The persistence in international real interest rates
In this paper, we investigate the degree of persistence in quarterly postwar tax-adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax-adjusted real interest rates are typically very persistent, with the lower bound of the 95% confidence interval for the sum of the autoregressive coefficients very close to 0.90 for nearly every country. A highly persistent real interest rate has important theoretical implications. Copyright © 2004 John Wiley & Sons, Ltd.
Year of publication: |
2004
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Authors: | Rapach, David E. ; Wohar, Mark E. |
Published in: |
International Journal of Finance & Economics. - John Wiley & Sons, Ltd.. - Vol. 9.2004, 4, p. 339-346
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
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