Premium
Racines unitaires et persistance dans le taux d'intérêt nominal: une analyse de confirmation appliquée à l'OCDE.
Author(s) -
RomeroÁvila Diego
Publication year - 2007
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1365-2966.2007.00439.x
Subject(s) - unit root , cointegration , univariate , econometrics , economics , nominal interest rate , interest rate , fisher hypothesis , impulse response , unit root test , mathematics , real interest rate , statistics , multivariate statistics , macroeconomics , mathematical analysis
. This paper investigates the stochastic properties of long‐term and short‐term nominal interest rates for the OECD over the post‐war era. For that purpose, we employ univariate unit root tests as well as panel unit root and stationarity tests that explicitly allow for cross‐sectional dependence. Overall, we find overwhelming evidence that the nominal interest rate contains a unit root, which may be driven by a stochastic common factor. The computation of half‐lives through impulse‐response functions also points to a high degree of persistence. This has important implications for the cointegration analysis of the Fisher equation, the uncovered interest parity, and the term structure.