The time-varying behaviour of real inter
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Basma Bekdache
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Article
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1999
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John Wiley and Sons
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English
β 257 KB
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