Long memory properties of real interest rates for 16 countries
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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.
Applied Financial Economics Letters