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Integration of Long-Term Interest Rates: Empirical Evidence for G7 Countries

✍ Scribed by Kiran, Burcu


Book ID
127333426
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
211 KB
Volume
41
Category
Article
ISSN
1226-508X

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## Abstract The issues of non‐stationarity and long memory of real interest rates are examined here. Autoregressive models allowing short‐term mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast out‐of‐sample.