On real interest rate persistence: the role of breaks

Alfred Haug

No 65, Working Papers from Department of Applied Econometrics, Warsaw School of Economics

Abstract: The role of structural breaks in long spans of ex-post real interest rates for ten industrialized countries is studied. First, the persistence of the real interest is assessed with newly proposed low-frequency tests of M¨uller and Watson (2008). Second, the test of Leybourne et al. (2007) for a change in persistence of a time-series is applied to the real interest rate. The results show that real interest rates over the full sample period do not fit a covariance-stationary or unit-root model, nor a fractionally-integrated, near-unit-root or local-level model. The persistence of real rates changes and there are periods when the real rate is covariance stationary and other periods when it follows a unit root process instead. Also, the breaks reflect structural changes in the inflation rate, which are likely due to changes in monetary policy regimes.

Keywords: Real interest rates; persistence of a time series; breaks in persistence (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
Pages: 17
Date: 2012-11-06
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/stru ... Papers/aewp06-12.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp06-12.pdf [301 Moved Permanently]--> https://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp06-12.pdf)

Related works:
Journal Article: On real interest rate persistence: the role of breaks (2014)
Working Paper: On Real Interest Rate Persistence: The Role of Breaks (2013)
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:wse:wpaper:65

Access Statistics for this paper

More papers in Working Papers from Department of Applied Econometrics, Warsaw School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Marcin Owczarczuk ( this e-mail address is bad, please contact ).