Nonstationarity of Regressors and Tests on Real-Interest-Rate Behavior

Frederic Mishkin

Journal of Business & Economic Statistics, 1995, vol. 13, issue 1, 47-51

Abstract: This paper reexamines tests on the behavior of real interest rates in light of recent results which indicate that regressors are nonstationary and not strictly exogenous. Strong rejections of constancy of real interest rates that have been found previously in the literature are confirmed here. However, although there is some evidence here that real rates are negatively correlated with expected inflation, this result is not as strong as has been indicated by previous research. In addition, results that found a significant negative correlation between real rates and nominal rates before 1979 are not supported here, while there is evidence for a positive correlation of real and nominal interest rates after 1979.

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (14)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:13:y:1995:i:1:p:47-51

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().