کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5062757 | 1371878 | 2006 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data On the order of integration of monthly US ex-ante and ex-post real interest rates: New evidence from over a century of data](/preview/png/5062757.png)
چکیده انگلیسی
We use a long series of monthly data that spans over 100 years to examine the dynamics of US ex-post and ex-ante real interest rates. The principal tenet of this study is that the data are not consistent with a unit root in real interest rates, although shocks impinging upon these rates are rather persistent. In addition, our results highlight the importance of modeling long memory not only in the conditional mean but in the power transformed conditional variance as well. Overall, these findings suggest that much more attention needs to be paid to the degree of persistence and its consequences for the economic theories which are still inconsistent with the finding of either near-unit-root or long memory mean-reverting behavior.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 90, Issue 2, February 2006, Pages 163-169
Journal: Economics Letters - Volume 90, Issue 2, February 2006, Pages 163-169
نویسندگان
M. Karanasos, S.H. Sekioua, N. Zeng,