An Analysis of the Real Interest Rate under Regime Shifts
René Garcia and
Pierre Perron
The Review of Economics and Statistics, 1996, vol. 78, issue 1, 111-25
Abstract:
The authors consider the time-series behavior of the U.S. real interest rate from 1961 to 1986, using the methodology of James D. Hamilton (1989), by allowing three possible regimes affecting both the mean and variance. The results suggest that the ex-post real interest rate is essentially random with means and variances that are different for the periods 1961-73, 1973-80, and 1980-86. The inflation rate series also shows interesting shifts in both mean and variance. Series for the ex-ante real interest rate and expected inflation are constructed. Finally, the authors make clear how their results can explain some recent findings in the literature. Copyright 1996 by MIT Press.
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (457)
Downloads: (external link)
http://links.jstor.org/sici?sici=0034-6535%2819960 ... 0.CO%3B2-J&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
Related works:
Working Paper: An Analysis of the Real Interest Rate Under Regime Shifts (1995) 
Working Paper: An Analysis of the Real Interest rate Under Regime Shifts (1994) 
Working Paper: An Analysis of the Real Interest rate Under Regime Shifts (1994)
Working Paper: An analysis of Real Interest Rate Under Regime Shifts (1991)
Working Paper: An analysis of Real Interest Rate Under Regime Shifts (1991)
Working Paper: AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS (1990)
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:tpr:restat:v:78:y:1996:i:1:p:111-25
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().