Public Debt, Economic Growth and the Real Interest Rate : A Panel VAR Approach to EU and OECD Countries

Ogawa, Kazuo; Sterken, Elmer; Tokutsu, Ichiro

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論文情報

タイトル	Public Debt, Economic Growth and the Real Interest Rate : A Panel VAR Approach to EU and OECD Countries
著者	Ogawa, Kazuo Ogawa, Kazuo
	Sterken, Elmer Sterken, Elmer
	Tokutsu, Ichiro Tokutsu, Ichiro
キーワード等	Public debt
	Economic growth
	Interest rate
	Panel VAR
	Granger causality
抄録	We investigate the causal relationship between the public debt to GDP ratio and economic growth for 31 EU and OECD countries from 1995 to 2013. A number of studies have tackled this problem, but very few make the transmission mechanism explicit in their analysis. We estimate a panel VAR model that incorporates the long-term real interest rate on government bonds as a vehicle to transmit shocks in both the public debt to GDP ratio and economic growth. We find no causal link from the public debt to GDP ratio to the GDP growth rate, irrespective of the levels of public debt. Rather, we find a causal relation from the GDP growth rate to the public debt to GDP ratio. In high-debt countries, the direct negative impact of economic growth on public debt is enhanced by a rise in the long-term real interest rate, which in turn decreases interest-sensitive demand and leads to a further increase in the public debt to GDP ratio.
公開者	The Institute of Social and Economic Research, Osaka University
掲載誌名	Institute of Social and Economic Research Discussion Papers
巻	955
開始ページ	1
終了ページ	13
刊行年月	2016-01
URL	http://hdl.handle.net/11094/54572
関連情報 (references)	http://www.iser.osaka-u.ac.jp/library/dp/2016/DP0955.pdf
言語	英語
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

著者版フラグ	none
NII資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers.955 P.1-P.13
DC.title	Public Debt, Economic Growth and the Real Interest Rate : A Panel VAR Approach to EU and OECD Countries
DC.creator	Ogawa, Kazuo
	Sterken, Elmer
	Tokutsu, Ichiro
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2016-01
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/54572
DC.subject	Public debt
	Economic growth
	Interest rate
	Panel VAR
	Granger causality
DCTERMS.abstract	We investigate the causal relationship between the public debt to GDP ratio and economic growth for 31 EU and OECD countries from 1995 to 2013. A number of studies have tackled this problem, but very few make the transmission mechanism explicit in their analysis. We estimate a panel VAR model that incorporates the long-term real interest rate on government bonds as a vehicle to transmit shocks in both the public debt to GDP ratio and economic growth. We find no causal link from the public debt to GDP ratio to the GDP growth rate, irrespective of the levels of public debt. Rather, we find a causal relation from the GDP growth rate to the public debt to GDP ratio. In high-debt countries, the direct negative impact of economic growth on public debt is enhanced by a rise in the long-term real interest rate, which in turn decreases interest-sensitive demand and leads to a further increase in the public debt to GDP ratio.
citation_title	Public Debt, Economic Growth and the Real Interest Rate : A Panel VAR Approach to EU and OECD Countries
citation_author	Ogawa, Kazuo
	Sterken, Elmer
	Tokutsu, Ichiro
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2016-01
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	955
citation_firstpage	1
citation_lastpage	13
citation_public_url	http://hdl.handle.net/11094/54572
citation_keywords	Public debt
	Economic growth
	Interest rate
	Panel VAR
	Granger causality

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