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Strong dependence in the real interest rates

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  • Luis Gil-Alana

Abstract

The 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.

Suggested Citation

  • Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
  • Handle: RePEc:taf:applec:v:35:y:2003:i:2:p:119-124
    DOI: 10.1080/00036840210161855
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    References listed on IDEAS

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    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    3. Tkacz Greg, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-15, April.
    4. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
    5. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
    6. David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
    7. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    8. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
    9. Carlos Velasco, 2003. "Gaussian Semi-parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.
    10. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
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