The effects of the international-domestic interest rate gap on U.S. output
Document Type
Article
Publication Date
2001
Department
Economics
Abstract
This paper examines how the relationships linking money to real output are altered when an international-domestic interest rate gap is included in the model. The results indicate that both the international-domestic interest rate gap and term structure exert a statistically significant effect on real economic activity. In addition, fluctuations in these variables contain significant information about future changes in real output. An interesting finding is that while the term structure dominates the international-domestic interest rate gap when estimating the entire time period, 1970:1–1996:4, the international-domestic interest rate gap clearly dominates in the more recent time period, 1985:1–1996:4.
Citation
Erenburg, S. J., & Goebel, D. W. (2001). The effects of the international-domestic interest rate gap on U.S. output. Applied Economics, 33(4), 515–521. doi:10.1080/00036840122868
