Strong dependence in the real interest rates
AbstractThe stochastic behaviour of the real interest rates in ten European countries, Canada and the US is examined in this article by means of fractionally integrated techniques. Using a procedure, specifically designed for testing I (d) statistical models, the results show that the real interest rates are more persistent in some countries like France, Belgium or the USA than in others like the UK or Germany.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 35 (2003)
Issue (Month): 2 ()
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