The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
Nicholas Apergis (),
James Payne () and
Journal of Applied Statistics, 2015, vol. 42, issue 1, 202-213
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.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:42:y:2015:i:1:p:202-213
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