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Real Interest Rate Stationarity and Per Capita Consumption Growth Rate Author info | Abstract | Publisher info | Download info | Related research | Statistics Claude Lopez
Javier Reyes ()
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Many economic theories connecting the real interest rate and the per-capita consumption growth rate require that both rates evolve together over time. This paper investigates whether these rates present similar stationary behavior for the seven most industrialized countries over the 1957-2005 period. The analysis relies on the unit root tests developed by Elliott, Rothenberg and Stock (1996) and Lopez (2006) to look for stationary or regime-wise stationary behavior, respectively. Furthermore, the ?nal break selection uses Bai and Perron?s (2003) method. The results show for all the countries considered that both rates are either stationary or regime-wise stationary with a same number of breaks and, mostly, corresponding dates. The results hold whether the rates are calculated annually or quarterly.
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Paper provided by University of Cincinnati, Department of Economics in its series University of Cincinnati, Economics Working Papers Series with number
2005-02.
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Length: 18 pages
Date of creation: Aug 2005Date of revision:
Feb 2007Handle: RePEc:cin:ucecwp:2005-02Contact details of provider: Postal: Cincinnati, OH 45221-0371 Phone: (513) 556-2670 Fax: (513) 556-2669 Email: Web page: http://asweb.artsci.uc.edu/economics/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Claude Lopez).
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