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Short-term and long-term interest rates in a monetary model of a small open economy

✍ Scribed by Stephen J. Turnovsky

Book ID
115979375
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
1018 KB
Volume
20
Category
Article
ISSN
0022-1996

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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.