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

Ogawa, Kazuo; Sterken, Elmer; Tokutsu, Ichiro

Institute of Social and Economic Research Discussion Papers, 2016, 955, 1-13

アクセス数:353件（2025-07-12 22:33 集計）

固定URL: https://hdl.handle.net/11094/54572

論文情報

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タイトル
Public Debt, Economic Growth and the Real Interest Rate : A Panel VAR Approach to EU and OECD Countries
著者
NRID
1000090160746 1000090160746
著者名
Ogawa, Kazuo
著者名
Sterken, Elmer
NRID
1000080140119 1000080140119
著者名
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.
出版者
The Institute of Social and Economic Research, Osaka University
収録物名
Institute of Social and Economic Research Discussion Papers
巻(号)
955
ページ
1-13
刊行年月
2016-01
言語
英語
ハンドルURL
https://hdl.handle.net/11094/54572
関連情報 (references)
URI
https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2016/DP0955.pdf
アクセス権
metadata only access
カテゴリ
ディスカッション／ワーキング・ペーパー DP/WP
Institute of Social and Economic Research Discussion Papers