IDEAS home Printed from https://ideas.repec.org/a/elg/rokejn/v10y2022i1p46-62.html
   My bibliography  Save this article

Keynes vs Kalecki: risk and uncertainty in their theories of the rate of interest

Author

Listed:
  • Hubert Gabrisch

Abstract

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest-rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically incalculable, Kalecki was convinced that it could be predicted. The theories are empirically tested using GARCH-in-mean (MGARCH) models without and with restrictions assigned to six globally leading financial markets. The obtained results support Keynes’s case: the long-term rate of interest is a non-ergodic financial phenomenon. Analyses of the relation between the interest rate and macroeconomic variables without interest uncertainty are thus seriously incomplete.

Suggested Citation

  • Hubert Gabrisch, 2022. "Keynes vs Kalecki: risk and uncertainty in their theories of the rate of interest," Review of Keynesian Economics, Edward Elgar Publishing, vol. 10(1), pages 46-62, January.
    • Handle: RePEc:elg:rokejn:v:10:y:2022:i:1:p46-62
    as

    Download full text from publisher

    File URL: https://www.elgaronline.com/view/journals/roke/10-1/roke.2022.01.03.xml
    Download Restriction: Restricted access
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:elg:rokejn:v:10:y:2022:i:1:p46-62. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Phillip Thompson (email available below). General contact details of provider: http://www.elgaronline.com/roke .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.