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dc.contributor.authorHaug, Alfred
dc.identifier.citationHaug, A. (2013). On Real Interest Rate Persistence: The Role of Breaks (Department of Economics Discussion Paper Series No. 1303). Retrieved from
dc.description.abstractThe 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 Müller 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. Instead, the persistence of real rates changes over time and there are periods when the real rate is covariance stationary and other periods when it follows a unit root process.en_NZ
dc.relation.ispartofseriesEconomics Discussion Papers Seriesen_NZ
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 New Zealand*
dc.subjectReal interest ratesen_NZ
dc.subjectpersistence of a time series
dc.subjectbreaks in persistence
dc.titleOn Real Interest Rate Persistence: The Role of Breaksen_NZ
dc.typeDiscussion Paperen_NZ
otago.schoolOtago Business School / Department of Economicsen_NZ
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Attribution-NonCommercial-ShareAlike 3.0 New Zealand
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial-ShareAlike 3.0 New Zealand