Behavior of the real rate of interest over the business cycle
AbstractIn this paper we document real rate behavior. We do this by looking across a wide variety of constructed real rate series. These series are obtained by using a number of different methodologies for estimating expected inflation, using several different price series, and looking over different time periods. The evidence suggests that over the entire sample period, real rate increases follow output increases and the real rate is positively correlated with contemporaneous output. These results, however, are sensitive to the price series used. That is, we find evidence of specification uncertainty. We also find that real rate behavior varies over different sample periods.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Richmond in its series Working Paper with number 00-09.
Date of creation: 2000
Date of revision:
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- Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
- William T. Gavin & Rachel J. Mandal, 2001.
"Forecasting inflation and growth: do private forecasts match those of policymakers?,"
Federal Reserve Bank of St. Louis, issue May, pages 11-20.
- William T. Gavin & Rachel J. Mandal, 2000. "Forecasting inflation and growth: do private forecasts match those of policymakers?," Working Papers 2000-026, Federal Reserve Bank of St. Louis.
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