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Is high real interest rate persistence an intrinsic characteristic of industrialized economies?

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  • Yoon, Gawon
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    Abstract

    Recent empirical findings show that post-war real interest rates are quite persistent and that they also contain a large number of structural changes in their means. In this study, we also find concurring results for real interest rates from thirteen industrialized countries. We show, however, that when the presence of various nonstationarities such as changing means is accommodated, some of the real interest rates exhibit substantially lower persistence or even become I(0). Our findings indicate that high real interest rate persistence is not necessarily an intrinsic characteristic of industrialized economies.

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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 26 (2009)
    Issue (Month): 2 (March)
    Pages: 359-363

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    Handle: RePEc:eee:ecmode:v:26:y:2009:i:2:p:359-363

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    Web page: http://www.elsevier.com/locate/inca/30411

    Related research

    Keywords: Persistence Real interest rates Multiple structural breaks Increment ratio;

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