The long memory story of ex post real interest rates. Can it be supported?

Ioannis A. Venetis (), Agustin Duarte and Ivan Paya ()
Additional contact information
Agustin Duarte: Departamento Economia Aplicada y Politica Economica, University of Alicante, 03080 Alicante

Econometrics from EconWPA

Abstract: This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from fractional integration and we find that they do not hold pointing to “spurious” long memory and casting doubts with respect to the theoretical origins of long memory in our sample. Common stochastic trends expressed as the sum of stationary past errors do not seem appropriate as an explanation of real interest rate covariation.

Keywords: Real interest rate; Long memory, Fractional Integration (search for similar items in EconPapers)
JEL-codes: C22 E40 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-mon
Date: 2004-04-28
Note: Type of Document - pdf; pages: 18. Preliminary version. Please do not quote without authors permission. All comments welcome
View list of references

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0404/0404004.pdf (application/pdf)

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: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0404004

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().