The persistence in international real interest rates

David E. Rapach and Mark Wohar
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David E. Rapach: Department of Economics, Saint Louis University, USA, Postal: Department of Economics, Saint Louis University, USA

International Journal of Finance & Economics, 2004, vol. 9, issue 4, 339-346

Abstract: 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.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:9:y:2004:i:4:p:339-346

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DOI: 10.1002/ijfe.254

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