𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The time-varying behaviour of real interest rates: a re-evaluation of the recent evidence

✍ Scribed by Basma Bekdache

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
257 KB
Volume
14
Category
Article
ISSN
0883-7252

No coin nor oath required. For personal study only.

✦ Synopsis

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 in¯ation rate and a supply shock variable and (2) unconditional shifts in the variance of the stochastic process. The results underscore the importance of modelling continual change in the ex ante real rate in terms of other economic variables rather than relying on a statistical characterization that permits only a limited number of discrete jumps in the mean of the process.

📜 SIMILAR VOLUMES

International real interest rate differe
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
✍ Mark P. Taylor; Lucio Sarno 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 115 KB 👁 1 views

## Abstract According to one strand of the international finance literature, market efficiency implies that the real exchange rate follows a martingale process, in direct conflict with the long‐run absolute purchasing power parity hypothesis, which requires a stationary real exchange rate process.

Long-term persistence in the real intere
Long-term persistence in the real interest rate: some evidence of a fractional unit root
✍ Kon S. Lai 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 156 KB 👁 2 views

This study examines the long-term persistence in ex ante real interest rates. According to the long-run Fisher effect, ex ante real ratesÐthe difference between nominal rates and expected in¯ationÐshould be mean-reverting and have no unit root. Empirical evidence on mean reversion has been mixed and