Determinants of Long-Term Interest Rates in the United States.

摘要

The behavior of the long-term interest rates (LTI) in the United States has become a matter of concern for many economists, policymakers, corporation leaders, and household members. The purpose of this quantitative study was to analyze the determinants of LTI in United States using 352 quarterly time series data points extending from 1999 to 2009. The expectations theory of interest rate and loanable fund theory of interest rate have provided concrete guidelines for factors that determine interest rates, yet there are still gaps in understanding the variables that impact LTI. The guiding research question for this study concerned how a change in the independent variables, including overnight interest rates (OI), budget deficit, gross domestic product, inflation, and net capital inflow, affected LTI (10-year, 20-year, and 30-year U.S. Treasury constant securities rates). The analysis was performed using the Johansen co-integration technique. All the variables were found to have statistically significant impact on LTI, and all the variables jointly explained changes in the LTI. With the LTI 10, a 1% increase in the OI led to a 0.02% increase in LTI; for LTI 20, a 1% increase in the OI led to a 0.26% increase in LTI; with LTI 30, a 1% increase in the OI led to a 6.5% increase in LTI. The results of this study can contribute to social change by informing policymakers, corporate executives, and households the variables that determine LTI in United States, and the result could also help corporate executives and households make sound long term investment decisions.