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The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

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  • Nicholas Apergis
  • Christina Christou
  • James E. Payne
  • James W. Saunoris

Abstract

This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in persistence, while under cross-sectional dependence there is only weak evidence of changes in persistence from I(1) to I(0). The evidence of changes in persistence when the direction is considered unknown is even weaker.

Suggested Citation

  • Nicholas Apergis & Christina Christou & James E. Payne & James W. Saunoris, 2015. "The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(1), pages 202-213, January.
  • Handle: RePEc:taf:japsta:v:42:y:2015:i:1:p:202-213
    DOI: 10.1080/02664763.2014.938620
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    File URL: http://hdl.handle.net/10.1080/02664763.2014.938620
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    References listed on IDEAS

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    1. Roy Cerqueti & Mauro Costantini & Luciano Gutierrez, 2009. "New panel tests to assess inflation persistence," Working Papers 54-2009, Macerata University, Department of Finance and Economic Sciences, revised Oct 2009.
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    Cited by:

    1. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    2. repec:gam:jecomi:v:7:y:2019:i:1:p:11-:d:205000 is not listed on IDEAS
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques," CESifo Working Paper Series 6482, CESifo Group Munich.
    4. repec:ags:afjecr:274742 is not listed on IDEAS
    5. repec:eee:intfin:v:50:y:2017:i:c:p:36-51 is not listed on IDEAS
    6. repec:eee:jpolmo:v:39:y:2017:i:5:p:775-789 is not listed on IDEAS
    7. Terhemba Iorember, Paul & Usar, Terzungwe & Hannafi Ibrahim, Kabiru, 2018. "Analyzing inflation in Nigeria: a fractionally integrated ARFIMA-GARCH modelling Approach," African Journal of Economic Review, African Journal of Economic Review, vol. 6(1), January.

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