The long memory story of ex post real interest rates. Can it be supported?

Ioannis Venetis (ivenetis@upatras.gr), Agustin Duarte and Ivan Paya (i.paya@lancaster.ac.uk)
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Agustin Duarte: Departamento Economia Aplicada y Politica Economica, University of Alicante, 03080 Alicante

Econometrics from University Library of Munich, Germany

Abstract: This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from fractional integration and we find that they do not hold pointing to “spurious” long memory and casting doubts with respect to the theoretical origins of long memory in our sample. Common stochastic trends expressed as the sum of stationary past errors do not seem appropriate as an explanation of real interest rate covariation.

Keywords: Real interest rate; Long memory, Fractional Integration (search for similar items in EconPapers)
JEL-codes: C22 E40 F41 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2004-04-28
New Economics Papers: this item is included in nep-ets and nep-mon
Note: Type of Document - pdf; pages: 18. Preliminary version. Please do not quote without authors permission. All comments welcome
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0404004

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