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Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD

✍ Scribed by Diego Romero-Ávila

Book ID
110841615
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
152 KB
Volume
40
Category
Article
ISSN
0008-4085

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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