Khramov, Vadim - International Monetary Fund (IMF) - 2013
short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the … real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed … square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest …