On the propagation mechanism of international real interest rate spillovers: Evidence from more than 200 years of data

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Title

On the propagation mechanism of international real interest rate spillovers: Evidence from more than 200 years of data

Content partner

Lincoln University

Collection

Lincoln University Research Archive

Description

This article analyzes the real interest rate transmission mechanism across the United States, Japan, France, Germany, Holland, Italy, Spain and the United Kingdom over a period of more than 200 years. Based on a time-varying parameter vector autoregressive (TVP-VAR) connectedness methodology, the empirical results suggest that the size of the international real interest rate spillovers ranges between 30% and 75% across the sample period. Furthermore, it is shown that these spillovers increase...

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Format

Research Paper

Research format

Journal article

Date created

2025-01-01

Creator

Cunado, J / Gabauer, David / Gupta, R / Lee, C-C

URL

https://hdl.handle.net/10182/18328

Related subjects

TVP-VAR / dynamic connectedness / extended joint connectedness / real interest rates / Applied economics / Econometrics

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