EconPapers    
Economics at your fingertips  
 

The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

Nicholas Apergis (), Christina Christou, James Payne () and James Saunoris

Journal of Applied Statistics, 2015, vol. 42, issue 1, 202-213

Abstract: This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in persistence, while under cross-sectional dependence there is only weak evidence of changes in persistence from I(1) to I(0). The evidence of changes in persistence when the direction is considered unknown is even weaker.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/02664763.2014.938620 (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:japsta:v:42:y:2015:i:1:p:202-213

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

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

 
Page updated 2019-11-30
Handle: RePEc:taf:japsta:v:42:y:2015:i:1:p:202-213