Structural change and long-run reversion in the ex ante real interest rate

Lai

Applied Economics Letters, 2015, vol. 22, issue 16, 1281-1286

Abstract: This study examines recent US data on Treasury inflation-protected securities and presents new evidence supporting the Fisher hypothesis. The real interest rate may appear to display no mean reversion when in fact it is mean-reverting and a structural shift is responsible. According to break date estimates, the structural change occurred shortly after the collapse of Lehman Brothers at the height of the US financial crisis. The timing also coincided with the launch of quantitative easing by the Federal Reserve.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2015.1023936 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:22:y:2015:i:16:p:1281-1286

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2015.1023936

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().