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The persistence in international real interest rates

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  • David E. Rapach

    (Department of Economics, Saint Louis University, USA)

  • Mark E. Wohar

    (Department of Economics, University of Nebraska at Omaha, USA)

Abstract

In 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.

Suggested Citation

  • David E. Rapach & Mark E. Wohar, 2004. "The persistence in international real interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 339-346.
    • Handle: RePEc:ijf:ijfiec:v:9:y:2004:i:4:p:339-346
    DOI: 10.1002/ijfe.254
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