The persistence in international real interest rates
AbstractIn this paper, we investigate the degree of persistence in quarterly postwar tax-adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax-adjusted real interest rates are typically very persistent, with the lower bound of the 95% confidence interval for the sum of the autoregressive coefficients very close to 0.90 for nearly every country. A highly persistent real interest rate has important theoretical implications. Copyright © 2004 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 9 (2004)
Issue (Month): 4 ()
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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