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DO REAL INTEREST RATES REALLY CONTAIN A UNIT ROOT? MORE EVIDENCE FROM A BOOTSTRAP COVARIATE UNIT ROOT TEST

✍ Scribed by CHENG-FENG LEE; CHING-CHUAN TSONG


Book ID
111047779
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
241 KB
Volume
16
Category
Article
ISSN
1361-374X

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This study examines the long-term persistence in ex ante real interest rates. According to the long-run Fisher effect, ex ante real ratesÐthe difference between nominal rates and expected in¯ationÐshould be mean-reverting and have no unit root. Empirical evidence on mean reversion has been mixed and