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The time series behavior of real interest rates A comment

✍ Scribed by G.William Schwert


Book ID
116105242
Publisher
Elsevier Science
Year
1986
Weight
523 KB
Volume
24
Category
Article
ISSN
0167-2231

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The time-varying behaviour of real inter
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A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the coecients relating the ex ante real rate to the nominal rate, the inΒ―ation rate and a supply shock variable and (2) unconditi