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  • Long memory properties of real interest rates for 16 countries

    Author(s)
    Su, Jen-Je
    Gounder, Rukmani
    Couchman, Jeremy
    Griffith University Author(s)
    Su, Jen-Je
    Year published
    2006
    Metadata
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    Abstract
    This study examines the long-run dynamics of ex post and ex ante real interest rates for 16 countries. Three real interest rates - the realized (ex post) rate and two ex ante rates - are examined for each of the 16 countries. The magnitude of persistence is estimated using the ARFIMA model. The key empirical results suggest that for the majority of the 16 countries, the long-memory parameters of the three real rates lie between zero and one, and the parameters tend to be considerably smaller for the ex post real rate compared with both of the two ex ante rates.This study examines the long-run dynamics of ex post and ex ante real interest rates for 16 countries. Three real interest rates - the realized (ex post) rate and two ex ante rates - are examined for each of the 16 countries. The magnitude of persistence is estimated using the ARFIMA model. The key empirical results suggest that for the majority of the 16 countries, the long-memory parameters of the three real rates lie between zero and one, and the parameters tend to be considerably smaller for the ex post real rate compared with both of the two ex ante rates.
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    Journal Title
    Applied Financial Economics Letters
    Volume
    2
    Issue
    1
    DOI
    https://doi.org/10.1080/17446540500396990
    Subject
    Applied economics
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/27741
    Collection
    • Journal articles

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