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dc.contributor.authorHaug, Alfred
dc.date.available2013-01-31T22:33:41Z
dc.date.copyright2013-02
dc.identifier.citationHaug, A. (2013). On Real Interest Rate Persistence: The Role of Breaks (Department of Economics Discussion Paper Series No. 1303). Retrieved from http://hdl.handle.net/10523/3714en
dc.identifier.urihttp://hdl.handle.net/10523/3714
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.format.mimetypeapplication/pdf
dc.relation.ispartofseriesEconomics Discussion Papers Seriesen_NZ
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 New Zealand*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/nz/*
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
dc.date.updated2013-01-31T20:44:31Z
otago.schoolOtago Business School / Department of Economicsen_NZ
otago.openaccessOpen
otago.relation.number1303en_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