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The persistence in international real interest rates
Author(s) -
Rapach David E.,
Wohar Mark E.
Publication year - 2004
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.254
Subject(s) - economics , persistence (discontinuity) , autoregressive model , econometrics , real interest rate , interest rate , monetary economics , geotechnical engineering , engineering
In this paper, we investigate the degree of persistence in quarterly postwar tax‐adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax‐adjusted real interest rates are typically very persistent, with the lower bound of the 95% confidence interval for the sum of the autoregressive coefficients very close to 0.90 for nearly every country. A highly persistent real interest rate has important theoretical implications. Copyright © 2004 John Wiley & Sons, Ltd.