The Time-Varying Behaviour of Real Interest Rates: A Re-evaluation of the Recent Evidence
AbstractA time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the coefficients relating the ex ante real rate to the nominal rate, the inflation rate and a supply shock variable and (2) unconditional shifts in the variance of the stochastic process. The results underscore the importance of modelling continual change in the ex ante real rate in terms of other economic variables rather than relying on a statistical characterization that permits only a limited number of discrete jumps in the mean of the process.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 14 (1999)
Issue (Month): 2 (March-April)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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- Ito, Hiro, 2003.
"Was Japanâ€™s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors,"
Santa Cruz Center for International Economics, Working Paper Series
qt48k5q6vd, Center for International Economics, UC Santa Cruz.
- Ito, Hiro, 2003. "Was Japanâ€™s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors," Santa Cruz Department of Economics, Working Paper Series qt48k5q6vd, Department of Economics, UC Santa Cruz.
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