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The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

✍ Scribed by Haug, Alfred A; Siklos, Pierre L

Book ID
120627355
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2006
Tongue
English
Weight
617 KB
Volume
10
Category
Article
ISSN
1081-1826

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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.