Advanced Search
MyIDEAS: Login to save this article or follow this journal

BRICS countries: real interest rates and long memory

Contents:

Author Info

  • Cleomar Gomes da Silva

    ()
    (Instituto de Economia – Universidade Federal de Uberlândia (IE-UFU))

  • Flávio Vilela Vieira

    ()
    (Instituto de Economia – Universidade Federal de Uberlândia (IE-UFU))

Registered author(s):

    Abstract

    This paper analyzes the degree of persistence of the ex-post real interest rates of the BRICS (Brazil, Russia, India, China, and South Africa) using long-memory ARFIMA models, as well as unit root tests with structural breaks. For the period ranging from July 2000 to December 2012, the results show very high persistence, and non-stationarity but mean reversion for all countries, except for Russia, which showed signs of non-stationarity and no mean reversion. However, when structural breaks were accounted for, the results indicate that part of the persistence found previously in the real interest rates of China, South Africa and India was due to those breaks. Brazil was not influenced by the breaks but was able to keep its pattern of high persistence, but with mean reversion. Russia, on the other hand, kept its pattern of non-stationarity and no influence of breaks.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I1-P39.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 34 (2014)
    Issue (Month): 1 ()
    Pages: 409-419

    as in new window
    Handle: RePEc:ebl:ecbull:eb-13-00561

    Contact details of provider:

    Related research

    Keywords: Persistence; Interest Rates; Fractional Integration;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers, Princeton, Department of Economics - Econometric Research Program 359, Princeton, Department of Economics - Econometric Research Program.
    2. Shea, Gary S, 1991. "Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure," Empirical Economics, Springer, Springer, vol. 16(3), pages 287-312.
    3. Jeremy Couchman & Rukmani Gounder & Jen-Je Su, 2006. "Long memory properties of real interest rates for 16 countries," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 2(1), pages 25-30, January.
    4. Karanasos, M. & Sekioua, S.H. & Zeng, N., 2006. "On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data," Economics Letters, Elsevier, Elsevier, vol. 90(2), pages 163-169, February.
    5. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, Elsevier, vol. 45(1), pages 1-5, May.
    6. Gideon O. Fadiran & Abel Ezeoha, 2012. "South African Market Volatility, Asymmetry And Retail Interest Rates Pass-Through," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 80(2), pages 157-180, 06.
    7. Francis X. Diebold & Glenn D. Rudebusch, 1990. "On the power of Dickey-Fuller tests against fractional alternatives," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 119, Board of Governors of the Federal Reserve System (U.S.).
    8. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, Elsevier, vol. 67(3), pages 325-330, June.
    9. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, Elsevier, vol. 59(2), pages 175-182, May.
    10. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0264, National Bureau of Economic Research, Inc.
    11. Christopher F. Baum, 2004. "Stata: The language of choice for time series analysis?," Boston College Working Papers in Economics, Boston College Department of Economics 598, Boston College Department of Economics.
    12. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 979, Cowles Foundation for Research in Economics, Yale University.
    13. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers, Michigan State - Econometrics and Economic Theory 9111, Michigan State - Econometrics and Economic Theory.
    14. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers, Princeton, Department of Economics - Econometric Research Program 347, Princeton, Department of Economics - Econometric Research Program.
    15. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
    16. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 251-70, July.
    17. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    18. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9421, Universite de Montreal, Departement de sciences economiques.
    19. Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(5), pages 838-851, December.
    20. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
    21. Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, Elsevier, vol. 77(3), pages 357-363, November.
    22. Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(3), pages 265-276.
    23. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
    24. Luis A. Gil-Alana, . "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 16/06, School of Economics and Business Administration, University of Navarra.
    25. Emma Iglesias & Garry Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(2), pages 95-106.
    26. Lai, Kon S, 1997. "Long-Term Persistence in the Real Interest Rate: Some Evidence of a Fractional Unit Root," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 2(3), pages 225-35, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-13-00561. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.