On real interest rate persistence: the role of breaks

• Autorzy: Alfred Haug
• Języki publikacji: EN

Abstrakty

EN

The role of structural breaks in long spans of ex-post real interest rates for ten industrialized countries is studied. First, the persistence of the real interest is assessed with newly proposed low-frequency tests of M¨uller and Watson (2008). Second, the test of Leybourne et al. (2007) for a change in persistence of a time-series is applied to the real interest rate. The results show that real interest rates over the full sample period do not fit a covariance-stationary or unit-root model, nor a fractionally-integrated, near-unit-root or local-level model. The persistence of real rates changes and there are periods when the real rate is covariance stationary and other periods when it follows a unit root process instead. Also, the breaks reflect structural changes in the inflation rate, which are likely due to changes in monetary policy regimes.

Słowa kluczowe

EN

Interest rate; Time-series

PL

Stopa procentowa; Szeregi czasowe

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2012
• Numer: nr 6
• Strony: 17

Twórcy

autor

Alfred Haug

• University of Otago, New Zeland

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