Chaos in long-maturity real rates

Apostolos Serletis, Mingyu He and M.M. Islam Chowdhury

Economics Letters, 2023, vol. 225, issue C

Abstract: We take advantage of recent advances in quantitative financial history and new chaos detection tools to test for chaos in long-maturity real interest rates (over the past 700 years), for France, Germany, Holland, Italy, Japan, Spain, the United Kingdom, and the United States. We find that the real interest rates of France, Germany, Holland, the United Kingdom, and the United States are stochastic, but those of Italy, Japan, and Spain are chaotic.

Keywords: Chaos; Complexity; Real interest rates; Economic fluctuations (search for similar items in EconPapers)
JEL-codes: C32 E4 F3 N20 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000642

DOI: 10.1016/j.econlet.2023.111039

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