An empirical analysis of the German long-term interest rat

F.A.G. den Butter, P.W. Jansen

Research output: Contribution to JournalArticleAcademicpeer-review


The short run and long run influences of the main determinants of the German long-term interest rate are estimated using quarterly data for the period 1982-2001. A major reason for the focus on the German interest rate is that this rate, and hence its determinants, will be dominant in explaining the developments of the long-term Euro-rate in the international capital market. The specification of the interest rate equation encompasses various theories on interest rate formation. Four of the analysed interest rate theories partially explain interest rate movement, and therefore together form an encompassing model in which the four theories are incorporated. The short-term German interest rate, the US and Japanese bond rates and the government balance appear to be the most prominent determinants of the German (and hence Euro) rate, but also the business cycle and the oil price have explanatory power of this interest rate. © 2004 Taylor and Francis Ltd.
Original languageEnglish
Pages (from-to)731-741
Number of pages11
JournalApplied Financial Economics
Issue number10
Publication statusPublished - 2004


Dive into the research topics of 'An empirical analysis of the German long-term interest rat'. Together they form a unique fingerprint.

Cite this