Strong dependence in the real interest rates

Luis Gil-Alana

Applied Economics, 2003, vol. 35, issue 2, 119-124

Abstract: The stochastic behaviour of the real interest rates in ten European countries, Canada and the US is examined in this article by means of fractionally integrated techniques. Using a procedure, specifically designed for testing I (d) statistical models, the results show that the real interest rates are more persistent in some countries like France, Belgium or the USA than in others like the UK or Germany.

Date: 2003
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DOI: 10.1080/00036840210161855

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