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Short and long interest rate targets

✍ Scribed by Adão, Bernardino; Correia, Isabel; Teles, Pedro

Book ID
124132308
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
320 KB
Volume
66
Category
Article
ISSN
0304-3932

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✍ Nigel Meade; Margaret R. Maier 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 129 KB 👁 2 views

## 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.