness. It predicts that higher levels of international reserves lead to lower interest rates whereas the effect of higher government debt is ambiguous. We then test empirically these predictions on a panel of 128 countries over 1985–2019. We find that: (i) the transmission of U.S. interest rates to domestic interest rates is stronger in emerging market economies (EMEs) than in advanced economies (AEs) for short‐term interest rates (STIR), and vice versa for long‐term interest rates (LTIR); (ii) international reserves help counteract the transmission of the U.S. policy rate on STIR in EMEs; (iii) a higher sovereign debt level is associated with lower interest rates in EMEs (liquidity effect), but higher interest rates in developing economies (risk premium effect).

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来源期刊

Review of International Economics ECONOMICS-

CiteScore

1.90

自引率

0.00%

发文量

期刊介绍： The Review of International Economics is devoted to the publication of high-quality articles on a full range of topics in international economics. The Review comprises controversial and innovative thought and detailed contributions from other directly related fields such as economic development; trade and the environment; and political economy. Whether theoretical, empirical or policy-oriented, its relevance to real world problems is of paramount concern.