✦ LIBER ✦

The persistence in international real interest rates

✍ Scribed by David E. Rapach; Mark E. Wohar

Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 106 KB
Volume: 9
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.254

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✦ Synopsis

Abstract

In this paper, we investigate the degree of persistence in quarterly postwar tax‐adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax‐adjusted real interest rates are typically very persistent, with the lower bound of the 95% confidence interval for the sum of the autoregressive coefficients very close to 0.90 for nearly every country. A highly persistent real interest rate has important theoretical implications. Copyright © 2004 John Wiley & Sons, Ltd.

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