IGARCH and variance change in the US long-run interest rate
نویسندگان
چکیده
منابع مشابه
Reexamining the long-run properties of the real interest rate
In the empirical literature, stationary and nonstationary behavior has been reported for the U.S. real interest rate over di¤erent time periods. We examine its long-run properties, through estimation of the order of integration, and interpret the results in light of the Taylor rule for monetary policy. When concentrating on the post-October 1987 period, our analysis suggests that the business c...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 1995
ISSN: 1350-4851,1466-4291
DOI: 10.1080/758529815