An open-economy macro-finance model of international interdependence: The OECD, US and the UK
This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies as well as the US Treasury bond market using latent variables to represent a common inflation trend and a US real interest rate factor. We find strong evidence of global effects on both the US and UK, calling into question the standard closed economy macro-finance specification. These economic linkages also help to explain the co-movement of yields in the US and UK Treasury bond markets.
Year of publication: |
2010
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Authors: | Spencer, Peter ; Liu, Zhuoshi |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 34.2010, 3, p. 667-680
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Publisher: |
Elsevier |
Keywords: | Macroeconomics Spillover effects Common shocks Macro-finance model Term structure |
Saved in:
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